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Heteroskedastic Gaussian Processes for Simulation Experiments


Oct 15, 2018 - 1:50pm to 2:55pm


Rettaliata Engineering Center, Room 104


Mickael Binois
Division of Mathematics and Computer Science, Argonne National Laboratory


An increasing number of time-consuming simulators exhibit a complex noise structure that depends on the inputs. To conduct studies with limited budgets of evaluations, new surrogate methods are required to model simultaneously the mean and variance fields. To this end, we present recent advances in Gaussian process modeling with input-dependent noise. First, we describe a simple, yet efficient, joint modeling framework that rely on replication for both speed and accuracy. Then we tackle the issue of leveraging replication and exploration in a sequential manner for various goals, such as obtaining a globally accurate model, for optimization, or contour finding. We illustrate these on applications coming from epidemiology and inventory management.

Event Type: 

Department of Applied Mathematics - Colloquia