A solution to the ill-conditioning of gradient-enhanced covariance matrices for Gaussian processes

DOI10.1002/NME.7498MaRDI QIDQ6589332zbMATH OpenFDO

Authors André L. Marchildon, D. W. Zingg

Publication date 19 August 2024

Published in International Journal for Numerical Methods in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

Gaussian processcovariance matrixcondition numberBayesian optimization

Mathematics Subject Classification ID

Basic linear algebra (15Axx) Probabilistic methods, stochastic differential equations (65Cxx) Inference from stochastic processes (62Mxx)

Cites work

• A Random Fourier Feature Method for Emulating Computer Models With Gradient Information
• A comparative evaluation of genetic and gradient-based algorithms applied to aerodynamic optimization
• A non-intrusive solution to the ill-conditioning problem of the gradient-enhanced Gaussian covariance matrix for Gaussian processes
• A taxonomy of global optimization methods based on response surfaces
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• An adjoint for likelihood maximization
• Cases for the nugget in modeling computer experiments
• On the condition number anomaly of Gaussian correlation matrices
• On the condition number of covariance matrices in kriging, estimation, and simulation of random fields
• On the instability issue of gradient-enhanced Gaussian process emulators for computer experiments
• On the maximum likelihood training of gradient-enhanced spatial Gaussian processes
• Solving and learning nonlinear PDEs with Gaussian processes

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