# Gaussian Process implementation details

# 1 Overview

We make use of Gaussian Processes in several places in `EpiNow2`. For example, the default model for `estimate_infections()` uses a Gaussian Process to model the 1st order difference on the log scale of the reproduction number. This vignette describes the implementation details of the approximate Gaussian Process used in `EpiNow2`.

# 2 Definition

The one-dimensional Gaussian Processes (\(\mathrm{GP}_t\)) we use can be written as

\[\begin{equation} \mathrm{GP}(\mu(t), k(t, t')) \end{equation}\]

where \(\mu(t)\) and \(k(t,t')\) are the mean and covariance functions, respectively. In our case as set out above, we have

\[\begin{align} \mu(t) &\equiv 0 \\ k(t,t') &= k(|t - t'|) = k(\Delta t) \end{align}\]

with the following choices available for the kernel \(k\)

## 2.1 Matérn 3/2 covariance kernel (the default)

\[\begin{equation} k(\Delta t) = \alpha^2 \left( 1 + \frac{\sqrt{3} \Delta t}{\rho} \right) \exp \left( - \frac{\sqrt{3} \Delta t}{\rho}\right) \end{equation}\]

with \(\rho>0\) and \(\alpha > 0\) the length scale and magnitude, respectively, of the kernel. Note that here and later we use a slightly different definition of \(\alpha\) compared to Riutort-Mayol et al.[1], where this is defined as our \(\alpha^2\).

## 2.2 Squared exponential kernel

\[\begin{equation} k(\Delta t) = \alpha^2 \exp \left( - \frac{1}{2} \frac{(\Delta t^2)}{l^2} \right) \end{equation}\]

## 2.3 Ornstein-Uhlenbeck (Matérn 1/2) kernel

\[\begin{equation} k(\Delta t) = \alpha^2 \exp{\left( - \frac{\Delta t}{2 \rho^2} \right)} \end{equation}\]

## 2.4 Matérn 5/2 covariance kernel

\[\begin{equation} k(\Delta t) = \alpha \left( 1 + \frac{\sqrt{5} \Delta t}{\rho} + \frac{5}{3} \left(\frac{\Delta t}{l} \right)^2 \right) \exp \left( - \frac{\sqrt{5} \Delta t}{\rho}\right) \end{equation}\]

# 3 Hilbert space approximation

In order to make our models computationally tractable, we approximate the Gaussian Process using a Hilbert space approximation to the Gaussian Process[1], centered around mean zero.

\[\begin{equation} \mathrm{GP}(0, k(\Delta t)) \approx \sum_{j=1}^m \left(S_k(\sqrt{\lambda_j}) \right)^\frac{1}{2} \phi_j(t) \beta_j \end{equation}\]

with \(m\) the number of basis functions to use in the approximation, which we calculate from the number of time points \(t_\mathrm{GP}\) to which the Gaussian Process is being applied (rounded up to give an integer value), as is recommended[1].

\[\begin{equation} m = b t_\mathrm{GP} \end{equation}\]

and values of \(\lambda_j\) given by

\[\begin{equation} \lambda_j = \left( \frac{j \pi}{2 L} \right)^2 \end{equation}\]

where \(L\) is a positive number termed boundary condition, and \(\beta_{j}\) are regression weights with standard normal prior

\[\begin{equation} \beta_j \sim \mathrm{Normal}(0, 1) \end{equation}\]

The function \(S_k(x)\) is the spectral density relating to a particular covariance function \(k\). In the case of the Matérn kernel of order \(\nu\) this is given by

\[\begin{equation} S_k(x) = \alpha^2 \frac{2 \sqrt{\pi} \Gamma(\nu + 1/2) (2\nu)^\nu}{\Gamma(\nu) \rho^{2 \nu}} \left( \frac{2 \nu}{\rho^2} + \omega^2 \right)^{-\left( \nu + \frac{1}{2}\right )} \end{equation}\]

For \(\nu = 3 / 2\) (the default in `EpiNow2`) this simplifies to

\[\begin{equation} S_k(\omega) = \alpha^2 \frac{4 \left(\sqrt{3} / \rho \right)^3}{\left(\left(\sqrt{3} / \rho\right)^2 + \omega^2\right)^2} = \left(\frac{2 \alpha \left(\sqrt{3} / \rho \right)^{\frac{3}{2}}}{\left(\sqrt{3} / \rho\right)^2 + \omega^2} \right)^2 \end{equation}\]

For \(\nu = 1 / 2\) it is

\[\begin{equation} S_k(\omega) = \alpha^2 \frac{2}{\rho \left(1 / \rho^2 + \omega^2\right)} \end{equation}\]

and for \(\nu = 5 / 2\) it is

\[\begin{equation} S_k(\omega) = \alpha^2 \frac{3 \left(\sqrt{5} / \rho \right)^5}{2 \left(\left(\sqrt{5} / \rho\right)^2 + \omega^2\right)^3} \end{equation}\]

In the case of a squared exponential the spectral kernel density is given by

\[\begin{equation} S_k(\omega) = \alpha^2 \sqrt{2\pi} \rho \exp \left( -\frac{1}{2} \rho^2 \omega^2 \right) \end{equation}\]

The functions \(\phi_{j}(x)\) are the eigenfunctions of the Laplace operator,

\[\begin{equation} \phi_j(t) = \frac{1}{\sqrt{L}} \sin\left(\sqrt{\lambda_j} (t^* + L)\right) \end{equation}\]

with time rescaled linearly to be between -1 and 1,

\[\begin{equation} t^* = \frac{t - \frac{1}{2}t_\mathrm{GP}}{\frac{1}{2}t_\mathrm{GP}} \end{equation}\]

Relevant default priors are

\[\begin{align} \alpha &\sim \mathrm{HalfNormal}(0, 0.01) \\ \rho &\sim \mathrm{LogNormal} (\mu_\rho, \sigma_\rho)\\ \end{align}\]

with \(\rho\) additionally constrained with an upper bound of \(60\) and \(\mu_{\rho}\) and \(\sigma_\rho\) calculated using a mean of 21 and standard deviation of 7.

Furthermore, by default we set.

\[\begin{align} b &= 0.2 \\ L &= 1.5 \end{align}\]

These values as well as the prior distributions of relevant parameters can all be changed by the user.

# References

1. Riutort-Mayol, G., Bürkner, P.-C., Andersen, M. R., Solin, A., & Vehtari, A. (2020). Practical hilbert space approximate bayesian gaussian processes for probabilistic programming. https://arxiv.org/abs/2004.11408