Additive Covariance Kernels for High-Dimensional Gaussian Process Modeling
Machine Learning
2012-12-17 v1
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.
Keywords
Cite
@article{arxiv.1111.6233,
title = {Additive Covariance Kernels for High-Dimensional Gaussian Process Modeling},
author = {Nicolas Durrande and David Ginsbourger and Olivier Roustant and Laurent Carraro},
journal= {arXiv preprint arXiv:1111.6233},
year = {2012}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1103.4023