Generalization of the Kimeldorf-Wahba correspondence for constrained interpolation
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interpolationreproducing kernel Hilbert spaceGaussian processBayes estimationinequality constraintsKimeldorf-Wahba correspondencemaximum a posteriori estimator
Bayesian inference (62F15) Gaussian processes (60G15) Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Response surface designs (62K20) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22)
Abstract: In this paper, we extend the correspondence between Bayes' estimation and optimal interpolation in a Reproducing Kernel Hilbert Space (RKHS) to the case of linear inequality constraints such as boundedness, monotonicity or convexity. In the unconstrained interpolation case, the mean of the posterior distribution of a Gaussian Process (GP) given data interpolation is known to be the optimal interpolation function minimizing the norm in the RKHS associated to the GP. In the constrained case, we prove that the Maximum A Posteriori (MAP) or Mode of the posterior distribution is the optimal constrained interpolation function in the RKHS. So, the general correspondence is achieved with the MAP estimator and not the mean of the posterior distribution. A numerical example is given to illustrate this last result.
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Cites work
- A Correspondence Between Bayesian Estimation on Stochastic Processes and Smoothing by Splines
- A new method for interpolating in a convex subset of a Hilbert space
- Gaussian process emulators for computer experiments with inequality constraints
- Kriging of financial term-structures
- Smoothing and Interpolation in a Convex Subset of a Hilbert Space
- Smoothing noisy data under monotonicity constraints existence, characterization and convergence rates
- Theory of Reproducing Kernels
Cited in
(8)- Approximating Gaussian Process Emulators with Linear Inequality Constraints and Noisy Observations via MC and MCMC
- 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
- Finite-Dimensional Gaussian Approximation with Linear Inequality Constraints
- Gaussian processes with linear operator inequality constraints
- Gaussian process emulators for computer experiments with inequality constraints
- A new method for interpolating in a convex subset of a Hilbert space
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