Argonne National Laboratory

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Local Gaussian Process Approximation for Large Computer Experiments

July 11, 2013 1:00PM to 2:00PM
Robert B. Gramacy, Assistant Professor, Booth School of Business, University of Chicago
University of Chicago, Searle Lab 240A
Computational Institute Presentation
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We provide a new approach to approximate emulation of large computer experiments. By focusing expressly on desirable properties of the predictive equations, we derive a family of local sequential design schemes that dynamically define the support of a Gaussian process predictor based on a local subset of the data. We further derive expressions for fast sequential updating of all needed quantities as the local designs are built-up iteratively.


Then we show how independent application of our local design strategy across the elements of a vast predictive grid facilitates a trivially parallel implementation. The end result is a global predictor able to take advantage of modern multicore architectures, while at the same time allowing for a nonstationary modeling feature as a bonus. We demonstrate our method on two examples utilizing designs sized in the thousands, and tens of thousands of data points. Comparisons are made to the method of compactly supported covariances.