Awesome

README

About

A library for gaussian process regression, I write this library for my Ph.D research of Bayesian optimization

• ARD Gaussian Kernel
• Constant mean function
• MLE to estimate the hyperparameters

Dependencies

• NLOPT
• MVMO

TODO

• VFE approximation
• Diagonal of covariance function

Usage

The training data should be stored in text files train_x and train_y, the test data should be written in test_x, see data/ for example

To use the first num_train data in the train_x and train_y as training set:

$ gp   num_train
$ fitc num_train num_inducing