gp

Simple C++ library for Gaussian process regression

(Source code producing this plot may be found in demo.cpp)

About

I decided to build this library from a low-level standpoint, hoping to become more familiar with the inner workings of GPs. There are several TODOs, and the implementation is definitely not fit for proper deployment (especially in terms of numerical stability), but I am rather happy with the progress I made on it so far.

License

MIT