libKriging

libKriging is a C++ library for Kriging/Gaussian process regression.

Main features of libKriging are:

• Standard implementation of most common kriging:

  • ordinary/universal kriging

  • nugget (homoskedastic) or noise (heteroskedastic)

  • optimization of hyper-parameters (range, nugget, variance, …) based on log-likelihood, leave-one-out, log-marginal-posterior

  • (pre-)normalization of conditional data

• Port from and comparison/testing with some standard kriging libraries:

  • https://CRAN.R-project.org/package=DiceKriging

  • https://CRAN.R-project.org/package=RobustGaSP

  • https://github.com/stk-kriging

• Compatibility with commons OS/arch:

  • Windows

  • Linux

  • OSX (intel & ARM)

• (Almost) full wrapper availables for:

  • Python: https://pypi.org/project/pylibkriging/

  • R: https://github.com/libKriging/rlibkriging

  • Octave

  • Matlab

Check out the Usage section for further information, and how to install the project.

Note

This project is under active development.

Contents

• Installation
• Usage
• API
• Models description
• References