• Corpus ID: 245650489

On automatic differentiation for the Mat\'ern covariance

  title={On automatic differentiation for the Mat\'ern covariance},
  author={Oana Marin and Christopher J. Geoga and Michel Schanen},
To target challenges in differentiable optimization we analyze and propose strategies for derivatives of the Matérn kernel with respect to the smoothness parameter. This problem is of high interest in Gaussian processes modelling due to the lack of robust derivatives of the modified Bessel function of second kind with respect to order. In the current work we focus on newly identified series expansions for the modified Bessel function of second kind valid for complex orders. Using these… 

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