gpde

Abstract

The R package gpde is an R implementation of a probabilistic differential equation solver. The package has a basic implementation of the Chkrebtii (2013) probabilistic ODE solver and an extension using the connection between Kalman Filtering for SDEs and Gaussian Processes from work by Simo Sarkka. The package also implements the Integrated Wiener covariance function from Schober 2014 to obtain probabilistic ODE solutions with the Runge-Kutta solution as the mean result. This collection of tools has been built into an R package for easy use at LANL and in the probabilistic numerics community.