shogun-toolbox/shogun — pull request #1341 by karlnapf (2013-07-31 19:01:48+00:00)
Title: Unbiased estimation of log-marginal likelihood ...

...using posterior approximations, importance sampling, and various tricks. This gives a sample of the true (!) marginal likelihood. Pretty cool stuff from a yet to be published paper in IEEE by some guys here in London. Will be useful for hyperparameter inference in GPs.

-Method is added to CInferenceMethod
-added method to compute likelihood for multiple functions in CLikelihoodModel
-New class ProbabilityDistribution (statistic style interface, not sure where to put it, open for suggestions :)
-Implementation GaussianDistribution which is a numerically stable version of a Gaussian sampler and log-pdf
-log-sum-exp log-mean-exp trick
-
Unit tests for everything.