plgp: Particle Learning of Gaussian Processes

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Sequential Monte Carlo inference for fully Bayesian Gaussian process (GP) regression and classification models by particle learning (PL). The sequential nature of inference and the active learning (AL) hooks provided facilitate thrifty sequential design (by entropy) and optimization (by improvement) for classification and regression models, respectively. This package essentially provides a generic PL interface, and functions (arguments to the interface) which implement the GP models and AL heuristics. Functions for a special, linked, regression/classification GP model and an integrated expected conditional improvement (IECI) statistic is provides for optimization in the presence of unknown constraints. Separable and isotropic Gaussian, and single-index correlation functions are supported. See the examples section of ?plgp and demo(package="plgp") for an index of demos

Author
Robert B. Gramacy <rbgramacy@chicagobooth.edu>
Date of publication
2014-12-02 00:14:32
Maintainer
Robert B. Gramacy <rbgramacy@chicagobooth.edu>
License
LGPL
Version
1.1-7
URLs

View on CRAN

Man pages

addpall.GP
Add data to pall
data.GP
Supply GP data to PL
draw.GP
Metropolis-Hastings draw for GP parameters
exp2d.C
2-d Exponential Hessian Data
init.GP
Initialize particles for GPs
lpredprob.GP
Log-Predictive Probability Calculation for GPs
papply
Extending apply to particles
params.GP
Extract parameters from GP particles
PL
Particle Learning Skeleton Method
plgp-internal
Internal plgp Functions
plgp-package
Particle Learning of Gaussian Processes
pred.GP
Prediction for GPs
prior.GP
Generate priors for GP models
propagate.GP
PL propagate rule for GPs
rectscale
Un/Scale data in a bounding rectangle

Files in this package

plgp
plgp/src
plgp/src/matrix.c
plgp/src/Makevars
plgp/src/rhelp.c
plgp/src/covar.c
plgp/src/linalg.c
plgp/src/entropy.c
plgp/src/ieci.c
plgp/src/rhelp.h
plgp/src/linalg.h
plgp/src/matrix.h
plgp/NAMESPACE
plgp/demo
plgp/demo/plgp_1d_ieci.R
plgp/demo/plgp_exp_ei.R
plgp/demo/plcgp_exp_entropy.R
plgp/demo/plconstgp_1d_ieci.R
plgp/demo/plgp_sin1d.R
plgp/demo/plcgp_exp.R
plgp/demo/00Index
plgp/demo/plcgp_cush.R
plgp/demo/plconstgp_2d_ieci.R
plgp/R
plgp/R/pl.R
plgp/R/entropy.R
plgp/R/ieci.R
plgp/R/plgp.R
plgp/R/plconstgp.R
plgp/R/plcgp.R
plgp/R/covar.R
plgp/R/exp2d_class.R
plgp/MD5
plgp/DESCRIPTION
plgp/ChangeLog
plgp/man
plgp/man/lpredprob.GP.Rd
plgp/man/plgp-package.Rd
plgp/man/pred.GP.Rd
plgp/man/init.GP.Rd
plgp/man/exp2d.C.Rd
plgp/man/params.GP.Rd
plgp/man/propagate.GP.Rd
plgp/man/rectscale.Rd
plgp/man/PL.Rd
plgp/man/prior.GP.Rd
plgp/man/draw.GP.Rd
plgp/man/plgp-internal.Rd
plgp/man/papply.Rd
plgp/man/data.GP.Rd
plgp/man/addpall.GP.Rd