hal-00644934, version 1
ADDITIVE COVARIANCE KERNELS FOR HIGH-DIMENSIONAL GAUSSIAN PROCESS MODELING
Nicolas Durrande
1David Ginsbourger
2Olivier Roustant
1, 3
(2011-10-15)
Abstract: Gaussian process models -also called Kriging models- are often used as mathematical approximations of expensive experiments. However, the number of observation required for building an emulator becomes unrealistic when using classical covariance kernels when the dimension of input increases. In oder to get round the curse of dimensionality, a popular approach is to consider simplified models such as additive models. The ambition of the present work is to give an insight into covariance kernels that are well suited for building additive Kriging models and to describe some properties of the resulting models.
- 1: Equipe : Calcul de Risque, Optimisation et Calage par Utilisation de Simulateurs (CROCUS-ENSMSE)
- UR LSTI – Ecole Nationale Supérieure des Mines de Saint-Etienne
- 2: Institute of Mathematical Statistics and Actuarial Science
- University of Bern
- 3: GdR MASCOT-NUM ((Méthodes d'Analyse Stochastique des Codes et Traitements Numériques))
- CNRS : GDR3179
- Domain : Statistics/Other Statistics
- Keywords : Additive Models – Kriging – Gaussian Processes – GAM – Interpretable Modeling – Computer Experiment
- hal-00644934, version 1
- http://hal.archives-ouvertes.fr/hal-00644934
- oai:hal.archives-ouvertes.fr:hal-00644934
- From: Nicolas Durrande
- Submitted on: Friday, 25 November 2011 15:24:46
- Updated on: Monday, 28 November 2011 16:29:17






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