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 pip install:
numpyscipyCythoneigency
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 notebooks/Demo.ipynb
This library is written and maintained by Jon Cockayne.