Gaussian process emulators for computer experiments with inequality constraints

DOI10.1007/s11004-017-9673-2zbMath1371.65006arXiv1606.01265OpenAlexW2963965506MaRDI QIDQ2399826

Xavier Bay, Hassan Maatouk

Publication date: 24 August 2017

Published in: Mathematical Geosciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.01265

zbMATH Keywords

numerical examplesfinite-dimensional approximationinequality constraintsuncertainty quantificationGaussian process emulatorconditional simulations with inequality constraintsdesign and modeling of computer experiments

Mathematics Subject Classification ID

Gaussian processes (60G15) Applications of statistics to environmental and related topics (62P12) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Related Items (18)

Generalization of the Kimeldorf-Wahba correspondence for constrained interpolation ⋮ Kriging of financial term-structures ⋮ Unnamed Item ⋮ Stochastic model of conditional non-stationary time series of the wind chill index in West Siberia ⋮ Sequential Construction and Dimension Reduction of Gaussian Processes Under Inequality Constraints ⋮ Finite-dimensional approximation of Gaussian processes with linear inequality constraints and noisy observations ⋮ A New Rejection Sampling Method for Truncated Multivariate Gaussian Random Variables Restricted to Convex Sets ⋮ Gaussian Process Regression on Nested Spaces ⋮ Efficient Bayesian shape-restricted function estimation with constrained Gaussian process priors ⋮ A Mass-Shifting Phenomenon of Truncated Multivariate Normal Priors ⋮ The Zero Problem: Gaussian Process Emulators for Range-Constrained Computer Models ⋮ Approximating Gaussian Process Emulators with Linear Inequality Constraints and Noisy Observations via MC and MCMC ⋮ Gaussian processes for computer experiments ⋮ Finite-Dimensional Gaussian Approximation with Linear Inequality Constraints ⋮ Regression and Kriging metamodels with their experimental designs in simulation: a review ⋮ Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape Constraints ⋮ Maximum likelihood estimation for Gaussian processes under inequality constraints ⋮ Conditioning geological surfaces to horizontal wells

Uses Software

• EGO
• DiceKriging
• DiceOptim
• pchip
• FRK
• GitHub
• constrKriging

Cites Work

• A numerically stable dual method for solving strictly convex quadratic programs
• Generalization of the Kimeldorf-Wahba correspondence for constrained interpolation
• Kriging of financial term-structures
• Fast simulation of truncated Gaussian distributions
• Simulating large Gaussian random vectors subject to inequality constraints by Gibbs sampling
• Isotonic, convex and related splines
• Efficient global optimization of expensive black-box functions
• Design and analysis of computer experiments. With comments and a rejoinder by the authors
• An energy-minimization framework for monotonic cubic spline interpolation
• Kriging with inequality constraints
• Gaussian process modeling with inequality constraints
• An accept-reject algorithm for the positive multivariate normal distribution
• A new method for interpolating in a convex subset of a Hilbert space
• Monotone Emulation of Computer Experiments
• A New Rejection Sampling Method for Truncated Multivariate Gaussian Random Variables Restricted to Convex Sets
• Fixed Rank Kriging for Very Large Spatial Data Sets
• Smoothing and Interpolation in a Convex Subset of a Hilbert Space
• Monotone Piecewise Cubic Interpolation
• Monotone B-Spline Smoothing
• Inequality-Constrained Multivariate Smoothing Splines with Application to the Estimation of Posterior Probabilities
• A Correspondence Between Bayesian Estimation on Stochastic Processes and Smoothing by Splines
• Theory of Reproducing Kernels
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

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