Newt - a Gaussian process library in JAX.

Related tags

Deep Learningmachine-learningsignal-processinggaussian-processesstate-space-modelsjaxapproximate-bayesian-inferencesparse-gpsmarkov-gps
Overview

Newt

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Newt is a Gaussian process library built in JAX (with objax).

Newt currently provides the following models:

  • GPs
  • Sparse GPs
  • Markov GPs
  • Sparse Markov GPs

with the following inference methods:

  • Variational inference (with natural gradients)
  • Power expectation propagation
  • Laplace
  • Posterior linearisation (i.e. classical nonlinear Kalman smoothers)
  • Taylor (i.e. analytical linearisation / extended Kalman smoother)

Installation

In the top directory (Newt), run

pip install -e .

License

This software is provided under the Apache License 2.0. See the accompanying LICENSE file for details.

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