    GP-MC:  Use Markov chain to sample Gaussian process hyperparameters.

    The gp-mc program is the specialization of xxx-mc to the task of
    sampling from the posterior distribution of the hyperparameters of a
    Gaussian process model, and possibly also from the posterior
    distribution of the latent values and/or noise variances for training
    cases.  If no training data is specified, the prior will be sampled
    instead.  See xxx-mc.doc for the generic features of this program.

    The primary state of the simulation consists of the values the
    hyperparameters defining the Gaussian process. These hyperparameters
    are represented internally in logarithmic form, but are always printed
    in 'sigma' form (ie, with in the units of a standard deviation).

    This state may be augmented by the latent values for training cases
    and/or by the noise variances to use for each training case.  This
    auxiliary state is updated only by the application-specific sampling
    procedures described below.  This augmentation is not needed for
    regression models where the noise variance is the same for all cases,
    but is needed for classification models, models for count data, and
    regression models with varying noise (equivalently, noise that has a t
    distribution).

    If latent values are present when they are not needed, they will be
    used when updating the hyperparameters (treated as noise-free data).
    This will probably slow convergence considerably, but might be desired
    in order that these values can be plotted.  The best way to proceed in
    this situation is to generate the values at the end of each iteration
    but discard them before sampling resumes.  One MUST discard the latent
    values before updating hyperparameters when using a regression model
    with autocorrelated noise.

    The following application-specific sampling procedures are implemented:

       scan-values [ N ]

           This procedure does N Gibbs sampling scans for the latent values
           associated with training cases, given the current hyperparameters
           (and possible case-specific noise variances).  If N is not
           specified, one scan is done.  Note that a single scan is
           generally not sufficient to obtain a set of values that are
           independent of the previous set.

           If latent values do not exist beforehand, this procedure operates
           as if the previous values were all zero.

           This operation is not allowed for regression models with
           autocorrelated noise.

       met-values [ scale [ N ] ]

           Does N Metropolis updates of the latent values (default is one),
           using a Gaussian proposal distribution whose mean is the current
           set of latent variables and whose covariance matrix is the prior
           covariance of the latent variables multiplied by scale^2 (with
           default of one).

           As a special fudge (probably useful only for testing), a negative
           scale can be given, in which case the covariance matrix for the
           proposal is diagonal, based simply on the prior variances.

           If latent values do not exist beforehand, this procedure operates
           as if the previous values were all zero.

       mh-values [ scale [ N ] ]

           Does N Metropolis-Hastings updates of the latent values (default
           is one), in which the proposed state is found by multiplying all
           the latent values by sqrt(1-scale^2) and then adding Gaussian noise
           with mean zero and covariance given by the prior covariance of the
           latent values multiplied by scale^2.  The default for scale is one,
           in which case the proposal is a sample from the prior, but this is
           probably not good for most problems.

           If latent values do not exist beforehand, this procedure operates
           as if the previous values were all zero.

       sample-values

           Samples latent values associated with training cases given the
           current values of the hyperparameters, ignoring the current latent
           values (if any).

           This operation is possible only for regression models.  It is
           allowed for regression models with autocorrelated noise, but as
           noted above, in this context, they will probably have to be
           discarded before doing anything else (and hence are useful only
           in allowing quantities such as "b" to be evaluated).

       discard-values

           Eliminates the latent values currently stored.  This is useful
           for regression models, where keeping these values around may be
           desirable in order to allow certain quantities to be plotted, but
           where convergence is faster if these values are discarded before
           the hyperparameters are updated.

       sample-variances

           Samples values for the case-specific noise variances in a
           regression model where these vary (equivalently, where the noise
           has a t distribution).  This operation requires that the latent
           values for the training cases be available.  If these are not
           recorded, such values are automatically sampled and then discarded.

    Tempering methods and Annealed Importance Sampling are not currently
    supported.

                Copyright (c) 1995-2004 by Radford M. Neal