ActiveSetMethod: entropy | GPR

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Marius Marinescu
Marius Marinescu 2021-12-3
Hello,
I was wondering what option to select for ActiveSetMethod when fitting a Gaussian procces model. Since I have too many data I use the option subset of data point ('FitMethod','sd'), and -'ActiveSetSize',2000- to select only two thousands points. So far I understood, fitrgp select randomly 2000 points from the data set. Some questions arrises:
  • Do GPR use the other points in the data set (for training)? Where? I saw that in the RegressionGP object there is saved all the data and some matrices have the size of all data (for example matrix W, Alpha,...).
  • In spite of choosing the points randomly Matlab have the option 'ActiveSetMethod' with four possible values: random (default), sgma, entropy, likelihood. Is there any documentation of what does each option specifically? When I choose entropy, fitgpr takes so long in comparison to random (21 min. vs less than 5). Why is so different?

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