I have been using the Hilbert Space approximation for Gaussian Processes a lot. The main ingredients are the spectral densities of the kernels and the eigenvalues and eigenvectors of the Laplacian in a box, see https://num.pyro.ai/en/stable/examples/hsgp.html
Would you like me to add these functions (and spectral densities from other common kernels) to the contrib module so other users can import them?
I have been using the Hilbert Space approximation for Gaussian Processes a lot. The main ingredients are the spectral densities of the kernels and the eigenvalues and eigenvectors of the Laplacian in a box, see https://num.pyro.ai/en/stable/examples/hsgp.html
Would you like me to add these functions (and spectral densities from other common kernels) to the
contrib
module so other users can import them?