Multivariate Linear-Gaussian Implementation Issue


  • In infer.NET, is it possible to define a multivariate linear gaussian variable Y so that

    Y = A*X + E

    where X is a multivariate gaussian random variable,

    A is a constant matrix 

    and E is a zero mean multivariate gaussian 

    The following code results in the error below.

    double[,] A_a = { { 4.0, 0.5 }, { 0.5, 7.2 } };
    Matrix A = new Matrix(A_a);

    Variable<Vector> E = Variable.VectorGaussianFromMeanAndVariance(ue, Se).Named("E");

    Variable<Vector> X = Variable.VectorGaussianFromMeanAndPrecision(ux, Kx).Named("X");
    Variable<Vector> Y = A*X + E;


    operator '*' cannot be applied to operands of type 'Matrix' and 'Variable<vector>'

    Is there perhaps another type of matrix variable that should be use in such a case?

    Monday, July 17, 2017 7:52 AM

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