Parameter Selection in Gaussian Process Interpolation: An Empirical Study of Selection Criteria
From MaRDI portal
Abstract: This article revisits the fundamental problem of parameter selection for Gaussian process interpolation. By choosing the mean and the covariance functions of a Gaussian process within parametric families, the user obtains a family of Bayesian procedures to perform predictions about the unknown function, and must choose a member of the family that will hopefully provide good predictive performances. We base our study on the general concept of scoring rules, which provides an effective framework for building leave-one-out selection and validation criteria, and a notion of extended likelihood criteria based on an idea proposed by Fasshauer and co-authors in 2009, which makes it possible to recover standard selection criteria such as, for instance, the generalized cross-validation criterion. Under this setting, we empirically show on several test problems of the literature that the choice of an appropriate family of models is often more important than the choice of a particular selection criterion (e.g., the likelihood versus a leave-one-out selection criterion). Moreover, our numerical results show that the regularity parameter of a Mat{'e}rn covariance can be selected effectively by most selection criteria.
Recommendations
- Predictive approaches for choosing hyperparameters in Gaussian processes
- Asymptotic Bounds for Smoothness Parameter Estimates in Gaussian Process Interpolation
- An alternative procedure for selecting a good value for the parameter \(c\) in RBF-interpolation
- Properties of the Bayesian parameter estimation of a regression based on Gaussian processes
- Maximum likelihood estimation and uncertainty quantification for Gaussian process approximation of deterministic functions
Cites work
- A blackbox yield estimation workflow with Gaussian process regression applied to the design of electromagnetic devices
- A new test for multivariate normality
- Algorithm 829
- Analysis methods for computer experiments: how to assess and what counts?
- Asymptotic analysis of covariance parameter estimation for Gaussian processes in the misspecified case
- Asymptotic properties of a maximum likelihood estimator with data from a Gaussian process
- Bayesian calibration of computer models. (With discussion)
- Cross validation and maximum likelihood estimations of hyper-parameters of Gaussian processes with model misspecification
- Cross-validation estimation of covariance parameters under fixed-domain asymptotics
- Design of computer experiments: space filling and beyond
- Efficient global optimization of expensive black-box functions
- Expected information as ecpected utility
- Gaussian processes for machine learning.
- Generalized Cross-Validation as a Method for Choosing a Good Ridge Parameter
- Hierarchical modeling and analysis for spatial data
- scientific article; zbMATH DE number 45848 (Why is no real title available?)
- Inconsistent Estimation and Asymptotically Equal Interpolations in Model-Based Geostatistics
- Interpolation of spatial data -- a stochastic or a deterministic problem?
- Interpolation of spatial data. Some theory for kriging
- Kriging prediction with isotropic Matérn correlations: robustness and experimental designs
- Piecewise polynomial, positive definite and compactly supported radial functions of minimal degree
- Predictive approaches for choosing hyperparameters in Gaussian processes
- Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
- Sobolev error estimates and a Bernstein inequality for scattered data interpolation via radial basis functions
- Spatial variation. 2nd ed
- Statistics for spatial data
- Strictly Proper Scoring Rules, Prediction, and Estimation
- The design and analysis of computer experiments
- The Relationship between Variable Selection and Data Agumentation and a Method for Prediction
Cited in
(6)- Rational kernel-based interpolation for complex-valued frequency response functions
- Nearest neighbors GParareal: improving scalability of Gaussian processes for parallel-in-time solvers
- Comparing scale parameter estimators for Gaussian process interpolation with the Brownian motion prior: leave-one-out cross validation and maximum likelihood
- Multi-fidelity modeling of net power savings of an actuated turbulent boundary layer
- Error analysis of parameter prediction via Gaussian process regression and its application to weighted Jacobi iteration
- Relaxed Gaussian process interpolation: a goal-oriented approach to Bayesian optimization
This page was built for publication: Parameter Selection in Gaussian Process Interpolation: An Empirical Study of Selection Criteria
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6188695)
