Add Gaussian Processes - #334

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FriesischScott wants to merge 185 commits into

gaussian-processes

Commits on Feb 6, 2024

using AbstractGPs
felixmett
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5936e54
GaussianProcessRegressor struct
felixmett
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f75b5a5

Commits on Feb 7, 2024

Using GaussianProcesses
felixmett
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ac83936
TODO: Proper normalization scheme
felixmett
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cf0be3d

Commits on Feb 14, 2024

Merge branch 'FriesischScott:master' into gaussian-processes
felixmett
authored
edcb05c

Commits on Feb 15, 2024

Imports necessary for gps
Felix
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965a847
Merge branch 'gaussian-processes' of https://github.com/Cr0gan/UncertaintyQuantification.jl into gaussian-processes
Felix
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5a85023
Testing file, delete later
Felix
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7207f4c
Split gp fit and hyperparameter optimization
Felix
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c37df3e
Additional packages for gaussian-processes
Felix
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131cfa4
StatsBase normalization and Optimizer struct
felixmett
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f21cdd5

Commits on Feb 29, 2024

Optimizer in gp function, implement evaluate method
felixmett
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fdca54c

Commits on Mar 4, 2024

Gaussianprocess from input, model and output
felixmett
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8db025f

Commits on Mar 5, 2024

Removed input normalization where UQInput is given
felixmett
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88777e5
Ignoring sample method for now
felixmett
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5eadb18

Commits on Sep 23, 2024

Merge remote-tracking branch 'upstream/master' into gaussian-processes
felixmett
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43a5312

Commits on Sep 24, 2024

Remove dependecies on GaussianProcesses.jl
felixmett
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efcc4fa

Commits on Sep 25, 2024

First working version
felixmett
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d63cde9
Moved gaussianprocesses in subdirectory
felixmett
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bfd10d7
Demonstration of how to use current version of gps
felixmett
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abac806

Commits on Sep 27, 2024

Preliminary demo files
felixmett
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a3df9f7
Current state of gp implementation
felixmett
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1a5304d
Merge remote-tracking branch 'upstream/master' into gaussian-processes
felixmett
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11d1ddd
Added packages AbstractGPs, ParameterHandling and Zygote
felixmett
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a34afa9
added constructors for every input case
felixmett
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cc4fd8f
added function _handle_gp_input for AbstractGPs interface
felixmett
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57625a8
added evaluate! method for gaussianprocesses
felixmett
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a24aa98
added a demo file for gps
felixmett
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9399cb9
added a convenience method to get the name of a single UQInput
felixmett
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8abd2cb
current version that works for univariate in- and output
felixmett
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dc014ea
added includes and exports for gps
felixmett
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d6e52d2
using only instead of X[1]
felixmett
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0dd38ed
transform copy of DataFrame to handle 1D case
felixmett
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270a9ce
started adding unit tests
felixmett
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5f9a8cd

Commits on Dec 6, 2024

Merge branch 'FriesischScott:master' into gaussian-processes
felixmett
authored
0d6cc64

Commits on Feb 10, 2025

Commits on Feb 11, 2025

Store in- and output standardization in single struct
felixmett
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db0202d
Simple demo of current state
felixmett
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95ee9c9
Added gaussian process exports
felixmett
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19c8f42
Refactoring
felixmett
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0a9cdf9
Simplified optimization routine for NoOptimization
felixmett
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8d59344
Added parameter routines for ARDTransform
felixmett
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96efb04
Added constructors and evaluate
felixmett
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ca876d8
Merge remote-tracking branch 'upstream/master' into gaussian-processes
felixmett
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52fdee8

Commits on Feb 21, 2025

Merge branch 'master' into gaussian-processes
FriesischScott
authored
9e6f205

Commits on Feb 25, 2025

Merge branch 'master' into gaussian-processes
FriesischScott
authored
351ad0b

Commits on Feb 28, 2025

Merge branch 'master' into gaussian-processes
FriesischScott
authored
94a4a55

Commits on Jul 4, 2025

Merge branch 'master' into gaussian-processes
FriesischScott
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cfe0d65

Commits on Aug 14, 2025

Commits on Aug 19, 2025

Commits on Aug 20, 2025

Preliminary file to test parameter extraction
felixmett
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3bfd29e
Add more kernels and transforms for automatic parameter handling
felixmett
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a853620
Minimize documentation overhead
felixmett
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b27131a

Commits on Sep 2, 2025

Commits on Sep 3, 2025

Refactor data standardization pipeline
felixmett
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548cd52
Refactor data standardization pipeline
felixmett
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027db46
Preliminary test for refactored data standardization
felixmett
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b3feed3
Preliminary unit test for data standardization
felixmett
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48758d0
Add inverse output transform for gp posterior variance
felixmett
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581f110
Add var! and mean_and_var! methods for gps
felixmett
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a984293
Fix wrongly returned output transforms
felixmett
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0a7ec3c
Preliminary tests
felixmett
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8e9f339
Add AbstractGPs to tests
felixmett
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55a0832

Commits on Sep 4, 2025

Add unit tests for gp data standardization
felixmett
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6196775
Add gaussian process regression reference
felixmett
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f77e7b1
Add theoretical background documentation for gaussian process regression
felixmett
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8137f0b

Commits on Sep 15, 2025

Add export NoHyperparameterOptimization
felixmett
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109dc59
Refactor NoHyperparameterOptimization
felixmett
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6fc01d1
Add tests for GaussianProcess construction
felixmett
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1c4bfb6
Preliminary test files
felixmett
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531b25a

Commits on Sep 18, 2025

Preliminary idea to test parameter extraction implementation
felixmett
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6bc6ead

Commits on Oct 9, 2025

Preliminary commit
felixmett
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9f264ae
Add extract and apply method for unsupported kernels
felixmett
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d0880a9
Add test to check improvement after hyperparameter optimization
felixmett
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0871a3c
Add test to check implementation for all kernels, transforms and meanfunctions
felixmett
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9bf53e5
Refactor data standardization tests
felixmett
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42db9da
Add complete test set for gaussian process regression constructors
felixmett
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1e71f29
Refactor gaussian process hyperparameter optimization tests
felixmett
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21117c1
Preliminary example
felixmett
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e4ab211
Add documentation for exported structs
felixmett
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c892a43

Commits on Oct 10, 2025

Add documentation
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5c25292
Add developer note
felixmett
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6369de1
Add documentation and developer note
felixmett
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5feb38c
Update DifferentiationInterface
felixmett
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76bdc2c

Commits on Oct 13, 2025

Refactor gaussian process evaluate!
felixmett
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a40bbd3
Fix only RandomVariables are used as gaussian process input
felixmett
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ee0ab23
Fix wrongful discarding of deterministic inputs
felixmett
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c92db59
Preliminary examples
felixmett
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9118cf4
Current state of documentation
felixmett
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132145d
Current state of docs
felixmett
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5e7a745

Commits on Oct 14, 2025

Finish gaussian process documentation
felixmett
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3a1906b
Delete preliminary testing files
felixmett
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7896712
Fix gaussian process output name for mode :mean
felixmett
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3679ee0
Add literate example for gaussian process regression
felixmett
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ca8df9d
Delete unused exports
felixmett
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d0b3749
Add execution of gaussian process tests
felixmett
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1fc82ee
Merge remote-tracking branch 'upstream/master' into gaussian-processes
felixmett
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532ca08
Reexport AbstractGPs
felixmett
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b5369ff
Fix docstrings
felixmett
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a7f44ce
Fix docstrings
felixmett
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70ef0fc
Fix documentation dependencies and loaded modules
felixmett
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61322a3
Fix type of posterior gp in GaussianProcess
felixmett
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a02af1d
Add literate demo file
felixmett
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13179d1
Fix bug where single UQInput is not filtered for random inputs
felixmett
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11667f2
Fix docstring does not require using AbstractGP
felixmett
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4e4c19d

Commits on Oct 16, 2025

Add gaussian processes api
felixmett
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8fbc8a8
Fix typo in gaussian process literate demo
felixmett
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9982b84
Fix jldoctest error
felixmett
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697cb54

Commits on Oct 17, 2025

Change github username of Felix
felixmett
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d4b796a
Add missing docs
felixmett
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aae5b9d
Refactor example code blocks
felixmett
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1962e22
Fix unresolved reference in docstring
felixmett
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8450250
Refactor internal docs to comments
felixmett
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703425d

Commits on Oct 22, 2025

Fix faulty indent and linting errors
felixmett
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b9a8ddd

Commits on Mar 5, 2026

Commits on Mar 6, 2026

Update documentation of gaussian processes
felixmett
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fbb1e0d
Remove legacy exports
felixmett
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8c2c281
Fix bug in optimize_hyperparameters and evaluate!
felixmett
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a963d78
Fix bug in docstring
felixmett
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65d1d31
Add constructor tests
felixmett
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a059dfa
Add hyperparameter optimization tests
felixmett
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d0fc4a8
Refactor testset name
felixmett
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b75a9c9
Use newest version of DifferentiationInterface
felixmett
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38f0b05

Commits on Mar 9, 2026

Merge remote-tracking branch 'upstream/master' into gaussian-processes
felixmett
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264ce63

Commits on Apr 21, 2026

Merge branch 'master' into gaussian-processes
FriesischScott
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b846624
Update Demo
FriesischScott
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3ce7ef3

Commits on May 29, 2026

Commits on Jul 31, 2026

Remove parameterization Unions
FriesischScott
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266a3f6
Fix missing end
FriesischScott
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2b28f90
Merge branch 'master' into gaussian-processes
FriesischScott
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dab0fbb
Explicitly import sample function
FriesischScott
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095568b
Change internal implementation of GP construction
jgrashorn
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1d8a6d0
Fix tests
FriesischScott
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f73036e

Commits on Aug 5, 2026

fixed tests, added safeguards
jgrashorn
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5eef6c4
checked tests running
jgrashorn
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9541cd6

Commits on Aug 6, 2026

Merge branch 'master' into gaussian-processes
FriesischScott
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6ae984d
changed gp test structure
jgrashorn
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6d62703
fix GP constructor
jgrashorn
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ade139a

Commits on Aug 7, 2026

optional hyperparameter tuning
jgrashorn
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b9597a6
changed docs to new GPs
jgrashorn
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8aaf1b3
demo fix
jgrashorn
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a292015

Commits on Aug 8, 2026

docstrings and doc fix
jgrashorn
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c090e78

Commits on Aug 10, 2026

Correctly initialize experimental design

FriesischScott
and
Copilot
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66c753a
Correctly initialize experimental design

FriesischScott
and
Copilot
authored
362da0a
Fix typo

FriesischScott
and
Copilot
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a8f0413
Fix error message

FriesischScott
and
Copilot
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d187c8b
Add missing for

FriesischScott
and
Copilot
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dbaf838
Fix typo

FriesischScott
and
Copilot
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4d4dcc3
observation noise fix
jgrashorn
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76f6ca6

Commits on Aug 12, 2026

Merge branch 'master' into gaussian-processes
FriesischScott
authored
a55fd0a

Commits on Aug 20, 2026

Set default sigma^2 to 1e-10
lukasfritsch
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b009630

Commits on Aug 21, 2026

Merge branch 'master' into gaussian-processes
FriesischScott
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b2a3224
Fix formatting
FriesischScott
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e1dbe90

Commits on Aug 25, 2026

Add adaptive GPs and random restart optimization
lukasfritsch
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19080d8
Format docstrings with runic
lukasfritsch
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1202254
Apply suggestions from code review

lukasfritsch
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Copilot
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a64f202