FastGP: 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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Package details

AuthorGiri Gopalan, Luke Bornn
MaintainerGiri Gopalan <[email protected]>
Package repositoryView on CRAN
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FastGP documentation built on May 29, 2017, 2:02 p.m.