Gaussian process-based dimension reduction for goal-oriented sequential design

DOI10.1137/18M1167930zbMATH Open1436.62390OpenAlexW2996417001WikidataQ126528668 ScholiaQ126528668MaRDI QIDQ4960979FDOQ4960979

Authors: Malek Ben Salem, François Bachoc, Lionel Tomaso, O. 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

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zbMATH Keywords

variable selectiondesign of experimentssurrogate modelingBayesian optimization

Mathematics Subject Classification ID

Bayesian inference (62F15) Gaussian processes (60G15) Statistical ranking and selection procedures (62F07) Optimal statistical designs (62K05) Sequential statistical design (62L05)

Cites Work

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

Cited In (2)

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

Uses Software

• EGO
• DiceKriging
• DiceOptim
• NLPQL
• SMAC

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