Gaussian Process Model with Turing

[ElOceanografo]

FYI, theres a PR to Stheno right now that will let you use Sparse GPs in Turing. Not battle-tested yet, but I’ve got it to run for some simple problems. And here’s the thread that led to it, if you didn’t see it:

Implementing sparse Gaussian process model with Turing and Stheno

Okay, I came back to this and after some hacking have got the following to run and produce basically sensible results. struct SparseFiniteGP{T1<:Stheno.FiniteGP, T2<:Stheno.FiniteGP} <: Distributions.AbstractMvNormal fobs::T1 finducing::T2 end function Stheno.logpdf(f::T, y::AbstractArray{T1, 1}) where {T <: SparseFiniteGP, T1 <: Real} return elbo(f.fobs, y, f.finducing) end Base.length(f::SparseFiniteGP) = length(f.fobs) Distributions._rand!(rng::Random._GLOBAL_RNG, f::SparseFini…