This package provides functionality for Gaussian process models in the Julia programming language. We make use of core features of Julia: multiple dispatch and JIT compilation. This results in a highly intuitive API with exceptionally efficient computation. At current we enable inference in a broad range of models by supporting a large number of likelihood and kernel functions. Further, through implemented Markov Chain Monte-Carlo (MCMC) schemes such as Hamiltonian Monte-Carlo and elliptical slice sampling, we are able to support fully Bayesian inference. Finally, implementations of several sparsity inducing schemes allows for GP modelling to be conducted on big data problems.
This package is written purely in Python and extends the TensorFlow and GPFlow libraries for GP inference using Stein variational gradient descent (SVGD). SVGD can be seen as an alternative to MCMC and variational inference (VI) techniques. The selling point of SVGD though is that unlike VI schemes, fully-Bayesian inference is possible in sparse GP modelling with much better scaling than MCMC. This package currently supports classification and regression with stochastic modelling soon to be added. Due to the TensorFlow backend, these models can be fit more efficiently on GPUs, should they be available to the user.