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I know based on the answers to this question Derivative of a Gaussian Process that the derivative of a Gaussian process is another Gaussian process, but I was wondering if someone could tell (or show) me how to explicitly calculate the expression for the derivative of a Gaussian process. For example, assuming that I have the following

$$f\sim GP(X\beta,\sigma^2R)$$ where $R$ is the Gaussian correlation function

$$R=\exp\left\{-\sum_{i=1}^n\frac{|x_{ij}-x_{ik}|^2}{\phi_i}\right\}$$

What would the distribution of $f'$ be (i.e., the derivative of $f$)?

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RustyStatistician
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  • @DilipSarwate Fine don't think of it as a GP. I have a random variable $f$ that follows a Normal distribution with mean $X\beta$ and covariance $\sigma^2 R$ and I want to take the derivative of that random variable. What is the solution of taking that derivative? – RustyStatistician Dec 23 '15 at 01:50
  • @DilipSarwate look at section 9.4 http://www.gaussianprocess.org/gpml/chapters/RW9.pdf – RustyStatistician Dec 23 '15 at 01:53

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Since your domain for $f$ is $n$-dimensional you will actually have $n$ derivative processes $\frac{\partial f}{\partial x_j}$ with $j=1,\ldots n$. You need to calculate the mean and correlation function of $\frac{\partial f}{\partial x_j}$. From the linked answer you know that those are the derivative of $f$'s mean function and the derivative with respect to both arguments of the correlation $R$. So there is nothing more to do than to calculate those derivatives:

I assume that $\beta$ are constant, hence the mean function is $\frac{\partial X\beta}{\partial x_j}=\beta_j$.

To keep confusion to a minimum let's write $R$ as $R(x,y)=exp\{-\sum_i\frac{(x_i - y_i)^2}{\phi_i}\}$. Then the derivative with respect to the first argument (assuming $\sigma$ is constant) is $$ \frac{\partial R}{\partial x_j}= \left(- 2 \frac{x_j-y_j}{\phi_j}\right) R(x,y)$$ and with respect to both $$ \frac{\partial }{\partial y_j}\frac{\partial R}{\partial x_j}=\frac{\partial }{\partial y_j}\left( R(x,y)\left(- 2 \frac{x_j-y_j}{\phi_j}\right) \right)=\frac{2}{\phi_j}R(x,y)\left( 1 - \frac{2}{\phi_j}(x_j - y_j)^2\right).$$ Which means in your notation that $$ \frac{\partial f}{\partial x_j} \sim \text{GP}\left( \beta_j, \sigma^2 \frac{2}{\phi_j} R(x,y)\left( 1 - \frac{2}{\phi_j}(x_j - y_j)^2\right)\right). $$

g g
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For simplicity I assume x has one dimension.

$\frac{\partial f}{\partial x}$ is normally distributed with expectation:

$E[\frac{\partial f}{\partial x}] = \frac{\partial}{\partial x}E[f]$

And Covariance:

$\text{Cov}(\frac{\partial f_1}{\partial x_1},\frac{\partial f_2}{\partial x_2})$ = $\frac{\partial^2 }{\partial x_2\partial x_1}\text{Cov}(f_1,f_2))$

In case you are using a gaussian correlation function: $\text{Cov}(f_1,f_2)) = \sigma^2\exp(-\frac{1}{2}\frac{(x_1-x_2)^2}{a^2})$, then:

$\text{Cov}(\frac{\partial f_1}{\partial x_1},\frac{\partial f_2}{\partial x_2})$ = $\frac{\sigma^2}{a^2}(1.0-\frac{(x_1-x_2)^2}{a^2})\exp(-\frac{1}{2}\frac{(x_1-x_2)^2}{a^2})$.

If x has more than one dimensions, each of the partial derivatives are normally distributed, and the covariance and expectation for each dimension can be calculated in the same way as above.

Aleksk89
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You can use sympy in Python, it will calculate any derivatives including integral defined one.

diffn(ff,x0,kk) :     
 dffk= Derivative(ff(x),x,kk)
 dffk1= simplify( dffk.doit())
 dffx0=  simplify(Subs(dffk1, (x), (x0)).doit())
 return dffx0
quantCode
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