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This pull request implements a simple version of Gaussian Process Regression and RBF kernel under the pyro.contrib.gp module. Comparing to other GP packages, it lacks a huge number of features. So things to do in the future might be

  • Add more kernels, support adding or multiplying kernels together.
  • Add likelihood, mean_function modules.
  • Add other models (such as classification, Poisson regression, dimensional reduction).
  • Support spare methods (using inducing points).
  • Support multidimensional output learning.
  • ... (due to the lack of my knowledge, I can't name them here).

@fehiepsi
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This pull request will be reviewed at #650, so I close.

@fehiepsi fehiepsi closed this Jan 16, 2018
@fehiepsi fehiepsi mentioned this pull request Jan 20, 2018
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@fehiepsi fehiepsi deleted the add-gp branch June 10, 2018 06:42
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