function [Eft, Varft, lpyt, Eyt, Varyt] = gp_pred(gp, x, y, varargin)
%GP_PRED  Make predictions with Gaussian process 
%
%  Description
%    [EFT, VARFT] = GP_PRED(GP, X, Y, XT, OPTIONS)
%    takes a GP structure together with matrix X of training
%    inputs and vector Y of training targets, and evaluates the
%    predictive distribution at test inputs XT. Returns a posterior
%    mean EFT and variance VARFT of latent variables.
%
%        Eft =  E[f | xt,x,y,th]  = K_fy*(Kyy+s^2I)^(-1)*y
%      Varft = Var[f | xt,x,y,th] = diag(K_fy - K_fy*(Kyy+s^2I)^(-1)*K_yf). 
%
%    Each row of X corresponds to one input vector and each row of
%    Y corresponds to one output vector.
%
%    [EFT, VARFT, LPYT] = GP_PRED(GP, X, Y, XT, 'yt', YT, OPTIONS)
%    returns also logarithm of the predictive density LPYT of the
%    observations YT at test input locations XT. This can be used
%    for example in the cross-validation. Here Y has to be a vector.
% 
%    [EFT, VARFT, LPYT, EYT, VARYT] = GP_PRED(GP, X, Y, XT, OPTIONS)
%    returns also the posterior predictive mean EYT and variance VARYT.
%
%    [EF, VARF, LPY, EY, VARY] = GP_PRED(GP, X, Y, OPTIONS)
%    evaluates the predictive distribution at training inputs X
%    and logarithm of the predictive density LPY of the training
%    observations Y.
%
%    OPTIONS is optional parameter-value pair
%      predcf - an index vector telling which covariance functions are 
%               used for prediction. Default is all (1:gpcfn). 
%               See additional information below.
%      tstind - a vector/cell array defining, which rows of X belong 
%               to which training block in *IC type sparse models. 
%               Default is []. In case of PIC, a cell array
%               containing index vectors specifying the blocking
%               structure for test data. In FIC and CS+FIC a
%               vector of length n that points out the test inputs
%               that are also in the training set (if none, set
%               TSTIND = []).
%      yt     - optional observed yt in test points (see below)
%      z      - optional observed quantity in triplet (x_i,y_i,z_i)
%               Some likelihoods may use this. For example, in case of 
%               Poisson likelihood we have z_i=E_i, that is, expected value 
%               for ith case. 
%      zt     - optional observed quantity in triplet (xt_i,yt_i,zt_i)
%               Some likelihoods may use this. For example, in case of 
%               Poisson likelihood we have z_i=E_i, that is, the expected 
%               value for the ith case. 
%      fcorr  - Method used for latent marginal posterior corrections. 
%               Default is 'off'. Possible methods are 'fact' for EP
%               and either 'fact' or 'cm2' for Laplace. If method is
%               'on', 'fact' is used for EP and 'cm2' for Laplace.
%
%    NOTE! In case of FIC and PIC sparse approximation the
%    prediction for only some PREDCF covariance functions is just
%    an approximation since the covariance functions are coupled in
%    the approximation and are not strictly speaking additive
%    anymore.
%
%    For example, if you use covariance such as K = K1 + K2 your
%    predictions Ef1 = gp_pred(GP, X, Y, X, 'predcf', 1) and Ef2 =
%    gp_pred(gp, x, y, x, 'predcf', 2) should sum up to Ef =
%    gp_pred(gp, x, y, x). That is Ef = Ef1 + Ef2. With FULL model
%    this is true but with FIC and PIC this is true only
%    approximately. That is Ef \approx Ef1 + Ef2.
%
%    With CS+FIC the predictions are exact if the PREDCF covariance
%    functions are all in the FIC part or if they are CS
%    covariances.
%
%    NOTE! When making predictions with a subset of covariance
%    functions with FIC approximation the predictive variance can
%    in some cases be ill-behaved i.e. negative or
%    unrealistically small. This may happen because of the
%    approximative nature of the prediction.
%
%  See also
%    GP_SET, GP_OPTIM, DEMO_REGRESSION*
%
% Copyright (c) 2007-2010 Jarno Vanhatalo
% Copyright (c) 2008 Jouni Hartikainen
% Copyright (c) 2010,2012 Aki Vehtari
% Copyright (c) 2014 Arno Solin and Jukka Koskenranta

% This software is distributed under the GNU General Public
% License (version 3 or later); please refer to the file
% License.txt, included with the software, for details.

ip=inputParser;
ip.FunctionName = 'GP_PRED';
ip.addRequired('gp',@(x) isstruct(x) || iscell(x));
ip.addRequired('x', @(x) ~isempty(x) && isreal(x) && all(isfinite(x(:))))
ip.addRequired('y', @(x) ~isempty(x) && isreal(x) && all(isfinite(x(:))))
ip.addOptional('xt', [], @(x) isempty(x) || (isreal(x) && all(isfinite(x(:)))))
ip.addParamValue('yt', [], @(x) isreal(x) && all(isfinite(x(:))))
ip.addParamValue('zt', [], @(x) isreal(x) && all(isfinite(x(:))))
ip.addParamValue('z', [], @(x) isreal(x) && all(isfinite(x(:))))
ip.addParamValue('predcf', [], @(x) isempty(x) || ...
                 isvector(x) && isreal(x) && all(isfinite(x)&x>=0))
ip.addParamValue('tstind', [], @(x) isempty(x) || iscell(x) ||...
                 (isvector(x) && isreal(x) && all(isfinite(x)&x>0)))
ip.addParamValue('fcorr', 'off', @(x) ismember(x, {'off', 'fact', 'cm2', 'on'}));
if numel(varargin)==0 || isnumeric(varargin{1})
  % inputParser should handle this, but it doesn't
  ip.parse(gp, x, y, varargin{:});
else
  ip.parse(gp, x, y, [], varargin{:});
end
xt=ip.Results.xt;
yt=ip.Results.yt;
zt=ip.Results.zt;
z=ip.Results.z;
predcf=ip.Results.predcf;
tstind=ip.Results.tstind;
if isempty(xt)
  xt=x;
  if isempty(tstind)
    if iscell(gp)
      gptype=gp{1}.type;
    else
      gptype=gp.type;
    end
    switch gptype
      case {'FULL' 'VAR' 'DTC' 'SOR'}
        tstind = [];
      case {'FIC' 'CS+FIC'}
        tstind = 1:size(x,1);
      case 'PIC'
        if iscell(gp)
          tstind = gp{1}.tr_index;
        else
          tstind = gp.tr_index;
        end
    end
  end
  if isempty(yt)
    yt=y;
  end
  if isempty(zt)
    zt=z;
  end
end

if iscell(gp) || numel(gp.jitterSigma2)>1 || isfield(gp,'latent_method')
  % use an inference specific method
  if iscell(gp)
    fh_pred=@gpia_pred;
  elseif numel(gp.jitterSigma2)>1
    fh_pred=@gpmc_pred;
  elseif isfield(gp,'latent_method')
    fh_pred=gp.fh.pred;
  else
    error('Logical error by the coder of this function!')
  end
  % pass these forward
  options=struct();
  if ~isempty(yt);options.yt=yt;end
  if ~isempty(z);options.z=z;end
  if ~isempty(zt);options.zt=zt;end
  if ~isempty(predcf);options.predcf=predcf;end
  if ~isempty(tstind);options.tstind=tstind;end
  switch nargout
    case {1 0}
      [Eft] = fh_pred(gp, x, y, varargin{:});
    case 2
      [Eft, Varft] = fh_pred(gp, x, y, varargin{:});
    case 3
      [Eft, Varft, lpyt] = fh_pred(gp, x, y, varargin{:});
    case 4
      [Eft, Varft, lpyt, Eyt] = fh_pred(gp, x, y, varargin{:});
    case 5
      [Eft, Varft, lpyt, Eyt, Varyt] = fh_pred(gp, x, y, varargin{:});
  end
  return
end

tn = size(x,1);
if nargout > 2 && isempty(yt)
  lpyt=[];
end

if isfield(gp.lik, 'nondiagW') && ~ismember(gp.lik.type, {'LGP' 'LGPC'})
  % Likelihoods with non-diagonal Hessian
  y=y(:);
  switch gp.lik.type
    case {'Softmax', 'Multinom'}
      nout = size(y,1)./tn;
    otherwise
      nout=length(gp.comp_cf);
  end
  
  if isfield(gp, 'comp_cf')  % own covariance for each ouput component
    multicf = true;
    if length(gp.comp_cf) ~= nout
      error('GP_PRED: the number of component vectors in gp.comp_cf must be the same as number of outputs or latent processes.')
    end
    if ~isempty(predcf)
      if ~iscell(predcf) || length(predcf)~=nout
        error(['GP_PRED: if own covariance for each output or latent process component is used,'...
          'predcf has to be cell array and contain nout (vector) elements.   '])
      end
    else
      predcf = gp.comp_cf;
    end
  else
    multicf = false;
    for i1=1:nout
      predcf2{i1} = predcf;
    end
    predcf=predcf2;
  end
  if ~isfield(gp.lik, 'xtime')
    y = reshape(y, tn, nout);
  end
end

switch gp.type
  case 'FULL'
    
    if ~isfield(gp.lik, 'nondiagW') || ismember(gp.lik.type, {'LGP' 'LGPC'})
      %evaluate a = C\y;
      % -------------------
      [tmp, C]=gp_trcov(gp,x);
      
      if issparse(C)
        LD = ldlchol(C);
        a = ldlsolve(LD,y);
      elseif isempty(C)
        C=0;
        L=[];
        a = zeros(length(y),1);
      else
        L = chol(C,'lower');
        a = L'\(L\y);
      end
      
      % evaluate K*a
      % -------------------
      nxt = size(xt,1); nblock=10000;
      ind = ceil(nxt./nblock);
      Eft = zeros(nxt,1);    % Mean
      if isfield(gp,'derivobs') && gp.derivobs==1
        nderobs = length(y)./length(x);
        Eft = zeros(nxt,1)*nderobs;    % Mean
      end
      Varft = zeros(nxt,1);    % Variance
      
      for i1=1:ind
        % Do the prediction in blocks to save memory
        xtind = (i1-1)*nblock+1:min(i1*nblock,nxt);
        xtind2 = xtind;
        K=gp_cov(gp,x,xt(xtind,:),predcf);
        if isfield(gp,'derivobs') && gp.derivobs==1
          for k2=2:nderobs
            xtind2 = [xtind2 xtind+length(xt)*(k2-1)];
          end
        end
        if ~isempty(K)
          Eft(xtind2) = K'*a;
        end
        if  isfield(gp,'meanf')
          if issparse(C)
            % terms with non-zero mean -prior
            [RB, RAR] = mean_predf(gp,x,xt(xtind,:),K,LD,a,'gaussian',[]);
          else
            % terms with non-zero mean -prior
            [RB, RAR] = mean_predf(gp,x,xt(xtind,:),K,L,a,'gaussian',[]);
          end
          Eft(xtind2) = Eft(xtind2) + RB;
        end
        
        % Evaluate variance
        % Vector of diagonal elements of covariance matrix
        if nargout > 1
          
          V = gp_trvar(gp,xt((i1-1)*nblock+1:min(i1*nblock,nxt),:),predcf);
          if issparse(C)
            Varft(xtind2) = V - diag(K'*ldlsolve(LD,K));
          else
            v = L\K;
            Varft(xtind2) = V - sum(v'.*v',2);
          end
          
          % If there are specified mean functions
          if  isfield(gp,'meanf')
            Varft(xtind2) = Varft(xtind2) + RAR;
          end
        end
      end
    else
      if ~isfield(gp.lik, 'xtime')
        % Likelihoods with non-diagnoalizable Hessian
        L = zeros(tn,tn,nout);
        ntest=size(xt,1);
        K_nf = zeros(ntest,tn,nout);
        if multicf
          for i1=1:nout
            [tmp,C] = gp_trcov(gp, x, gp.comp_cf{i1});
            L(:,:,i1) = chol(C)';
            K_nf(:,:,i1) = gp_cov(gp,xt,x,predcf{i1});
          end
        else
          for i1=1:nout
            [tmp,C] = gp_trcov(gp, x);
            L(:,:,i1) = chol(C)';
            K_nf(:,:,i1) = gp_cov(gp,xt,x,predcf{i1});
          end
        end
        
        
        Eft = zeros(ntest,nout);
        for i1=1:nout
          Eft(:,i1) = K_nf(:,:,i1)*(L(:,:,i1)'\(L(:,:,i1)\y(:,i1)));
        end
        Varft = zeros(ntest,nout);
        if nargout > 1
          for i1=1:nout
            v = L(:,:,i1)\K_nf(:,:,i1)';
            V = gp_trvar(gp,xt,predcf{i1});
            Varft(:,i1) = V - sum(v'.*v',2);
          end
        end
        Eft=Eft(:);
        Varft=Varft(:);
      else
        ntime=size(gp.lik.xtime,1);
        xtime=gp.lik.xtime;
        L=zeros(size(y,1));
        ntest=size(xt,1);
        K_nf = zeros(ntest+ntime,tn+ntime);
        [tmp,C] = gp_trcov(gp, xtime, gp.comp_cf{1});
        L(1:ntime,1:ntime) = chol(C,'lower');
        [tmp,C] = gp_trcov(gp, x, gp.comp_cf{2});
        L(ntime+(1:tn),ntime+(1:tn)) = chol(C,'lower');
        K_nf(1:ntime,1:ntime) = gp_cov(gp,xtime,xtime,predcf{1});
        K_nf((ntime+1):end,(ntime+1):end) = gp_cov(gp,xt,x,predcf{2});
        
        Eft = K_nf*(L'\(L\y));
        if nargout > 1
          v = L\K_nf';
          V(1:ntime,:) = gp_trvar(gp,xtime,predcf{1});
          V(ntime+(1:ntest),:) = gp_trvar(gp,xt,predcf{2});
          Varft = V - sum(v'.*v',2);
        end
        Eft=Eft(:);
        Varft=Varft(:);
      end
    end
    
    if nargout > 2
      % Scale mixture model in lik_smt is a special case 
      % handle it separately
      if ~strcmp(gp.lik.type, 'Gaussian-smt') 
        % normal case
        [V, Cv] = gp_trvar(gp,xt,predcf);
        Eyt = Eft;
        Varyt = Varft + Cv - V;
        if ~isempty(yt)
          lpyt = norm_lpdf(yt, Eyt, sqrt(Varyt));
        end
      else 
        % scale mixture case
        nu = gp.lik.nu;
        sigma2 = gp.lik.tau2.*gp.lik.alpha.^2;
        sigma = sqrt(sigma2);
        
        Eyt = Eft;
        Varyt = (nu./(nu-2).*sigma2);
        
        for i2 = 1:length(Eft)
          mean_app = Eft(i2);
          sigm_app = sqrt(Varft(i2));

          pd = @(f) t_pdf(yt(i2), nu, f, sigma).*norm_pdf(f,Eft(i2),sqrt(Varft(i2)));
          if ~isempty(yt)
            lpyt(i2) = log(quadgk(pd, mean_app - 12*sigm_app, mean_app + 12*sigm_app));
          end
        end         
      end
    end
  case 'FIC'
    % Check the tstind vector
    if nargin > 5
      if ~isempty(tstind) && length(tstind) ~= size(x,1)
        error('tstind (if provided) has to be of same length as x.')
      end
    else
      tstind = [];
    end
    
    u = gp.X_u;
    m = size(u,1);
    if size(u,2) ~= size(x,2)
      % Turn the inducing vector on right direction
      u=u';
    end
    % Calculate some help matrices
    [Kv_ff, Cv_ff] = gp_trvar(gp, x);  % 1 x f  vector
    K_fu = gp_cov(gp, x, u);   % f x u
    K_uu = gp_trcov(gp, u);     % u x u, noiseles covariance K_uu
    K_nu = gp_cov(gp,xt,u);       % n x u
    Luu = chol(K_uu,'lower');
    
    % Evaluate the Lambda (La) for specific model
    % Q_ff = K_fu*inv(K_uu)*K_fu'
    % Here we need only the diag(Q_ff), which is evaluated below
    B=Luu\(K_fu');
    Qv_ff=sum(B.^2)';
    Lav = Cv_ff-Qv_ff;   % 1 x f, Vector of diagonal elements
                         % iLaKfu = diag(inv(Lav))*K_fu = inv(La)*K_fu
    iLaKfu = zeros(size(K_fu));  % f x u,
    n=size(x,1);
    for i=1:n
      iLaKfu(i,:) = K_fu(i,:)./Lav(i);  % f x u
    end
    A = K_uu+K_fu'*iLaKfu;
    A = (A+A')./2;

    L = iLaKfu/chol(A);
    p = y./Lav - L*(L'*y);

    % Prediction matrices formed with only subset of cf's.
    if ~isempty(predcf)
      K_fu = gp_cov(gp, x, u, predcf);   % f x u
      K_uu = gp_trcov(gp, u, predcf);     % u x u, noiseles covariance K_uu
      K_nu = gp_cov(gp,xt,u,predcf);       % n x u
    end
    Eft = K_nu*(K_uu\(K_fu'*p));

    % if the prediction is made for training set, evaluate Lav also for
    % prediction points
    if ~isempty(tstind)
      [Kv_ff, Cv_ff] = gp_trvar(gp, xt(tstind,:), predcf);
      Luu = chol(K_uu)';
      B=Luu\(K_fu');
      Qv_ff=sum(B.^2)';
      Lav2 = zeros(size(Eft));
      Lav2(tstind) = Kv_ff-Qv_ff;
      Eft(tstind) = Eft(tstind) + Lav2(tstind).*p;
    end

    if nargout > 1
      [Knn_v, Cnn_v] = gp_trvar(gp,xt,predcf);
      Luu = chol(K_uu)';
      B=Luu\(K_fu');
      B2=Luu\(K_nu');
      
      Varft = Knn_v - sum(B2'.*(B*(repmat(Lav,1,size(K_uu,1)).\B')*B2)',2)  + sum((K_nu*(K_uu\(K_fu'*L))).^2, 2);

      % if the prediction is made for training set, evaluate Lav also for
      % prediction points
      if ~isempty(tstind)
        Varft(tstind) = Varft(tstind)...
            - 2.*sum( B2(:,tstind)'.*(repmat((Lav.\Lav2(tstind)),1,m).*B'),2) ...
            + 2.*sum( B2(:,tstind)'*(B*L).*(repmat(Lav2(tstind),1,m).*L), 2)  ...
            - Lav2(tstind)./Lav.*Lav2(tstind) + sum((repmat(Lav2(tstind),1,m).*L).^2,2);
      end
    end
    
    
    if nargout > 2
      Eyt = Eft;
      Varyt = Varft + Cnn_v - Knn_v;
      if ~isempty(yt)
        lpyt = norm_lpdf(yt, Eyt, sqrt(Varyt));
      end
    end
    
  case {'PIC' 'PIC_BLOCK'}
    u = gp.X_u;
    ind = gp.tr_index;
    if size(u,2) ~= size(x,2)
      % Turn the inducing vector on right direction
      u=u';
    end

    % Calculate some help matrices
    [Kv_ff, Cv_ff] = gp_trvar(gp, x);  % 1 x f  vector
    K_fu = gp_cov(gp, x, u);         % f x u
    K_nu = gp_cov(gp, xt, u);         % n x u
    K_uu = gp_trcov(gp, u);    % u x u, noiseles covariance K_uu
    Luu = chol(K_uu)';

    % Evaluate the Lambda (La) for specific model
    % Q_ff = K_fu*inv(K_uu)*K_fu'
    % Here we need only the diag(Q_ff), which is evaluated below
    B=Luu\K_fu';
    iLaKfu = zeros(size(K_fu));  % f x u
    for i=1:length(ind)
      Qbl_ff = B(:,ind{i})'*B(:,ind{i});
      [Kbl_ff, Cbl_ff] = gp_trcov(gp, x(ind{i},:));
      La{i} = Cbl_ff - Qbl_ff;
      iLaKfu(ind{i},:) = La{i}\K_fu(ind{i},:);    
    end
    A = K_uu+K_fu'*iLaKfu;
    A = (A+A')./2;            % Ensure symmetry
    L = iLaKfu/chol(A);

    % From this on evaluate the prediction
    % See Snelson and Ghahramani (2007) for details
    for i=1:length(ind)
      p(ind{i},:) = La{i}\y(ind{i},:);
    end
    p = p - L*(L'*y);
    
    % Prediction matrices formed with only subsetof cf's.
    if ~isempty(predcf)
      K_fu = gp_cov(gp, x, u, predcf);  % f x u
      K_nu = gp_cov(gp, xt, u, predcf); % n x u
      K_uu = gp_trcov(gp, u, predcf);   % u x u, noiseles covariance K_uu
    end
    
    iKuuKuf = K_uu\K_fu';    
    w_bu=zeros(length(xt),length(u));
    w_n=zeros(length(xt),1);
    for i=1:length(ind)
      w_bu(tstind{i},:) = repmat((iKuuKuf(:,ind{i})*p(ind{i},:))', length(tstind{i}),1);
      K_nf = gp_cov(gp, xt(tstind{i},:), x(ind{i},:),predcf);              % n x u
      w_n(tstind{i},:) = K_nf*p(ind{i},:);
    end
    
    Eft = K_nu*(iKuuKuf*p) - sum(K_nu.*w_bu,2) + w_n;
    

    if nargout > 1        
      % Form iLaKfu again if a subset of cf's is used for making predictions
      if ~isempty(predcf)
        iLaKfu = zeros(size(K_fu));  % f x u
        for i=1:length(ind)
          iLaKfu(ind{i},:) = La{i}\K_fu(ind{i},:);    
        end
      end
      
      kstarstar = gp_trvar(gp, xt, predcf);
      KnuiKuu = K_nu/K_uu;
      KufiLaKfu = K_fu'*iLaKfu;
      QnfL = KnuiKuu*(K_fu'*L);
      Varft1 = zeros(size(xt,1),1);
      Varft2 = zeros(size(xt,1),1);
      Varft3 = zeros(size(xt,1),1);
      for i=1:length(ind)
        KubiLaKbu = K_fu(ind{i},:)'/La{i}*K_fu(ind{i},:);
        nonblock = KufiLaKfu - KubiLaKbu;
        Varft1(tstind{i}) = diag(KnuiKuu(tstind{i},:)*nonblock*KnuiKuu(tstind{i},:)');
        
        Knb = gp_cov(gp, xt(tstind{i},:), x(ind{i},:), predcf);
        Varft2(tstind{i}) = diag(Knb/La{i}*Knb');
        
        KnbL = Knb*L(ind{i},:);
        QnbL = KnuiKuu(tstind{i},:)*(K_fu(ind{i},:)'*L(ind{i},:));
        %Varft3(tstind{i}) = sum(QnfL(tstind{i},:) - QnbL + KnbL,2);
        Varft3(tstind{i}) = diag((QnfL(tstind{i},:) - QnbL + KnbL)*(QnfL(tstind{i},:) - QnbL + KnbL)');
      end        
      Varft = kstarstar - (Varft1 + Varft2 - Varft3);
    end
    
    
% $$$     B2=Luu\(K_nu');
% $$$     C = B'*B;
% $$$     KKnn = gp_trcov(gp,xt,predcf);
% $$$     Knn = B2'*B2;
% $$$     Knf = B2'*B;
% $$$     KKnf = gp_cov(gp,xt,x,predcf);
% $$$     for i=1:length(ind)
% $$$         C(ind{i},ind{i}) = C(ind{i},ind{i}) + La{i};
% $$$         Knn(ind{i},ind{i}) = Knn(ind{i},ind{i}) + KKnn(tstind{i},tstind{i}) - B2(:,tstind{i})'*B2(:,tstind{i});
% $$$         Knf(tstind{i},ind{i}) = Knf(tstind{i},ind{i}) + KKnf(tstind{i},ind{i}) - B2(:,tstind{i})'*B(:,ind{i});
% $$$     end
% $$$     
% $$$     L = chol(C)';
% $$$     %    y=K'*(C\y);
% $$$     a = L'\(L\y);
% $$$     Eft = Knf*a;
% $$$         
% $$$     v = L\Knf';
% $$$     Varft = diag(Knn) - diag(v'*v);
    
    if nargout > 2
      Eyt = Eft;
      [Knn_v, Cnn_v] = gp_trvar(gp,xt,predcf);
      Varyt = Varft + Cnn_v - Knn_v;
      if ~isempty(yt)
        lpyt = norm_lpdf(yt, Eyt, sqrt(Varyt));
      end
    end
  case 'CS+FIC'
    % Here tstind = 1 if the prediction is made for the training set 
    if nargin > 5
      if ~isempty(tstind) && length(tstind) ~= size(x,1)
        error('tstind (if provided) has to be of same length as x.')
      end
    else
      tstind = [];
    end
    
    u = gp.X_u;
    if size(u,2) ~= size(x,2)
      % Turn the inducing vector on right direction
      u=u';
    end
    
    n = size(x,1);
    n2 = size(xt,1);
    m = size(u,1);
    ncf = length(gp.cf);
    
    % Indexes to all non-compact support and compact support covariances.
    cf1 = [];
    cf2 = [];
    % Indexes to non-CS and CS covariances, which are used for predictions
    predcf1 = [];
    predcf2 = [];    

    % Loop through all covariance functions
    for i = 1:ncf        
      if ~isfield(gp.cf{i},'cs') 
        % Non-CS covariances
        cf1 = [cf1 i];
        % If used for prediction
        if ~isempty(find(predcf==i))
          predcf1 = [predcf1 i]; 
        end
      else
        % CS-covariances
        cf2 = [cf2 i];           
        % If used for prediction
        if ~isempty(find(predcf==i))
          predcf2 = [predcf2 i]; 
        end
      end
    end
    if isempty(predcf1) && isempty(predcf2)
      predcf1 = cf1;
      predcf2 = cf2;
    end
    
    % Determine the types of the covariance functions used
    % in making the prediction.
    if ~isempty(predcf1) && isempty(predcf2)
      % Only non-CS covariances
      ptype = 1;
      predcf2 = cf2;
    elseif isempty(predcf1) && ~isempty(predcf2)
      % Only CS covariances
      ptype = 2;
      predcf1 = cf1;
    else
      % Both non-CS and CS covariances
      ptype = 3;
    end
    
    % First evaluate needed covariance matrices
    % v defines that parameter is a vector
    [Kv_ff, Cv_ff] = gp_trvar(gp, x, cf1); % f x 1  vector    
    K_fu = gp_cov(gp, x, u, cf1);          % f x u
    K_uu = gp_trcov(gp, u, cf1);    % u x u, noiseles covariance K_uu
    K_uu = (K_uu+K_uu')./2;         % ensure the symmetry of K_uu

    Luu  = chol(K_uu)';
    K_nu = gp_cov(gp, xt, u, cf1);  % n x u

    % Evaluate the Lambda (La)
    % Q_ff = K_fu*inv(K_uu)*K_fu'
    B=Luu\(K_fu');       % u x f
    Qv_ff=sum(B.^2)';
    Lav = Cv_ff-Qv_ff;   % f x 1, Vector of diagonal elements

    K_cs = gp_trcov(gp,x,cf2);
    Kcs_nf = gp_cov(gp, xt, x, predcf2);
    La = sparse(1:tn,1:tn,Lav,tn,tn) + K_cs;
    
    iLaKfu = La\K_fu;
    A = K_uu+K_fu'*iLaKfu;
    A = (A+A')./2;     % Ensure symmetry
    L = iLaKfu/chol(A);
    
    p = La\y - L*(L'*y);

    %p2 = y./Lav - iLaKfu*(A\(iLaKfu'*y));
    %    Knf = K_nu*(K_uu\K_fu');

    K_fu = gp_cov(gp, x, u, predcf1);  % f x u
    K_uu = gp_trcov(gp, u, predcf1);   % u x u, noiseles covariance K_uu
    K_uu = (K_uu+K_uu')./2;            % ensure the symmetry of K_uu
    K_nu = gp_cov(gp, xt, u, predcf1); % n x u    

    % Calculate the predictive mean according to the type of
    % covariance functions used for making the prediction
    if ptype == 1
      Eft = K_nu*(K_uu\(K_fu'*p));
    elseif ptype == 2
      Eft = Kcs_nf*p;
    else 
      Eft = K_nu*(K_uu\(K_fu'*p)) + Kcs_nf*p;
    end
    
    % evaluate also Lav2 if the prediction is made for training set
    if ~isempty(tstind)
      [Kv_ff, Cv_ff] = gp_trvar(gp, xt(tstind,:), predcf1);
      Luu = chol(K_uu)';
      B=Luu\(K_fu');
      Qv_ff=sum(B.^2)';
      Lav2 = zeros(size(Eft));
      Lav2(tstind) = Kv_ff-Qv_ff;
    end  

    % Add also Lav2 if the prediction is made for training set
    % and non-CS covariance function is used for prediction
    if ~isempty(tstind) && (ptype == 1 || ptype == 3)
      Eft(tstind) = Eft(tstind) + Lav2(tstind).*p;
    end
    
    if nargout > 1
      [Knn_v, Cnn_v] = gp_trvar(gp,xt,predcf);
      Luu = chol(K_uu)';
      B=Luu\(K_fu');
      B2=Luu\(K_nu');
      iLaKfu = La\K_fu;
      
      % Calculate the predictive variance according to the type
      % covariance functions used for making the prediction
      if ptype == 1 || ptype == 3                            
        % FIC part of the covariance
        Varft = Knn_v - sum(B2'.*(B*(La\B')*B2)',2) + sum((K_nu*(K_uu\(K_fu'*L))).^2, 2);
        % Add Lav2 if the prediction is made for the training set
        if  ~isempty(tstind)
          % Non-CS covariance
          if ptype == 1
            Kcs_nf = sparse(tstind,1:n,Lav2(tstind),n2,n);
            % Non-CS and CS covariances
          else
            Kcs_nf = Kcs_nf + sparse(tstind,1:n,Lav2(tstind),n2,n);
          end
          % Add Lav2 and possibly Kcs_nf
          Varft = Varft - sum((Kcs_nf/chol(La)).^2,2) + sum((Kcs_nf*L).^2, 2) ...
                  - 2.*sum((Kcs_nf*iLaKfu).*(K_uu\K_nu')',2) + 2.*sum((Kcs_nf*L).*(L'*K_fu*(K_uu\K_nu'))' ,2);                
          % In case of both non-CS and CS prediction covariances add 
          % only Kcs_nf if the prediction is not done for the training set 
        elseif ptype == 3
          Varft = Varft - sum((Kcs_nf/chol(La)).^2,2) + sum((Kcs_nf*L).^2, 2) ...
                  - 2.*sum((Kcs_nf*iLaKfu).*(K_uu\K_nu')',2) + 2.*sum((Kcs_nf*L).*(L'*K_fu*(K_uu\K_nu'))' ,2);
        end
        % Prediction with only CS covariance
      elseif ptype == 2
        Varft = Knn_v - sum((Kcs_nf/chol(La)).^2,2) + sum((Kcs_nf*L).^2, 2) ;
      end        
    end
    
% $$$     Lav_pr = Kv_ff-Qv_ff;
% $$$     K2 = B'*B + K_cs + diag(Lav_pr);
% $$$     C = B'*B + K_cs + diag(Lav);
% $$$     K = B'*B + Kcs_nf + diag(Lav_pr); 
% $$$     
% $$$     L = chol(C)';
% $$$     %    y=K'*(C\y);
% $$$     a = L'\(L\y);
% $$$     Eft = K'*a;
% $$$ 
% $$$     v = L\K;
% $$$     V = gp_trvar(gp,xt,predcf);
% $$$     Varft = V - diag(v'*v);

    if nargout > 2
      Eyt = Eft;
      Varyt = Varft + Cnn_v - Knn_v;
      if ~isempty(yt)
        lpyt = norm_lpdf(yt, Eyt, sqrt(Varyt));
      end
    end
    
  case {'VAR' 'DTC' 'SOR'}
    % Check the tstind vector
    if nargin > 5
      if ~isempty(tstind) && length(tstind) ~= size(tx,1)
        error('tstind (if provided) has to be of same length as tx.')
      end
    else
      tstind = [];
    end
    
    u = gp.X_u;
    m = size(u,1);
    % Turn the inducing vector on right direction
    if size(u,2) ~= size(x,2)
      u=u';
    end
    % Calculate some help matrices
    [Kv_ff, Cv_ff] = gp_trvar(gp, x);  % 1 x f  vector
    K_fu = gp_cov(gp, x, u);   % f x u
    K_uu = gp_trcov(gp, u);     % u x u, noiseles covariance K_uu
    K_nu = gp_cov(gp,xt,u);       % n x u
    Luu = chol(K_uu)';
    
    % Evaluate the Lambda (La) for specific model
    % Q_ff = K_fu*inv(K_uu)*K_fu'
    % Here we need only the diag(Q_ff), which is evaluated below
    B=Luu\(K_fu');
    Qv_ff=sum(B.^2)';
    Lav = Cv_ff-Kv_ff;   % 1 x f, Vector of diagonal elements
                         % iLaKfu = diag(inv(Lav))*K_fu = inv(La)*K_fu
    iLaKfu = zeros(size(K_fu));  % f x u,
    n=size(x,1);
    for i=1:n
      iLaKfu(i,:) = K_fu(i,:)./Lav(i);  % f x u
    end
    A = K_uu+K_fu'*iLaKfu;
    A = (A+A')./2;

    L = iLaKfu/chol(A);
    p = y./Lav - L*(L'*y);

    % Prediction matrices formed with only subset of cf's.
    if ~isempty(predcf)
      K_fu = gp_cov(gp, x, u, predcf);   % f x u
      K_uu = gp_trcov(gp, u, predcf);     % u x u, noiseles covariance K_uu
      K_nu = gp_cov(gp,xt,u,predcf);       % n x u
    end
    Eft = K_nu*(K_uu\(K_fu'*p));


    if nargout > 1
      [Knn_v, Cnn_v] = gp_trvar(gp,xt,predcf);
      Luu = chol(K_uu)';
      B=Luu\(K_fu');
      B2=Luu\(K_nu');
      
      Varftr = sum(B2'.*(B*bsxfun(@ldivide,Lav,B')*B2)',2) - sum((K_nu*(K_uu\(K_fu'*L))).^2, 2);
      switch gp.type
        case {'VAR' 'DTC'}
          Varft = Knn_v - Varftr;
        case  'SOR'
          Varft = sum(B2.^2,1)' - Varftr;
      end

    end
    if nargout > 2
      Eyt = Eft;
      switch gp.type
        case {'VAR' 'DTC'}
          Varyt = Varft + Cnn_v - Knn_v;
        case 'SOR'
          Varyt = Varft + Cnn_v - sum(B2.^2,1)';
      end
      if ~isempty(yt)
        lpyt = norm_lpdf(yt, Eyt, sqrt(Varyt));
      end
    end  

  case {'KALMAN'}
    % ============================================================
    % Kalman filtering and smoothing
    % ============================================================

    % The implementation below is primarily based on the methods 
    % presented in the following publication. If you find this 
    % useful as a part of your own research, please cite the paper.
    %
    % Simo Sarkka, Arno Solin, Jouni Hartikainen (2013). 
    %   Spatiotemporal Learning via Infinite-Dimensional Bayesian 
    %   Filtering and Smoothing. IEEE Signal Processing Magazine, 
    %   30(4):51-61.
      
    % Check inputs
    if (size(x,2)>1) || (size(xt,2)>1),
      error('The ''KALMAN'' option only supports scalar inputs.')
    end
    
    % Combine observations and test points
    xall = [x(:); xt(:)];
    yall = [y(:); nan(numel(xt),1)];
    
    % Make sure the points are unique and in ascending order
    [xall,sort_ind,return_ind] = unique(xall,'first');
    yall = yall(sort_ind);
    
    % Only return test indices;
    return_ind = return_ind(end-numel(xt)+1:end);
            
    % Extract the noise magnitude from the GP likelihood model
    R = gp.lik.sigma2;
    
    % Initialize model matrices
    F    = [];
    L    = [];
    Qc   = [];
    H    = [];
    Hs   = [];
    Pinf = [];
    
    % For each covariance function
    for j=1:length(gp.cf)
 
      % Form state-space model from the gp.cf{j}
      [jF,jL,jQc,jH,jPinf] = gp.cf{j}.fh.cf2ss(gp.cf{j});
    
      % Make Hs according to requested covariance components
      if isempty(predcf) || any(predcf==j)
        Hs = [Hs jH];  
      else
        Hs = [Hs 0*jH];  
      end
      
      % Stack model
      F    = blkdiag(F,jF);
      L    = blkdiag(L,jL);
      Qc   = blkdiag(Qc,jQc);
      H    = [H jH];    
      Pinf = blkdiag(Pinf,jPinf);
      
    end
          
    % Set initial state
    m = zeros(size(F,1),1);
    P = Pinf;
    
    % Allocate space for results
    MS = zeros(size(m,1),size(yall,1));
    PS = zeros(size(m,1),size(m,1),size(yall,1));
    A = zeros(size(F,1),size(F,2),size(yall,1));
    Q = zeros(size(P,1),size(P,2),size(yall,1));
    
    % Initial dt
    dt = inf;
    
    % Kalman filter
    for k=1:numel(yall)
        
      % Solve A using the method by Davison
      if (k>1)
          
        % Discrete-time solution (only for stable systems)
        dt_old = dt;
        dt = xall(k)-xall(k-1);
        
        % Should we calculate a new discretization?
        if abs(dt-dt_old) < 1e-9
          A(:,:,k) = A(:,:,k-1);
          Q(:,:,k) = Q(:,:,k-1);
        else
          A(:,:,k) = expm(F*dt);
          Q(:,:,k) = Pinf - A(:,:,k)*Pinf*A(:,:,k)';
        end
        
        % Prediction step
        m = A(:,:,k) * m;
        P = A(:,:,k) * P * A(:,:,k)' + Q(:,:,k);
        
      end
      
      % Update step
      if ~isnan(yall(k))
        S = H*P*H'+R;
        K = P*H'/S;
        v = yall(k,:)'-H*m;
        m = m + K*v;
        P = P - K*H*P;
      end
      
      % Store estimate
      MS(:,k)   = m;
      PS(:,:,k) = P;
      
    end
    
    % Rauch-Tung-Striebel smoother
    for k=size(MS,2)-1:-1:1
      
      % Smoothing step (using Cholesky for stability)
      PSk = PS(:,:,k);
      
      % Solve the Cholesky factorization
      [L,notposdef] = chol(A(:,:,k+1)*PSk*A(:,:,k+1)'+Q(:,:,k+1),'lower');
      
      % Numerical problems in Cheloseky, retry with jitter
      if notposdef>0
        jitter = gp.jitterSigma2*diag(rand(size(A,1),1));
        L = chol(A(:,:,k+1)*PSk*A(:,:,k+1)'+Q(:,:,k+1)+jitter,'lower');
      end
      
      % Continue smoothing step
      G = PSk*A(:,:,k+1)'/L'/L;
      m = MS(:,k) + G*(m-A(:,:,k+1)*MS(:,k));
      P = PSk + G*(P-A(:,:,k+1)*PSk*A(:,:,k+1)'-Q(:,:,k+1))*G';
      
      % Store estimate
      MS(:,k)   = m;
      PS(:,:,k) = P;
      
    end    
    
    % These indices shall remain
    MS = MS(:,return_ind);
    PS = PS(:,:,return_ind);
    
    % Return mean as column vector
    Eft = (Hs*MS)';
    
    % Return variance as column vector
    if nargout > 1
      Varft  = arrayfun(@(k) Hs*PS(:,:,k)*Hs',1:size(PS,3))';
    end
    
    % Return posterior predictive outputs
    if nargout > 2
        
      % Return posterior predictive mean
      Eyt = Eft;
      
      % Return posterior predictive variance
      Varyt = Varft + gp.lik.sigma2;
      
      % Return logarithm of the predictive density,
      % assumes Gaussian likelihood (applies to 'KALMAN')
      if ~isempty(yt)
        lpyt = norm_lpdf(yt, Eyt, sqrt(Varyt));
      else
        lpyt = [];
      end
    end
end


