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Method push_forward for random variables #435

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JonathanWenger opened this issue Jun 22, 2021 · 1 comment
Open

Method push_forward for random variables #435

JonathanWenger opened this issue Jun 22, 2021 · 1 comment
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feature request Requests for features to be implemented randvars Issues related to random variables

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@JonathanWenger
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Is your feature request related to a problem? Please describe.
When sampling from random variables it is sometimes convenient to provide samples from a base measure and then transform them.

Give an example use case.
Creating a visualization of Gaussian process samples which move continuously.

Describe the solution you'd like.
A method of the form below or similar.

def push_forward(sample : np.ndarray, measure : str)
  return self.mean + self.cov.cholesky() @ sample

Note:
Consider different naming in #344, where @pnkraemer uses transform_base_measure_realizations(base_measure_realizations, locations, size) to implement this pattern for RandomProcess Posteriors.

@JonathanWenger JonathanWenger added feature request Requests for features to be implemented randvars Issues related to random variables labels Jun 22, 2021
@JonathanWenger
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An interface for this function may be added in #387.

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Labels
feature request Requests for features to be implemented randvars Issues related to random variables
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