Comparison of Gaussian process modeling software

DOI10.1016/J.EJOR.2017.10.002zbMATH Open1403.62006arXiv1710.03157OpenAlexW2761682901MaRDI QIDQ65764FDOQ65764

Susan M. Sanchez, Bruce E. Ankenman, Collin B. Erickson, Susan M. Sanchez, Collin B. Erickson, Bruce E. Ankenman

Publication date: April 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Abstract: Gaussian process fitting, or kriging, is often used to create a model from a set of data. Many available software packages do this, but we show that very different results can be obtained from different packages even when using the same data and model. We describe the parameterization, features, and optimization used by eight different fitting packages that run on four different platforms. We then compare these eight packages using various data functions and data sets, revealing that there are stark differences between the packages. In addition to comparing the prediction accuracy, the predictive variance--which is important for evaluating precision of predictions and is often used in stopping criteria--is also evaluated.

Full work available at URL: https://arxiv.org/abs/1710.03157

zbMATH Keywords

computer experimentsGaussian processesmetamodelssimulationstochastic kriging

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Gaussian processes (60G15) Software, source code, etc. for problems pertaining to statistics (62-04) Design of statistical experiments (62Kxx)

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Cited In (9)

• Statistical Tests for Cross-Validation of Kriging Models
• Modeling and Active Learning for Experiments with Quantitative-Sequence Factors
• Comparing emulation methods for a high-resolution storm surge model
• An extended two-stage sequential optimization approach: properties and performance
• Faster Kriging: Facing High-Dimensional Simulators
• 10 Kriging: methods and applications
• GauPro
• Practical Heteroscedastic Gaussian Process Modeling for Large Simulation Experiments
• On surrogate learning for linear stability assessment of Navier-Stokes equations with stochastic viscosity.

Uses Software

• JMP
• R
• L-BFGS
• DACE
• LBFGS-B
• SciPy
• rgenoud
• laGP
• EGO
• DiceKriging
• DiceOptim
• tgp
• Scikit
• mlegp
• GPfit
• GPy
• MaxPro
• Python
• Virtual library

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