Matlab_GPMultiClass/gp-model/learn_multiclass_gp.m

function model = learn_multiclass_gp(K, labels, noise)
% Learn a multi-class GP model
% 
% function model = learn_multiclass_gp(K, labels, noise)
%
% INPUT: K -- kernel matrix of all data points
%        labels -- multi-class labels, e.g., 1, 3, 4, 5, ...
%        noise -- variance of Gaussian noise model within GP framework
% Copyright (c) by Alexander Freytag, 2013-11-13.

  % obtain unique class labels (length of this vector equals the number of classes)
  unique_labels = unique(labels);

  % cholesky factorization of regularized kernel matrix
  L = chol( K + noise*eye(size(K)) , 'lower');

  % store relevant data
  model.L = L;
  model.noise = noise;
  model.unique_labels = unique_labels;

  % loop over classes and thus over binary one-vs-all tasks
  for k=1:length(unique_labels)

    % binary label vector for each binary task
    current_labels = 2*(labels==unique_labels(k))-1;

    % precompute and store alpha vector for each binary task
    model.alpha{k} = L'\(L\current_labels);

  end
  
  model.y = labels;

end