Laplace Approximation

build_laplace_objective(build_latent_gp, xs, ys; kwargs...)

Construct a closure that computes the minimisation objective for optimising hyperparameters of the latent GP in the Laplace approximation. The returned closure passes its arguments to build_latent_gp, which must return the LatentGP prior.

Keyword arguments

• newton_warmstart=true: (default) begin Newton optimisation at the mode of the previous call to the objective
• newton_callback: called as newton_callback(fnew, cache) after each Newton step
• newton_maxiter=100: maximum number of Newton steps.