Just run 'IGPR_test.py', and see the reconstruction result. I will make a documentation soon.
Read this book: Rasmussen, Carl Edward. "Gaussian processes in machine learning." Summer School on Machine Learning. Springer, Berlin, Heidelberg, 2003.
Read this paper: Nguyen–Tuong, Duy, and Jan Peters. "Incremental sparsification for real-time online model learning." Proceedings of the Thirteenth International Conference on Artificial Intelligence and Statistics. 2010.