Hello,

I am working on a problem where I would like to model y ~ gp(x), where x is an unobserved (Gaussian) latent variable. Does anyone have experience doing this? I have seen this in the literature referred to as a Gaussian Process Latent Variable Model, and was curious whether it could be fit in Stan.

Best,

Erik

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Yep! I have fit these. Same stuff as in the manual applies, just have X be a parameter vector, not data.

Of course you need to do identification as well so that there is only one unique rotation.

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Iâ€™m just here to â€śsecondâ€ť what @saudiwin said - Weâ€™ve also fit GPs *between* latent variables. As long as you can identify the latent variable without the GP (i.e., directionality, scaling), you should be able to use a GP on it as well.

Hi,

we have also used GPLVMs with Stan. To cope with the unidentifiable rotation of the latent space (if given a standard normal prior) we considered another parameterization based on Householder rotations. While this worked well for linear models, e.g. probabilistic PCA, there seemed to be additional symmetries in non-linear GPLVMs. In the end, we just used variational inference (as implemented in Stan) and went with the mode it got stuck in for making predictions.