BCG provides an implementation of the Bayesian Conjugate Gradient method from the paper by Cockayne et. al. which can be found here.
The package depends on the C++ linear algebra library
eigen3. On Ubuntu systems this can be installed with
sudo apt install libeigen3-dev, and on OSX with
brew install eigen3 (via Homebrew).
It requires Python 3 and the following libraries, all of which can be installed with
To install, ensure the above dependencies are installed. Then clone the repository and type
make install. This will compile the C++ code and install the library in the active virtualenv.
Example usage can be found in the Jupyter notebook in
This library is written and maintained by Jon Cockayne.