This library provides code for evaluating the integral of non-negative functions using Bayesian Quadrature, both serially and in a batched mode.
For some background on Bayesian quadrature, see:
And for gory detail:
- Sampling for Inference in Probabilistic Models with Fast Bayesian Quadrature, Gunter et al. 2014 for details on the warped Gaussian Process model implemented here ("WSABI")
- Batch Selection for Parallelisation of Bayesian Quadrature for details on our batch selection process
Check out this repository and run pip install . in the root directory of the repository (i.e. in the directory containing setup.py). You should then be able to run the example scripts.
Documentation is still a work in progress, but some docs are available at https://OxfordML.github.io/bayesquad