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Authors: Robert B. Gramacy, Matthew Alan Taddy
Title: [download]
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Categorical Inputs, Sensitivity Analysis, Optimization and Importance Tempering with tgp Version 2, an R Package for Treed Gaussian Process Models
Reference: Vol. 33, Issue 6, Feb 2010
Submitted 2009-01-17, Accepted 2009-12-23
Type: Article
Abstract:

This document describes the new features in version 2.x of the tgp package for R, implementing treed Gaussian process (GP) models. The topics covered include methods for dealing with categorical inputs and excluding inputs from the tree or GP part of the model; fully Bayesian sensitivity analysis for inputs/covariates; sequential optimization of black-box functions; and a new Monte Carlo method for inference in multi-modal posterior distributions that combines simulated tempering and importance sampling. These additions extend the functionality of tgp across all models in the hierarchy: from Bayesian linear models, to classification and regression trees (CART), to treed Gaussian processes with jumps to the limiting linear model. It is assumed that the reader is familiar with the baseline functionality of the package, outlined in the first vignette (Gramacy 2007).

Paper: [download]
(3460)
Categorical Inputs, Sensitivity Analysis, Optimization and Importance Tempering with tgp Version 2, an R Package for Treed Gaussian Process Models
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Supplements: [download]
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tgp_2.3-1.tar.gz: R source package
(application/x-gzip, 2.4 MB)
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v33i06.R: R example code from the paper
(application/octet-stream, 9.4 KB)
Resources: BibTeX | OAI
Creative Commons License
This work is licensed under the licenses
Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3)
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