Deep Gaussian Process Emulation using Stochastic Imputation

نویسندگان

چکیده

Deep Gaussian processes (DGPs) provide a rich class of models that can better represent functions with varying regimes or sharp changes, compared to conventional GPs. In this work, we propose novel inference method for DGPs computer model emulation. By stochastically imputing the latent layers, our approach transforms DGP into linked GP: emulator developed systems models. This transformation permits an efficient training procedure only involves optimizations addition, predictions from emulators be made in fast and analytically tractable manner by naturally using closed form predictive means variances GP emulators. We demonstrate series synthetic examples empirical applications, show it is competitive candidate surrogate inference, combining efficiency comparable doubly stochastic variational uncertainty quantification fully-Bayesian approach. A Python package dgpsi implementing also produced available at https://github.com/mingdeyu/DGP.

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ژورنال

عنوان ژورنال: Technometrics

سال: 2022

ISSN: ['0040-1706', '1537-2723']

DOI: https://doi.org/10.1080/00401706.2022.2124311