Monotone Emulation of Computer Experiments
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Abstract: In statistical modeling of computer experiments sometimes prior information is available about the underlying function. For example, the physical system simulated by the computer code may be known to be monotone with respect to some or all inputs. We develop a Bayesian approach to Gaussian process modelling capable of incorporating monotonicity information for computer model emulation. Markov chain Monte Carlo methods are used to sample from the posterior distribution of the process given the simulator output and monotonicity information. The performance of the proposed approach in terms of predictive accuracy and uncertainty quantification is demonstrated in a number of simulated examples as well as a real queueing system application.
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Cited in
(24)- Approximating Gaussian Process Emulators with Linear Inequality Constraints and Noisy Observations via MC and MCMC
- A Graphical Multi-Fidelity Gaussian Process Model, with Application to Emulation of Heavy-Ion Collisions
- Monotonic warpings for additive and deep Gaussian processes
- Maximum likelihood estimation for Gaussian processes under inequality constraints
- Landmark-Warped Emulators for Models with Misaligned Functional Response
- Sequentially constrained Monte Carlo
- Equivalence between constrained optimal smoothing and Bayesian estimation
- Finite-dimensional approximation of Gaussian processes with linear inequality constraints and noisy observations
- Kriging of financial term-structures
- Sequential construction and dimension reduction of Gaussian processes under inequality constraints
- Posterior contraction rates for constrained deep Gaussian processes in density estimation and classification
- Additive Multi-Index Gaussian Process Modeling, with Application to Multi-Physics Surrogate Modeling of the Quark-Gluon Plasma
- Gaussian Process Modeling Using the Principle of Superposition
- Calibrating a stochastic, agent-based model using quantile-based emulation
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- Hierarchical shrinkage Gaussian processes: applications to computer code emulation and dynamical system recovery
- Approximation of limit state surfaces in monotonic Monte Carlo settings, with applications to classification
- Finite-Dimensional Gaussian Approximation with Linear Inequality Constraints
- Gaussian processes with linear operator inequality constraints
- Bayesian analysis of constrained Gaussian processes
- Gaussian process emulators for computer experiments with inequality constraints
- Estimating shape constrained functions using Gaussian processes
- Error bounds for a kernel-based constrained optimal smoothing approximation
- Gaussian processes for computer experiments
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