JSM 2011 Online Program

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Abstract Details

Activity Number: 538
Type: Roundtables
Date/Time: Wednesday, August 3, 2011 : 12:30 PM to 1:50 PM
Sponsor: Section on Statistical Computing
Abstract - #302275
Title: CANCELLED: Smoothing Splines with Product Kernels in Modeling of Computer Experiments
Author(s): Zhanyang Zhang
Companies: University of Michigan
Address:
Keywords: Computer experiments ; Gaussian Process ; Smoothing Splines ; Bayesian method ; Kernel functions ; Krigging
Abstract:

In many scientific studies, computer codes are used to simulate complicated physical processes. These computer codes are usually referred as computer experiments. One typical difficult of running computer experiments is the computational cost, in which one run can take days to finish. Thus there is a crucial need for efficient statistical surrogate models to predict the computational model using limited number of runs. One widely used statistical surrogate is the Bayesian Gaussian Process model, which utilizes the key assumption that the output of a computer experiment is a realization of Gaussian Process. In this work, we tried to relax the Gaussian Process assumption by putting the prediction problem into a regression framework. The proposed method here is called Smoothing Splines with product kernels. Smoothing spline models are flexible nonparametric regression models which are particularly suitable for modeling of computer experiments. In this work, we also compared the commonly used Bayesian Gaussian Process models with the proposed product smoothing spline models and showed that the proposed model is superior in terms of prediction error and model selection.


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