An Intuitive Tutorial to Gaussian Processes Regression

This tutorial aims to provide an intuitive understanding of the Gaussian processes regression. Gaussian processes regression (GPR) models have been widely used in machine learning applications because of their representation flexibility and inherent uncertainty measures over predictions. The basic concepts that a Gaussian process is built on, including multivariate normal distribution, kernels, non-parametric models, and joint and conditional probability were explained first. Next, the GPR was described concisely together with an implementation of a standard GPR algorithm. Beyond the standard GPR, packages to implement state-of-the-art Gaussian processes algorithms were reviewed. This tutorial was written in an accessible way to make sure readers without a machine learning background can obtain a good understanding of the GPR basics.