Approximately optimal experimental design for heteroscedastic Gaussian process models

Boukouvalas, Alexis, Cornford, Dan and Stehlik, Milan (2009). Approximately optimal experimental design for heteroscedastic Gaussian process models. Technical Report. Aston University, Birmingham. (Unpublished)

Abstract

This paper presents a greedy Bayesian experimental design criterion for heteroscedastic Gaussian process models. The criterion is based on the Fisher information and is optimal in the sense of minimizing parameter uncertainty for likelihood based estimators. We demonstrate the validity of the criterion under different noise regimes and present experimental results from a rabies simulator to demonstrate the effectiveness of the resulting approximately optimal designs.

Divisions: Engineering & Applied Sciences > Computer Science
Engineering & Applied Sciences > Systems analytics research institute (SARI)
Uncontrolled Keywords: Gaussian process,emulation,experimental design
["eprint_fieldopt_dates_date_type_" not defined] Date: 2009-11-10
Authors: Boukouvalas, Alexis
Cornford, Dan ( 0000-0001-8787-6758)
Stehlik, Milan

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