Composite Gaussian Process Model for Emulating Expensive Functions

• Activity Number: 463
• Type: Contributed
• Date/Time: Wednesday, August 1, 2012 : 8:30 AM to 10:20 AM
• Sponsor: Section on Physical and Engineering Sciences
• Author(s): Shan Ba*+ and Roshan Joseph Vengazhiyil
• Companies: Georgia Institute of Technology and Georgia Institute of Technology
• Keywords: Computer experiments ; Functional approximation ; Kriging ; Nugget predictor ; Non-stationary Gaussian process

Abstract

A new type of non-stationary Gaussian process model is developed for approximating computationally expensive functions. The new model is a composite of two Gaussian processes, where the first one captures the smooth global trend and the second one models local details. The new predictor also incorporates a flexible variance model, which makes it more capable of approximating surfaces with varying volatility. Compared to the commonly used stationary Gaussian process model, the new predictor is numerically more stable and can more accurately approximate complex surfaces when the experimental design is sparse. In addition, the new model can also improve the prediction intervals by quantifying the change of local variability associated with the response. Advantages of the new predictor are demonstrated using several examples.