issgpr

A C++ implementation of Incremental Sparse Spectrum Gaussian Process Regression.

See src/issgpr_test.cc for example usage.

Relevant references

A. Gijsberts and G. Metta, "Real-time model learning using Incremental Sparse Spectrum Gaussian Process Regression," Neural Networks, vol. 41, pp. 59-69, May 2013.
A. Gijsberts and G. Metta, "Incremental Learning of Robot Dynamics Using Random Features," in 2011 IEEE International Conference on Robotics and Automation (ICRA), Shanghai, China, May 2011, pp. 951-956.
A. Rahimi and B. Recht, "Random Features for Large-Scale Kernel Machines," in Advances in Neural Information Processing Systems, 2007, pp. 1177-1184.