Showing 1 of total 1 results (show query)
mbinois
hetGP:Heteroskedastic Gaussian Process Modeling and Design under Replication
Performs Gaussian process regression with heteroskedastic noise following the model by Binois, M., Gramacy, R., Ludkovski, M. (2016) <doi:10.48550/arXiv.1611.05902>, with implementation details in Binois, M. & Gramacy, R. B. (2021) <doi:10.18637/jss.v098.i13>. The input dependent noise is modeled as another Gaussian process. Replicated observations are encouraged as they yield computational savings. Sequential design procedures based on the integrated mean square prediction error and lookahead heuristics are provided, and notably fast update functions when adding new observations.
Maintained by Mickael Binois. Last updated 7 months ago.
5 stars 4.89 score 260 scripts 2 dependents