hetGP

swMATH40261CRANhetGPMaRDI QIDQ55961

Heteroskedastic Gaussian Process Modeling and Design under Replication

Mickael Binois

Last update: 2 October 2023

Copyright license: GNU Library General Public License, version 2.0, GNU Lesser General Public License, version 2.1, GNU Lesser General Public License, version 3.0

Software version identifier: 1.1.5, 1.0.0, 1.0.1, 1.0.2, 1.1.0, 1.1.1, 1.1.2, 1.1.3, 1.1.4, 1.1.6

Source code repository: https://github.com/cran/hetGP

Description

Performs Gaussian process regression with heteroskedastic noise following the model by Binois, M., Gramacy, R., Ludkovski, M. (2016) <arXiv:1611.05902>, with implementation details in Binois, M. & Gramacy, R. B. (2021) <doi:10.18637/jss.v098.i13>. The input dependent noise is modeled as another Gaussian process. Replicated observations are encouraged as they yield computational savings. Sequential design procedures based on the integrated mean square prediction error and lookahead heuristics are provided, and notably fast update functions when adding new observations.

Cites work

• hetGP: Heteroskedastic Gaussian Process Modeling and Sequential Design in R
• Practical heteroskedastic Gaussian process modeling for large simulation experiments

Related Items (3)

activegp ⋮ quantkriging ⋮ Parameter and Uncertainty Estimation for Dynamical Systems Using Surrogate Stochastic Processes

This page was built for software: hetGP