Initial proof-of-concept Expectation Propagation

Project.toml

@@ -11,7 +11,9 @@ FastGaussQuadrature = "442a2c76-b920-505d-bb47-c5924d526838"
 FillArrays = "1a297f60-69ca-5386-bcde-b61e274b549b"
 ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
 GPLikelihoods = "6031954c-0455-49d7-b3b9-3e1c99afaf40"
+IrrationalConstants = "92d709cd-6900-40b7-9082-c6be49f344b6"
 LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
+Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
 PDMats = "90014a1f-27ba-587c-ab20-58faa44d9150"
 Reexport = "189a3867-3050-52da-a836-e630ba90ab69"
 SpecialFunctions = "276daf66-3868-5448-9aa4-cd146d93841b"
@@ -26,6 +28,7 @@ FastGaussQuadrature = "0.4"
 FillArrays = "0.12"
 ForwardDiff = "0.10"
 GPLikelihoods = "0.1, 0.2"
+IrrationalConstants = "0.1"
 PDMats = "0.11"
 Reexport = "1"
 SpecialFunctions = "1, 2"

docs/Manifest.toml

@@ -7,12 +7,12 @@ version = "0.0.1"
 
 [[AbstractGPs]]
 deps = ["ChainRulesCore", "Distributions", "FillArrays", "IrrationalConstants", "KernelFunctions", "LinearAlgebra", "Random", "RecipesBase", "Reexport", "Statistics", "StatsBase", "Test"]
-git-tree-sha1 = "e2af18922f65ea8cee7b8cd97a1668691f76f4b2"
+git-tree-sha1 = "821d37c2f571ed5f2dfa028f03e324abd12f9910"
 uuid = "99985d1d-32ba-4be9-9821-2ec096f28918"
-version = "0.5.3"
+version = "0.5.4"
 
 [[ApproximateGPs]]
-deps = ["AbstractGPs", "ChainRulesCore", "Distributions", "FastGaussQuadrature", "FillArrays", "ForwardDiff", "GPLikelihoods", "LinearAlgebra", "PDMats", "Reexport", "SpecialFunctions", "Statistics", "StatsBase"]
+deps = ["AbstractGPs", "ChainRulesCore", "Distributions", "FastGaussQuadrature", "FillArrays", "ForwardDiff", "GPLikelihoods", "IrrationalConstants", "LinearAlgebra", "PDMats", "Random", "Reexport", "SpecialFunctions", "Statistics", "StatsBase"]
 path = ".."
 uuid = "298c2ebc-0411-48ad-af38-99e88101b606"
 version = "0.2.3"
@@ -28,15 +28,15 @@ uuid = "2a0f44e3-6c83-55bd-87e4-b1978d98bd5f"
 
 [[ChainRulesCore]]
 deps = ["Compat", "LinearAlgebra", "SparseArrays"]
-git-tree-sha1 = "f885e7e7c124f8c92650d61b9477b9ac2ee607dd"
+git-tree-sha1 = "4c26b4e9e91ca528ea212927326ece5918a04b47"
 uuid = "d360d2e6-b24c-11e9-a2a3-2a2ae2dbcce4"
-version = "1.11.1"
+version = "1.11.2"
 
 [[ChangesOfVariables]]
-deps = ["LinearAlgebra", "Test"]
-git-tree-sha1 = "9a1d594397670492219635b35a3d830b04730d62"
+deps = ["ChainRulesCore", "LinearAlgebra", "Test"]
+git-tree-sha1 = "bf98fa45a0a4cee295de98d4c1462be26345b9a1"
 uuid = "9e997f8a-9a97-42d5-a9f1-ce6bfc15e2c0"
-version = "0.1.1"
+version = "0.1.2"
 
 [[CommonSubexpressions]]
 deps = ["MacroTools", "Test"]
@@ -46,9 +46,9 @@ version = "0.3.0"
 
 [[Compat]]
 deps = ["Base64", "Dates", "DelimitedFiles", "Distributed", "InteractiveUtils", "LibGit2", "Libdl", "LinearAlgebra", "Markdown", "Mmap", "Pkg", "Printf", "REPL", "Random", "SHA", "Serialization", "SharedArrays", "Sockets", "SparseArrays", "Statistics", "Test", "UUIDs", "Unicode"]
-git-tree-sha1 = "dce3e3fea680869eaa0b774b2e8343e9ff442313"
+git-tree-sha1 = "44c37b4636bc54afac5c574d2d02b625349d6582"
 uuid = "34da2185-b29b-5c13-b0c7-acf172513d20"
-version = "3.40.0"
+version = "3.41.0"
 
 [[CompilerSupportLibraries_jll]]
 deps = ["Artifacts", "Libdl"]
@@ -66,9 +66,9 @@ version = "1.9.0"
 
 [[DataStructures]]
 deps = ["Compat", "InteractiveUtils", "OrderedCollections"]
-git-tree-sha1 = "7d9d316f04214f7efdbb6398d545446e246eff02"
+git-tree-sha1 = "3daef5523dd2e769dad2365274f760ff5f282c7d"
 uuid = "864edb3b-99cc-5e75-8d2d-829cb0a9cfe8"
-version = "0.18.10"
+version = "0.18.11"
 
 [[Dates]]
 deps = ["Printf"]
@@ -80,9 +80,9 @@ uuid = "8bb1440f-4735-579b-a4ab-409b98df4dab"
 
 [[DensityInterface]]
 deps = ["InverseFunctions", "Test"]
-git-tree-sha1 = "794daf62dce7df839b8ed446fc59c68db4b5182f"
+git-tree-sha1 = "80c3e8639e3353e5d2912fb3a1916b8455e2494b"
 uuid = "b429d917-457f-4dbc-8f4c-0cc954292b1d"
-version = "0.3.3"
+version = "0.4.0"
 
 [[DiffResults]]
 deps = ["StaticArrays"]
@@ -92,25 +92,25 @@ version = "1.0.3"
 
 [[DiffRules]]
 deps = ["LogExpFunctions", "NaNMath", "Random", "SpecialFunctions"]
-git-tree-sha1 = "3287dacf67c3652d3fed09f4c12c187ae4dbb89a"
+git-tree-sha1 = "9bc5dac3c8b6706b58ad5ce24cffd9861f07c94f"
 uuid = "b552c78f-8df3-52c6-915a-8e097449b14b"
-version = "1.4.0"
+version = "1.9.0"
 
 [[Distances]]
-deps = ["LinearAlgebra", "Statistics", "StatsAPI"]
-git-tree-sha1 = "837c83e5574582e07662bbbba733964ff7c26b9d"
+deps = ["LinearAlgebra", "SparseArrays", "Statistics", "StatsAPI"]
+git-tree-sha1 = "3258d0659f812acde79e8a74b11f17ac06d0ca04"
 uuid = "b4f34e82-e78d-54a5-968a-f98e89d6e8f7"
-version = "0.10.6"
+version = "0.10.7"
 
 [[Distributed]]
 deps = ["Random", "Serialization", "Sockets"]
 uuid = "8ba89e20-285c-5b6f-9357-94700520ee1b"
 
 [[Distributions]]
 deps = ["ChainRulesCore", "DensityInterface", "FillArrays", "LinearAlgebra", "PDMats", "Printf", "QuadGK", "Random", "SparseArrays", "SpecialFunctions", "Statistics", "StatsBase", "StatsFuns", "Test"]
-git-tree-sha1 = "cce8159f0fee1281335a04bbf876572e46c921ba"
+git-tree-sha1 = "c1724611e6ae29c6094c8d9850e3136297ba7fff"
 uuid = "31c24e10-a181-5473-b8eb-7969acd0382f"
-version = "0.25.29"
+version = "0.25.36"
 
 [[DocStringExtensions]]
 deps = ["LibGit2"]
@@ -130,9 +130,9 @@ uuid = "f43a241f-c20a-4ad4-852c-f6b1247861c6"
 
 [[FastGaussQuadrature]]
 deps = ["LinearAlgebra", "SpecialFunctions", "StaticArrays"]
-git-tree-sha1 = "5829b25887e53fb6730a9df2ff89ed24baa6abf6"
+git-tree-sha1 = "58d83dd5a78a36205bdfddb82b1bb67682e64487"
 uuid = "442a2c76-b920-505d-bb47-c5924d526838"
-version = "0.4.7"
+version = "0.4.9"
 
 [[FillArrays]]
 deps = ["LinearAlgebra", "Random", "SparseArrays", "Statistics"]
@@ -142,9 +142,9 @@ version = "0.12.7"
 
 [[ForwardDiff]]
 deps = ["CommonSubexpressions", "DiffResults", "DiffRules", "LinearAlgebra", "LogExpFunctions", "NaNMath", "Preferences", "Printf", "Random", "SpecialFunctions", "StaticArrays"]
-git-tree-sha1 = "6406b5112809c08b1baa5703ad274e1dded0652f"
+git-tree-sha1 = "2b72a5624e289ee18256111657663721d59c143e"
 uuid = "f6369f11-7733-5829-9624-2563aa707210"
-version = "0.10.23"
+version = "0.10.24"
 
 [[Functors]]
 git-tree-sha1 = "e4768c3b7f597d5a352afa09874d16e3c3f6ead2"
@@ -221,9 +221,9 @@ uuid = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
 
 [[LogExpFunctions]]
 deps = ["ChainRulesCore", "ChangesOfVariables", "DocStringExtensions", "InverseFunctions", "IrrationalConstants", "LinearAlgebra"]
-git-tree-sha1 = "be9eef9f9d78cecb6f262f3c10da151a6c5ab827"
+git-tree-sha1 = "e5718a00af0ab9756305a0392832c8952c7426c1"
 uuid = "2ab3a3ac-af41-5b50-aa03-7779005ae688"
-version = "0.3.5"
+version = "0.3.6"
 
 [[Logging]]
 uuid = "56ddb016-857b-54e1-b83d-db4d58db5568"
@@ -255,9 +255,9 @@ uuid = "a63ad114-7e13-5084-954f-fe012c677804"
 uuid = "14a3606d-f60d-562e-9121-12d972cd8159"
 
 [[NaNMath]]
-git-tree-sha1 = "bfe47e760d60b82b66b61d2d44128b62e3a369fb"
+git-tree-sha1 = "f755f36b19a5116bb580de457cda0c140153f283"
 uuid = "77ba4419-2d1f-58cd-9bb1-8ffee604a2e3"
-version = "0.3.5"
+version = "0.3.6"
 
 [[NetworkOptions]]
 uuid = "ca575930-c2e3-43a9-ace4-1e988b2c1908"
@@ -279,9 +279,9 @@ version = "1.4.1"
 
 [[PDMats]]
 deps = ["LinearAlgebra", "SparseArrays", "SuiteSparse"]
-git-tree-sha1 = "c8b8775b2f242c80ea85c83714c64ecfa3c53355"
+git-tree-sha1 = "ee26b350276c51697c9c2d88a072b339f9f03d73"
 uuid = "90014a1f-27ba-587c-ab20-58faa44d9150"
-version = "0.11.3"
+version = "0.11.5"
 
 [[Parsers]]
 deps = ["Dates"]
@@ -318,9 +318,9 @@ deps = ["Serialization"]
 uuid = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
 
 [[RecipesBase]]
-git-tree-sha1 = "44a75aa7a527910ee3d1751d1f0e4148698add9e"
+git-tree-sha1 = "6bf3f380ff52ce0832ddd3a2a7b9538ed1bcca7d"
 uuid = "3cdcf5f2-1ef4-517c-9805-6587b60abb01"
-version = "1.1.2"
+version = "1.2.1"
 
 [[Reexport]]
 git-tree-sha1 = "45e428421666073eab6f2da5c9d310d99bb12f9b"
@@ -329,9 +329,9 @@ version = "1.2.2"
 
 [[Requires]]
 deps = ["UUIDs"]
-git-tree-sha1 = "4036a3bd08ac7e968e27c203d45f5fff15020621"
+git-tree-sha1 = "8f82019e525f4d5c669692772a6f4b0a58b06a6a"
 uuid = "ae029012-a4dd-5104-9daa-d747884805df"
-version = "1.1.3"
+version = "1.2.0"
 
 [[Rmath]]
 deps = ["Random", "Rmath_jll"]
@@ -385,21 +385,21 @@ deps = ["LinearAlgebra", "SparseArrays"]
 uuid = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
 
 [[StatsAPI]]
-git-tree-sha1 = "1958272568dc176a1d881acb797beb909c785510"
+git-tree-sha1 = "0f2aa8e32d511f758a2ce49208181f7733a0936a"
 uuid = "82ae8749-77ed-4fe6-ae5f-f523153014b0"
-version = "1.0.0"
+version = "1.1.0"
 
 [[StatsBase]]
 deps = ["DataAPI", "DataStructures", "LinearAlgebra", "LogExpFunctions", "Missings", "Printf", "Random", "SortingAlgorithms", "SparseArrays", "Statistics", "StatsAPI"]
-git-tree-sha1 = "eb35dcc66558b2dda84079b9a1be17557d32091a"
+git-tree-sha1 = "2bb0cb32026a66037360606510fca5984ccc6b75"
 uuid = "2913bbd2-ae8a-5f71-8c99-4fb6c76f3a91"
-version = "0.33.12"
+version = "0.33.13"
 
 [[StatsFuns]]
 deps = ["ChainRulesCore", "InverseFunctions", "IrrationalConstants", "LogExpFunctions", "Reexport", "Rmath", "SpecialFunctions"]
-git-tree-sha1 = "385ab64e64e79f0cd7cfcf897169b91ebbb2d6c8"
+git-tree-sha1 = "bedb3e17cc1d94ce0e6e66d3afa47157978ba404"
 uuid = "4c63d2b9-4356-54db-8cca-17b64c39e42c"
-version = "0.9.13"
+version = "0.9.14"
 
 [[SuiteSparse]]
 deps = ["Libdl", "LinearAlgebra", "Serialization", "SparseArrays"]