hetGP (Q55961): Difference between revisions

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+Performs Gaussian process regression with heteroskedastic noise following the model by Binois, M., Gramacy, R., Ludkovski, M. (2016) <arXiv:1611.05902>, with implementation details in Binois, M. & Gramacy, R. B. (2021) <doi:10.18637/jss.v098.i13>. The input dependent noise is modeled as another Gaussian process. Replicated observations are encouraged as they yield computational savings. Sequential design procedures based on the integrated mean square prediction error and lookahead heuristics are provided, and notably fast update functions when adding new observations.
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+Mickael Binois
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+hetGP: Heteroskedastic Gaussian Process Modeling and Sequential Design in R
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+Practical heteroskedastic Gaussian process modeling for large simulation   experiments
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+Software:55961

Latest revision as of 06:08, 22 March 2024

Heteroskedastic Gaussian Process Modeling and Design under Replication

Language	Label	Description	Also known as
English	hetGP	Heteroskedastic Gaussian Process Modeling and Design under Replication

Statements

instance of

R package

0 references

software version identifier

1.1.5

publication date

8 March 2023

0 references

1.0.0

publication date

28 September 2017

0 references

1.0.1

publication date

29 November 2017

0 references

1.0.2

publication date

6 February 2018

0 references

1.1.0

publication date

18 September 2018

0 references

1.1.1

publication date

10 January 2019

0 references

1.1.2

publication date

24 October 2019

0 references

1.1.3

publication date

17 March 2021

0 references

1.1.4

publication date

8 July 2021

0 references

1.1.6

publication date

2 October 2023

0 references

0 references

0 references

2 October 2023

0 references

description

Performs Gaussian process regression with heteroskedastic noise following the model by Binois, M., Gramacy, R., Ludkovski, M. (2016) <arXiv:1611.05902>, with implementation details in Binois, M. & Gramacy, R. B. (2021) <doi:10.18637/jss.v098.i13>. The input dependent noise is modeled as another Gaussian process. Replicated observations are encouraged as they yield computational savings. Sequential design procedures based on the integrated mean square prediction error and lookahead heuristics are provided, and notably fast update functions when adding new observations.

0 references

author

Mickael Binois

0 references

copyright license

GNU Library General Public License, version 2.0

0 references

GNU Lesser General Public License, version 2.1

0 references

GNU Lesser General Public License, version 3.0

edition/version

expanded from: LGPL (English)