Similarly to this question I am seeking the derivative of a covariance function with respect to its parameters. However, that question is specifically about the squared exponential kernel.
How can I calculate the hyperparameter gradients for the Matérn 5/2 kernel?
$$k_{\mathrm{Matern}}(r) = \sigma^2 \frac{2^{1-\nu}}{\Gamma(\nu)}\bigg(\frac{\sqrt{2\nu}r}{\ell}\bigg)^\nu K_{\nu}\bigg(\frac{\sqrt{2\nu}r}{\ell}\bigg)$$
How can I calculate the hyperparameter gradients for the Matérn 5/2 kernel?
If the general Matern kernel is written $$ \mathcal{K}_M(r) = \sigma^2\frac{2^{1-\nu}}{\Gamma(\nu)} \left( \frac{r\sqrt{2\nu}}{\ell} \right)^\nu K_\nu\left( \frac{r\sqrt{2\nu}}{\ell} \right) $$ then the $5/2$ kernel is given by $$ \mathcal{K}_{M,5/2}(r) = \sigma^2\left[1 + \frac{r\sqrt{5}}{\ell} + \frac{5r^2}{3\ell^2} \right] \exp\left(-\frac{r\sqrt{5}}{\ell}\right) $$ Then the gradient with respect to $\ell$ and $\sigma$ is \begin{align} \frac{\partial \mathcal{K}_{M,5/2} }{\partial \ell} &= \sigma^2\exp\left(-\frac{r\sqrt{5}}{\ell}\right)\frac{\partial }{\partial \ell} \left[1 + \frac{r\sqrt{5}}{\ell} + \frac{5r^2}{3\ell^2} \right] + \sigma^2\left[1 + \frac{r\sqrt{5}}{\ell} + \frac{5r^2}{3\ell^2} \right] \frac{\partial }{\partial \ell} \exp\left(-\frac{r\sqrt{5}}{\ell}\right) \\ &= \sigma^2\exp\left(-\frac{r\sqrt{5}}{\ell}\right) \left[ \frac{-r\sqrt{5}}{\ell^2} - \frac{10r^2}{3\ell^3} \right] + \sigma^2\left[1 + \frac{r\sqrt{5}}{\ell} + \frac{5r^2}{3\ell^2} \right] \left(\frac{r\sqrt{5}}{\ell^2}\right) \exp\left(-\frac{r\sqrt{5}}{\ell}\right) \\ &= \sigma^2\exp\left(-\frac{r\sqrt{5}}{\ell}\right) \left[ \frac{-r\sqrt{5}}{\ell^2} - \frac{10r^2}{3\ell^3} + \frac{r\sqrt{5}}{\ell^2} + \frac{5{r^2}}{\ell^3} + \frac{5\sqrt{5}r^3}{3\ell^4} \right] \\ &= \sigma^2\exp\left(-\frac{r\sqrt{5}}{\ell}\right) \left[ \frac{5{r^2}}{3\ell^3} + \frac{5\sqrt{5}r^3}{3\ell^4} \right] \\ &= \frac{5{r^2}\sigma^2}{3\ell^3} \exp\left(-\frac{r\sqrt{5}}{\ell}\right) \left[ 1 + \frac{r\sqrt{5}}{\ell} \right] \\ \frac{\partial \mathcal{K}_{M,5/2} }{\partial \sigma} &= \frac{2}{\sigma}\mathcal{K}_{M,5/2}(r) \end{align} Source: Rasmussen and Williams, Gaussian Processes for Machine Learning.
