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Karhunen Loève decomposed Gaussian processes with forward variable selection

Project description

FokL

Karhunen Loève decomposed Gaussian processes with forward variable selection. Use this repository for scalable GP regression and fast inference on static and dynamic datasets.

Please cite: K. Hayes, M.W. Fouts, A. Baheri and D.S. Mebane, "Forward variable selection enables fast and accurate dynamic system identification with Karhunen-Loève decomposed Gaussian processes", arXiv:2205.13676

Credits: David Mebane (ideas and original code), Kyle Hayes (integrator), Derek Slack (Python porting)

Funding provided by National Science Foundation, Award No. 2119688

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