Gaussian Process Fitting

Fits a Gaussian process model to data. Gaussian processes are commonly used in computer experiments to fit an interpolating model. The model is stored as an 'R6' object and can be easily updated with new data. There are options to run in parallel (not for Windows), and 'Rcpp' has been used to speed up calculations. Other R packages that perform similar calculations include 'laGP', 'DiceKriging', 'GPfit', and 'mlegp'.


GauPro

This package allows you to fit a Gaussian process to a dataset. A Gaussian process is a commonly used model in computer simulation. It assumes that the distribution of any set of points is multivariate normal with a constant mean and a correlation function.

This package only fits a simple GP model and only works with the Gaussian correlation function.

You should probably use a different package for your modeling, such as laGP, mlegp, or GPfit if you are using R, or GPy if you are using Python.

Fit a sine curve with noise.

n <- 12
x <- matrix(seq(0,1,length.out = n), ncol=1)
y <- sin(2*pi*x) + rnorm(n,0,1e-1)
gp <- GauPro::GauPro$new(X=x, Z=y)
curve(gp$pred(x));points(x,y)
curve(gp$pred(x)+2*gp$pred(x,T)$se,col=2,add=T);curve(gp$pred(x)-2*gp$pred(x,T)$se,col=2,add=T)

This is the likelihood as a function of the log of theta. It is not convex and is difficult to optimize in general.

curve(sapply(x, gp$deviance_theta_log),-10,10, n = 300) # deviance profile

Fit a sawtooth function with no noise.

n <- 12
x <- matrix(seq(0,1,length.out = n), ncol=1)
y <- (2*x) %%1
gp <- GauPro::GauPro$new(X=x, Z=y)
curve(gp$pred(x));points(x,y)
curve(gp$pred(x)+2*gp$pred(x,T)$se,col=2,add=T);curve(gp$pred(x)-2*gp$pred(x,T)$se,col=2,add=T)

curve(sapply(x, gp$deviance_theta_log),-10,10, n = 300) # deviance profile

News

GauPro 0.1.0

Releasing for the first time.

Reference manual

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install.packages("GauPro")

0.2.2 by Collin Erickson, 11 days ago


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


Authors: Collin Erickson


Documentation:   PDF Manual  


GPL-3 license


Imports Rcpp, R6, lbfgs

Suggests testthat, knitr, rmarkdown, microbenchmark, numDeriv, MASS

Linking to Rcpp, RcppArmadillo


Suggested by IGP.


See at CRAN