Modern Gaussian Process Regression

Ever wonder how you can create non-parametric supervised learning models with unlimited expressive power? Look no further than Gaussian Process Regression (GPR), an algorithm that learns to make predictions almost entirely from the data itself (with a little help from hyperparameters). Combining this algorithm with recent advances in computing, such as automatic differentiation, allows for applying GPRs to solve a variety of supervised machine learning problems in near-real-time. In this article, we'll discuss: This is the second article in my GPR series. For a rigorous, Ab initio introduction to Gaussian Process Regression, please check out my previous article here. Before we dive into how we can implement and use GPR, let's quickly review the mechanics and theory behind this supervised machine learning algorithm.