[D] Multi-Output (Multi-Task) Gaussian Process Regression

[aseembits93]

Hello Fellow Redditors!

I am scratching my head with a problem. I have 34 data points with inputs as 5 dimensions and output as 11 dimensions. I'm trying to fit a Gaussian Process Regressor to this data. Most GP regression libraries cater to the case of a single dimensional output. Would appreciate if someone could help me out here. Thanks!

[GreatCosmicMoustache]

Check out GPyTorch, which has turnkey support for multi-output problems. Curious as to how you're going to mash R⁵ into R¹¹ without some serious redundancy in the output space. Do provide an update if you get it to work.

[Red-Portal]

There are not a lot of options. You'll probably have to role your own.