Extended and Unscented Kitchen Sinks

Implements the framework "Extended and Unscented Kitchen Sinks" of Bonilla et al [1]. This carries out approximate posterior inference in models with Gaussian process priors and nonlinear likelihoods. See [1] for details.

Apache License version 2.0

Author

Edwin V. Bonilla

Requirements

The only additional package that needs to be installed is nlopt-2.4.2.

Installation

The package is written in Matlab and works as is. However, to use the mex version of some files please execute install.m

Usage

1. To set-up the path you need to execute setPathEUGP.m
2. See mteugpExample.m for an example

References

[1] E. V. Bonilla and D. Steinberg and A. Reid. Extended and Unscented Kitchen Sinks. ICML (2016). See Paper and Supplement for details.