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: Mickaël Binois, Robert B. Gramacy
Title: hetGP: Heteroskedastic Gaussian Process Modeling and Sequential Design in R
Abstract: An increasing number of time-consuming simulators exhibit a complex noise structure that depends on the inputs. For conducting studies with limited budgets of evaluations, new surrogate methods are required in order to simultaneously model the mean and variance fields. To this end, we present the hetGP package, implementing many recent advances in Gaussian process modeling with input-dependent noise. First, we describe a simple, yet efficient, joint modeling framework that relies on replication for both speed and accuracy. Then we tackle the issue of data acquisition leveraging replication and exploration in a sequential manner for various goals, such as for obtaining a globally accurate model, for optimization, or for contour finding. Reproducible illustrations are provided throughout.

Page views:: 408. Submitted: 2019-01-14. Published: 2021-07-08.
Paper: hetGP: Heteroskedastic Gaussian Process Modeling and Sequential Design in R     Download PDF (Downloads: 95)
Supplements:
hetGP_1.1.4.tar.gz: R source package Download (Downloads: 2; 1MB)
v98i13.R: R replication code Download (Downloads: 14; 14KB)

DOI: 10.18637/jss.v098.i13

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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.