GPstuff: Gaussian process models for Bayesian analysis
Maintainer: Aki Vehtari firstname.lastname@example.org
If you use GPstuff (or otherwise refer to it), use the following reference: Jarno Vanhatalo, Jaakko Riihimäki, Jouni Hartikainen, Pasi Jylänki, Ville Tolvanen, and Aki Vehtari (2013). GPstuff: Bayesian Modeling with Gaussian Processes. Journal of Machine Learning Research, 14(Apr):1175-1179. (Available at http://jmlr.csail.mit.edu/papers/v14/vanhatalo13a.html)
The GPstuff toolbox is a versatile collection of Gaussian process models and computational tools required for inference. The tools include, among others, various inference methods, sparse approximations and model assessment methods.
The GPstuff toolbox works (at least) with Matlab versions r2009b (7.9) or newer (older versions down to 7.7 should work also, but the code is not tested with them). Most of the functionality works also with Octave (3.6.4 or newer, see release notes for details). GPstuff can also be called from R with RcppOctave package. Most of the code is written in m-files but some of the most computationally critical parts have been coded in C.
The code for GPstuff can be found in subfolders. The SuiteSparse folder contains an exact copy of the SuiteSparse v3.4 toolbox by Tim Davis: http://www.cise.ufl.edu/research/sparse/SuiteSparse/current/SuiteSparse/ The SuiteSparse is needed when using compactly supported covariance functions.
INSTALLING THE TOOLBOX
If Matlab or Octave is started in the directory of GPstuff,
startup.m script will add GPstuff subdirectories to the
path. Alternatively, see
startup.m for paths to add.
Some of the functions in GPstuff are implemented using C in order to make the computations faster. In order to use these functions you need to compile them first. There are two ways to do that:
Basic installation without compactly supported covariance functions
Install the GPstuff package by running
With this option you are able to use all the other functions except for gpcf_ppcs*
Installation with compactly supported covariance functions
Compactly supported (CS) covariance functions are functions that produce sparse covariance matrices (matrices with zero elements). To use these functions (gpcf_ppcs*) you need the sparse GP functionalities in GPstuff which are build over SuiteSparse toolbox. To take full advantage of the CS covariance functions install GPstuff by running
matlab_install('SuiteSparseOn')in the present directory.
matlab_installcompiles the mex-files and prints on the screen, which directories should be added to Matlab paths.
The GPstuff packge contains the following subdirectories: diag dist gp mc misc optim tests* SuiteSparse* (* not in Octave)
Each folder contains Contents.m, which summarizes the functions in the folder.
The 'gp' folder contains the main functionalities and demonstration programs. Other folders contain additional help functions.
TESTING THE INSTALLATION
Installation can be tested by running command
runs a collection of demos and compares the computed results to pre-saved
results. Running this takes about one hour and it requires Matlab version
2013b or greater for the unit test framework. Alternatively, the
xunit' package can be used instead. The xunit package can be downloaded
USER GUIDE (VERY SHORT)
It easiest to learn to use the package by running the demos. It is advisable to open the demo files in text editor and run them line by line. The demos are documented so that user can follow what happens on each line.
The basic structure of the program is as follows. The program consist of separate blocks, which are:
Gaussian process model structure (GP): This is a structure that contains all the model information (see GP_SET) and information structures (GPCF_*) and likelihood structures (LIK_*).
Covariance function structure (GPCF): This is a structure that contains all of the covariance function information (see e.g. GPCF_SEXP). The structure contains the hyperparameter values, pointers to nested functions that are related to the covariance function (e.g. function to evaluate covariance matrix) and hyperprior structure.
Likelihood structure: This is a structure that contains all of the likelihood function information (see e.g. lik_probit). The structure contains the likelihood parameter values and pointers to nested functions that are related to the likelihood function (e.g. log likelihood and its derivatives).
Inference utilities: Inference utilities consist of functions that are needed to make the posterior inference and predictions. These include, among others,
- GP_OPTIM - Find MAP estimate for hyperparameters
- GP_MC - Markov chain Monte Carlo sampling
- GP_IA - Hyperparameter integration approximations
- GP_PRED - Predictions with Gaussian Process
See more in User guide
This software is distributed under the GNU General Public Licence (version 3 or later); please refer to the file Licence.txt, included with the software, for details.
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