Approximating Gaussian Process Emulators with Linear Inequality Constraints and Noisy Observations via MC and MCMC

DOI10.1007/978-3-030-43465-6_18MaRDI QIDQ5117940zbMATH OpenOpenAlexFDO

Authors Andrés F. López-Lopera, François Bachoc, Nicolas Durrande, Déborah Idier, Jeremy Rohmer, O. Roustant

Publication date 26 August 2020

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1901.04827

zbMATH Keywords

Monte Carlo methodslinear inequality constraintsGaussian processes emulatorsMonte Carlo and Markov chainuncertainty quantification with noisy observations

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Cites work

• scientific article; zbMATH DE number 3784219 (Why is no real title available?)
• A New Rejection Sampling Method for Truncated Multivariate Gaussian Random Variables Restricted to Convex Sets
• Finite-Dimensional Gaussian Approximation with Linear Inequality Constraints
• Gaussian process emulators for computer experiments with inequality constraints
• Generalization of the Kimeldorf-Wahba correspondence for constrained interpolation
• Kriging of financial term-structures
• Machine learning. A probabilistic perspective
• Monotone Emulation of Computer Experiments
• Practical Markov Chain Monte Carlo
• Sampling constrained probability distributions using spherical augmentation
• The Finite Element Method: Theory, Implementation, and Applications
• The normal law under linear restrictions: simulation and estimation via minimax tilting

Cited in

(7)

• Equivalence between constrained optimal smoothing and Bayesian estimation
• Finite-dimensional approximation of Gaussian processes with linear inequality constraints and noisy observations
• Sequential construction and dimension reduction of Gaussian processes under inequality constraints
• Posterior contraction rates for constrained deep Gaussian processes in density estimation and classification
• Block-additive Gaussian processes under monotonicity constraints
• On one dimensional weighted Poincaré inequalities for global sensitivity analysis
• Error bounds for a kernel-based constrained optimal smoothing approximation

Describes a project that uses

Uses Software

• tmg
• profExtrema
• lineqGPR
• DiceEval
• PMTK
• DiceDesign
• kergp
• DiceOptim
• DiceKriging

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