GPmp: the Gaussian process micro package

Features

GPmp intends to provide building blocks for GP-based algorithms. It uses auto-differentiation and JIT compilation features provided by JAX. It should be fast and easily customizable.

For the purpose of simplicity, the gpmp does not check the validity of arguments. This is left to the responsibility of the user / calling code.

GPmp implements :

• GP interpolation and regression with unknown mean / intrisinc kriging
• The standard Gaussian likelihood and the restricted likelihood of a model
• Leave-one-out predictions using fast cross-validation formulas
• Conditional sample paths

It is up to the user to write the mean and covariance functions for setting a GP model. However, GPmp provides building blocks for:

• anisotropic scaling
• distance matrix
• Matérn kernels with half-integers regularties
• Parameter selection using maximum likelihood / restricted maximum likelihood / or user-defined criteria

Installation

Clone the git repository:

git clone https://github.com/emvazquez/gpmp.git

(or download a zip version)

Install in dev mode:

pip install -e .

Remarks:

1. GPmp is based on JAX, which requires jaxlib, and which is supported on Linux and macOS platforms, and on Windows via the Windows Subsystem for Linux. There is some initial native Windows support, but it is still somewhat immature (see below).

2. To install JAX with both CPU and NVidia GPU support, CUDA and CuDNN must be installed first. See https://github.com/google/jax#installation and https://jax.readthedocs.io/en/latest/changelog.html for details.

   For instance, to install jaxlib with Cuda 11 and cudnn 8.2 or newer:

pip install jax[cuda11_cudnn82] -f https://storage.googleapis.com/jax-releases/jax_releases.html

3. To install jaxlib on Windows, one can follow instructions at https://github.com/cloudhan/jax-windows-builder. Select and download a version of jaxlib from https://whls.blob.core.windows.net/unstable/index.html according to your Python version. Then install jax manually.

pip install <jaxlib_whl>
pip install jax

Usage

Please refer to the examples that illustrate the different features of GPmp.

To do

• provide a documentation
• unit tests
• improve package setup

Authors

See AUTHORS.md

Copyright

Copyright (C) 2022 CentraleSupelec

License

GPmp is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version.

GPmp is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.

You should have received a copy of the GNU General Public License along with gpmp. If not, see http://www.gnu.org/licenses/.