will-example.jl

# Basic example.
using Stheno
using Stheno: GPC

# Define model.
function gp(σ, l)
    g = GP(EQ(), GPC())
    f = σ * g ∘ (x->l * x)
    return g, f
end
x = collect(range(-5.0, stop=5.0, length=1000));

# Generate toy data from prior.
g, f = gp(1.0, 2.0)
f_ = rand(f(x))

function lml(θ)
    g, f = gp(θ[1], θ[2])
    return logpdf(f(x), f_)
end

# Need to be able to differentiate this w.r.t. the input.
# Only tricky operation is the cholesky really.
lml([1.0, 2.0])