LWPR
Locally Weighted Projection Regression (LWPR)
..., Aaron D'Souza and Stefan Schaal, Incremental Online Learning in High Dimensions, Neural Computation, vol. 17, no. 12, pp. 2602-2634 (2005).
[2] Stefan Klanke, Sethu Vijayakumar and Stefan Schaal, A Library for Locally Weighted Projection Regression, Journal of Machine Learning Research (JMLR), vol. 9, pp. 623--626 (2008).
More details and usage guidelines on the code website.