Mar 15 2023
HSGPs in PyMC: A fast Gaussian process approximation that you can actually use
OnlineIn this talk, Bill will introduce a PyMC Hilbert Space Gaussian Process (HSGP) implementation and show via case studies how it fills a few key gaps in the PyMC GP library: fast GPs as model subcomponents, and fast GPs with non-Gaussian likelihoods. I’ll also cover tips and tricks for applying HSGPs effectively in practice.