Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Blake MacDonald, Pritam Ranjan, Hugh Chipman
Title: GPfit: An R Package for Fitting a Gaussian Process Model to Deterministic Simulator Outputs
Abstract: Gaussian process (GP) models are commonly used statistical metamodels for emulating expensive computer simulators. Fitting a GP model can be numerically unstable if any pair of design points in the input space are close together. Ranjan, Haynes, and Karsten (2011) proposed a computationally stable approach for fitting GP models to deterministic computer simulators. They used a genetic algorithm based approach that is robust but computationally intensive for maximizing the likelihood. This paper implements a slightly modified version ofthe model proposed by Ranjan et al. (2011 ) in the R package GPfit. A novel parameterization of the spatial correlation function and a clustering based multi-start gradient based optimization algorithm yield robust optimization that is typically faster than the genetic algorithm based approach. We present two examples with R codes to illustrate the usage of the main functions in GPfit . Several test functions are used for performance comparison with the popular R package mlegp . We also use GPfit for a real application, i.e., for emulating the tidal kinetic energy model for the Bay of Fundy, Nova Scotia, Canada. GPfit is free software and distributed under the General Public License and available from the Comprehensive R Archive Network.

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Paper: GPfit: An R Package for Fitting a Gaussian Process Model to Deterministic Simulator Outputs     Download PDF (Downloads: 15798)
GPfit_0.2-1.tar.gz: R source package Download (Downloads: 279; 12KB)
v64i12.R: R example code from the paper Download (Downloads: 394; 20KB)
tidalpower_output.txt: Supplementary data in plain text format Download (Downloads: 314; 18KB) R replication code for Tables 1-4 Download (Downloads: 230; 13KB)

DOI: 10.18637/jss.v064.i12

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.