You signed in with another tab or window. Reload to refresh your session.You signed out in another tab or window. Reload to refresh your session.You switched accounts on another tab or window. Reload to refresh your session.Dismiss alert
Copy file name to clipboardExpand all lines: README.md
+18-14Lines changed: 18 additions & 14 deletions
Display the source diff
Display the rich diff
Original file line number
Diff line number
Diff line change
@@ -8,31 +8,35 @@ Gaussian process regression (GPR) on $n$ data points typically costs $\mathcal{O
8
8
1. control over the design of experiments, i.e., sampling at fixed locations, and
9
9
2. Using special kernel forms that are practically performant but generally uncommon, e.g., one *cannot* use common kernels such as the Squared Exponential, Matern, or Rational Quadratic.
10
10
11
+
## Installation
12
+
13
+
```bash
14
+
pip install fastgps
15
+
```
16
+
17
+
## Resources
18
+
19
+
The [FastGPs documentation](https://alegresor.github.io/fastgps/) contains a detailed **package reference** documenting classes including thorough doctests. A number of **example notebooks** are also rendered into the documentation from `fastgps/docs/examples/`. We recommend reading [Aleksei Sorokin's slides on Fast GPR](https://github.com/alegresor/alegresor.github.io/blob/main/presentations/2025_FastGPs_MCM.pdf) which he presented at [MCM 2025 Chicago](https://fjhickernell.github.io/mcm2025/).
20
+
21
+
## Fast GPR Methods
22
+
11
23
We currently support two flavors of fast GPR:
12
24
13
-
1. Pairing integration lattice point sets with shift-invariant (SI) kernels which creates circulant Gram matrices. SI kernels are periodic and arbitrarily smooth.
14
-
2. Pairing digital nets (e.g. Sobol' point sets) with digitally-shift-invariant (DSI) kernels which creates Gram matrices diagonalizable by the Fast Walsh Hadamard Transform (FWHT). DSI kernels are discontinuous, yet versions exist for which the corresponding Reproducing Kernel Hilbert Space (RKHSs) contain arbitrarily smooth functions.
25
+
1. Pairing integration lattice point sets with shift-invariant (SI) kernels which creates circulant Gram matrices that are diagonalizable by Fast Fourier Transforms (FFTs). SI kernels are periodic and arbitrarily smooth.
26
+
2. Pairing digital nets (e.g. Sobol' point sets) with digitally-shift-invariant (DSI) kernels which creates Gram matrices diagonalizable by Fast Walsh Hadamard Transforms (FWHTs). DSI kernels are discontinuous, yet versions exist for which the corresponding Reproducing Kernel Hilbert Space (RKHSs) contains arbitrarily smooth functions.
15
27
16
-
A reference standard GP implementation is also available. Both standard GPR and fast GPR implementations support:
28
+
## Software Features
17
29
18
-
-**GPU computations** as `fastgps` is built on the `PyTorch` stack.
30
+
A reference standard GP implementation is available alongside the fast GPR implementations. All GPR methods support:
31
+
32
+
-**GPU computations** as `FastGPs` is built on the `PyTorch` stack.
19
33
-**Batching** of both outputs (for functions with tensor outputs) and parameters (with flexibly shareable parameters among batched outputs).
20
34
-**Multi-Task GPs** with product kernels and generalized fast multi-task GPR.
21
35
-**Derivative Information** of arbitrarily high order.
22
36
-**Bayesian Cubature** for approximating integrals or expectations.
23
37
-**Flexible kernel parameterizations** from the [`QMCPy` package](https://qmcsoftware.github.io/QMCSoftware/).
24
38
-**Efficient variance projections** for determining if and where to sample next.
25
39
26
-
## Installation
27
-
28
-
```bash
29
-
pip install fastgps
30
-
```
31
-
32
-
## Resources
33
-
34
-
The [FastGPs documentation](https://alegresor.github.io/fastgps/) contains a detailed **package reference** documenting classes including thorough doctests. A number of **example notebooks** are also rendered into the documentation from `fastgps/docs/examples/`. We recommend reading [Aleksei Sorokin's slides on Fast GPR](https://github.com/alegresor/alegresor.github.io/blob/main/presentations/2025_FastGPs_MCM.pdf) which he presented at [MCM 2025 Chicago](https://fjhickernell.github.io/mcm2025/).
35
-
36
40
## References
37
41
38
42
This package is based off of the following publications
0 commit comments