Gaussian Process-Based Dimension Reduction for Goal-Oriented Sequential Design

DOI10.1137/18M1167930zbMath1436.62390WikidataQ126528668 ScholiaQ126528668MaRDI QIDQ4960979

François Bachoc, Malek Ben Salem, Lionel Tomaso, Olivier Roustant, Fabrice Gamboa

Publication date: 24 April 2020

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/18m1167930

zbMATH Keywords

design of experiments; variable selection; surrogate modeling; Bayesian optimization

Mathematics Subject Classification ID

60G15: Gaussian processes

62K05: Optimal statistical designs

62F15: Bayesian inference

62L05: Sequential statistical design

62F07: Statistical ranking and selection procedures

Related Items

The Zero Problem: Gaussian Process Emulators for Range-Constrained Computer Models, Asymptotic properties of the maximum likelihood and cross validation estimators for transformed Gaussian processes

Uses Software

• EGO
• DiceKriging
• DiceOptim
• NLPQL
• SMAC

Cites Work

• Unnamed Item
• Total interaction index: a variance-based sensitivity index for second-order interaction screening
• Sequential design of computer experiments for the estimation of a probability of failure
• Efficient global optimization of expensive black-box functions
• Interpolation of spatial data. Some theory for kriging
• A non-myopic utility function for statistical global optimization algorithms
• The design and analysis of computer experiments.
• Cross validation and maximum likelihood estimations of hyper-parameters of Gaussian processes with model misspecification
• A taxonomy of global optimization methods based on response surfaces
• Derivative based global sensitivity measures and their link with global sensitivity indices
• Cross-validation estimation of covariance parameters under fixed-domain asymptotics
• Asymptotic analysis of the role of spatial sampling for covariance parameter estimation of Gaussian processes
• Bayesian Optimization in a Billion Dimensions via Random Embeddings
• New sensitivity analysis subordinated to a contrast
• Bayesian Design and Analysis of Computer Experiments: Use of Derivatives in Surface Prediction
• Dimension Reduction for Gaussian Process Emulation: An Application to the Influence of Bathymetry on Tsunami Heights
• Gradient-Based Kernel Dimension Reduction for Regression
• Erratum: Active Subspace Methods in Theory and Practice: Applications to Kriging Surfaces
• Global Sensitivity Analysis for Optimization with Variable Selection
• Maximum Likelihood Estimation for a Smooth Gaussian Random Field Model
• Hierarchical Nonlinear Approximation for Experimental Design and Statistical Data Fitting
• Scattered Data Approximation