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A Computationally Stable Approach to Gaussian Process Interpolation of Deterministic Computer Simulation Data
Published in Informa UK Limited
2011
Volume: 53
   
Issue: 4
Pages: 366 - 378
Abstract

For many expensive deterministic computer simulators, the outputs do not have replication error and the desired metamodel (or statistical emulator) is an interpolator of the observed data. Realizations of Gaussian spatial processes (GP) are commonly used to model such simulator outputs. Fitting a GP model to n data points requires the computation of the inverse and determinant of n × n correlation matrices, R, that are sometimes computationally unstable due to near-singularity of R. This happens if any pair of design points are very close together in the input space. The popular approach to overcome nearsingularity is to introduce a small nugget (or jitter) parameter in the model that is estimated along with other model parameters. The inclusion of a nugget in the model often causes unnecessary over-smoothing of the data. In this article, we propose a lower bound on the nugget that minimizes the over-smoothing and an iterative regularization approach to construct a predictor that further improves the interpolation accuracy. We also show that the proposed predictor converges to the GP interpolator. extcopyright 2011 American Statistical Association and the American Society for Qualitys.

About the journal
JournalTechnometrics
PublisherInforma UK Limited
ISSN0040-1706
Open AccessNo