STK / Tickets / #35 stk_predict_leaveoneout: implement "virtual LOO" formulas

Julien Bect - 2016-02-17

summary: Improve stk_predict_leaveoneout --> Improve stk_predict_leaveoneout (doc, tests)

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--- old +++ new @@ -3,4 +3,6 @@ Its documentation must be improved before 2.4.0 can be released. +Unit tests must be added. + Virtual-LOO formulas should be implemented (but not necessarily for 2.4.0).
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Julien Bect - 2017-01-01

This should be enough for 2.4.0:
https://sourceforge.net/p/kriging/hg/ci/adfa038e25aea4765b5d4fae57ad5555711db648/

Last edit: Julien Bect 2017-01-01

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Julien Bect - 2017-01-01

summary: Improve stk_predict_leaveoneout (doc, tests) --> stk_predict_leaveoneout: implement "virtual LOO" formulas

Milestone: 2.4 --> 2.5
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STROH - 2017-07-23

Virtual leave-one-out formulae were implemented:
https://sourceforge.net/p/kriging/hg/ci/517cadbebb01df3ce0094c42feab60d759a01449/

Remark: the current function uses stk_make_matcov to compute response covariance matrix. This will have to be changed by stk_covmat_response in the "covmat" branch.

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Thank you. The speedup is impressive!

loocv_benchmark_results = <6x4 stk_dataframe array>

          :   virtual     [mad]    direct     [mad]
  n =  10 :  1.341500  0.094000    13.052    0.3975
  n =  20 :  1.438875  0.099562    25.687    0.3570
  n =  40 :  1.342188  0.083750    63.412    2.7605
  n =  80 :  1.531125  0.033875   163.355    3.1425
 n =  160 :  2.620437  0.042750   535.525    5.6560
 n =  320 :  6.819500  0.167500  2695.307  128.5510

(median computation in ms, measured on my laptop with Matlab R2016b)

Julien Bect - 2017-07-24

status: open --> closed
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stk_predict_leaveoneout: implement "virtual LOO" formulas

a Small (Matlab/Octave) Toolbox for Kriging

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#35 stk_predict_leaveoneout: implement "virtual LOO" formulas

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