Efficiently Using Gaussian Processes with Rcpp and RcppEigen

Contains Rcpp and RcppEigen implementations of matrix operations useful for Gaussian process models, such as the inversion of a symmetric Toeplitz matrix, sampling from multivariate normal distributions, evaluation of the log-density of a multivariate normal vector, and Bayesian inference for latent variable Gaussian process models with elliptical slice sampling (Murray, Adams, and MacKay 2010).


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install.packages("FastGP")

1.2 by Giri Gopalan, 3 years ago


Browse source code at https://github.com/cran/FastGP


Authors: Giri Gopalan , Luke Bornn


Documentation:   PDF Manual  


GPL-2 license


Imports Rcpp, MASS, mvtnorm, rbenchmark, stats

Linking to Rcpp, RcppEigen


See at CRAN