This OCaml-library, which also comes with an elaborate example application, implements some of the newest approximation algorithms (e.g. SPGP) for scalable Gaussian process regression for arbitrary covariance functions. Here is an example graph showing the fit of such a sparse Gaussian process to a nonlinear function:

Please refer to the GPR manual for further details and to the online API documentation as programming reference.

Markus Mottl in Rutherford, NJ on July 14, 2012