I have built some gaussian process models in GPflow and learned them successfully, but I cannot find APIs that can help me to make inferences straightforwardly in GPflow, such as seperating the contributions of different kernels in a GPR model.
I know that I can do it manually, like calculating the covariance matrices, inverse and multiply, but such work can be quite annoying as the model gets more complex, like a multi-output SVGP model. Any suggestions?
Thanks in advance!
If you want to e.g. decompose an additive Kernel, I think the easiest way for vanilla GPR would be to just switch out the Kernel to the part you're interested in, while still keeping the learned hyperparameters.
I'm not totally sure about it, but I think it could also work out for SVGP, since the approximation itself is just a standard GP using the same kernel but conditioned on the Inducing Points.
However, I'm not sure if the decomposition of the Variational approximation can be assumed to be close to the decomposition of the true posterior.