I’m considering playing around with Locally Weighted Projection Regression (LWPR), and I was curious if anyone was aware of any Julia implementations of the algorithm (Google, alas, is not).

I’m aware of SLMC | InfWeb (C implementation with Python bindings) and might consider using it through PyCall, but this seems like a great opportunity for a nice Julia implementation. Perhaps I’ll just have to write one

In complement to LWPR, you may be interested by LWPLSR that is also presented in Schaal et al. 2002: an implementation (with a faster PLS algorithm than the Nipals used in Schaal et al.) is given here (function lwplsr), allowing KNN-LWPSR that is useful for large datasets.