Project details for linearizedGP

Logo linearizedGP 1.0

by dsteinberg - November 28, 2014, 07:02:54 CET [ Project Homepage BibTeX BibTeX for corresponding Paper Download ]

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This code contains python 2.7 and 3.x implementations of the Extended and Unscented Gaussian Processes (E/UGPs) for solving inverse problems. These are similar to regular GPs, but the latent function, f, can optionally have an extra nonlinear relationship to the observations, y, in the likelihood,

  • Normal GP likelihood: y ~ N(f, s^2 I_N) or for a single observation, n, y_n = f_n + e.
  • E/UGP likelihood: y ~ N(g(f), s^2 I_N) or for a single observation, n, y_n = g(f_n) + e.

Where g(.) is an arbitrary scalar function (maps R to R). The posterior Gaussian process parameters are learned using a variational objective with Gauss-Newton style linearization (of g) and mean finding.

More information can be found in our NIPS 2014 paper here:

Changes to previous version:

Initial Announcement on

BibTeX Entry: Download
Corresponding Paper BibTeX Entry: Download
Supported Operating Systems: Linux, Windows, Mac Os X
Data Formats: Numpy
Tags: Regression, Approximate Inference, Nonparametric Bayes, Variational Inference, Inverse Methods, Gaussian Process, Bayesian Inference, Black Box Optimization, Generalized Regression, Derivative Free
Archive: download here


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