Mathematical Geosciences

, Volume 49, Issue 5, pp 557–582 | Cite as

Gaussian Process Emulators for Computer Experiments with Inequality Constraints

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Abstract

Physical phenomena are observed in many fields (science and engineering) and are often studied by time-consuming computer codes. These codes are analyzed with statistical models, often called emulators. In many situations, the physical system (computer model output) may be known to satisfy inequality constraints with respect to some or all input variables. The aim is to build a model capable of incorporating both data interpolation and inequality constraints into a Gaussian process emulator. By using a functional decomposition, a finite-dimensional approximation of Gaussian processes such that all conditional simulations satisfy the inequality constraints in the entire domain is proposed. To show the performance of the proposed model, some conditional simulations with inequality constraints such as boundedness, monotonicity or convexity conditions in one and two dimensions are given. A simulation study to investigate the efficiency of the method in terms of prediction is included.

Keywords

Gaussian process emulator Inequality constraints Finite-dimensional approximation Uncertainty quantification Design and modeling of computer experiments 

Notes

Acknowledgements

The authors would like to thank the Associate Editor and the two anonymous referees for their helpful comments. Part of this work has been conducted within the frame of the ReDice Consortium, gathering industrial (CEA, EDF, IFPEN, IRSN, Renault) and academic (École des Mines de Saint-Étienne, INRIA, and the University of Bern) partners around advanced methods for Computer Experiments. The authors also thank Olivier Roustant (ENSM-SE), Laurence Grammont (ICJ, Lyon1) and Yann Richet (IRSN) for helpful discussions as well as the participants of the UCM2014 conference and GRF-Sim2014 workshop.

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Copyright information

© International Association for Mathematical Geosciences 2017

Authors and Affiliations

  1. 1.École des Mines de Saint-ÉtienneSaint-ÉtienneFrance

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