Group kernels for Gaussian process metamodels with categorical inputs
Abstract
Gaussian processes (GP) are widely used as a metamodel for emulating time-consuming computer codes. We focus on problems involving categorical inputs, with a potentially large number L of levels (typically several tens), partitioned in G << L groups of various sizes. Parsimonious covariance functions, or kernels, can then be defined by block covariance matrices T with constant covariances between pairs of blocks and within blocks. We study the positive definiteness of such matrices to encourage their practical use. The hierarchical group/level structure, equivalent to a nested Bayesian linear model, provides a parameterization of valid block matrices T. The same model can then be used when the assumption within blocks is relaxed, giving a flexible parametric family of valid covariance matrices with constant covariances between pairs of blocks. The positive definiteness of T is equivalent to the positive definiteness of a smaller matrix of size G, obtained by averaging each block. The model is applied to a problem in nuclear waste analysis, where one of the categorical inputs is atomic number, which has more than 90 levels.
Cite
@article{arxiv.1802.02368,
title = {Group kernels for Gaussian process metamodels with categorical inputs},
author = {Olivier Roustant and Esperan Padonou and Yves Deville and Aloïs Clément and Guillaume Perrin and Jean Giorla and Henry Wynn},
journal= {arXiv preprint arXiv:1802.02368},
year = {2018}
}