Generalization of the Kimeldorf-Wahba correspondence for constrained interpolation

DOI10.1214/16-EJS1149zbMATH Open1348.60055arXiv1602.02714MaRDI QIDQ302441FDOQ302441

Authors: Xavier Bay, Laurence Grammont, Hassan Maatouk 

Publication date: 5 July 2016

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1602.02714

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zbMATH Keywords

interpolationreproducing kernel Hilbert spaceGaussian processBayes estimationinequality constraintsKimeldorf-Wahba correspondencemaximum a posteriori estimator

Mathematics Subject Classification ID

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)

Cites Work

• Theory of Reproducing Kernels
• A Correspondence Between Bayesian Estimation on Stochastic Processes and Smoothing by Splines
• Smoothing noisy data under monotonicity constraints existence, characterization and convergence rates
• Gaussian process emulators for computer experiments with inequality constraints
• A new method for interpolating in a convex subset of a Hilbert space
• Kriging of financial term-structures
• Smoothing and Interpolation in a Convex Subset of a Hilbert Space

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
• Sequential construction and dimension reduction of Gaussian processes under inequality constraints
• Kriging of financial term-structures
• 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

Uses Software

• GAUSSIAN
• constrKriging

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