Matlab_GPMultiClass/gp-model/update_multiclass_gp.m

function model = update_multiclass_gp(modelOld, kss, ksNewSample, newLabel)
% Update a multi-class GP model
% 
% function model = update_multiclass_gp(modelOld, kss, ksNewSample, newLabel)
%
% INPUT: modelOld    -- the old gp-multiclass model (relevant: noise, L, y)
%        kss         -- self similarity of new example
%        ksNewSample -- kernel values between new and old training examples
%        newLabel    -- label of new example
% Copyright (c) by Alexander Freytag, 2013-11-13.
%%

  % Cholesky update to include the selected sample
  l = modelOld.L\ksNewSample;
  lss = sqrt(kss+modelOld.noise-l'*l);
  L = [modelOld.L, zeros(length(l),1); l', lss ];  
  
  %obtain new labels in a single vector
  newLabels = [modelOld.y, newLabel];
  
  % copy all relevant data
  model.noise = modelOld.noise;
  
  % store relevant new data
  model.L = L;
  
  % obtain unique class labels (length of this vector equals the number of classes)  
  % Note: we can not re-use the previously known labels, since newLabel
  % might contain a completely new class
  model.unique_labels = unique(newLabels);

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

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

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

  end
  
  model.y = newLabels;

end