hetGP (version 1.1.6)

Heteroskedastic Gaussian Process Modeling and Design under Replication

Description

Performs Gaussian process regression with heteroskedastic noise following the model by Binois, M., Gramacy, R., Ludkovski, M. (2016) , with implementation details in Binois, M. & Gramacy, R. B. (2021) . 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.

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Install

install.packages('hetGP')

Monthly Downloads

326

Version

1.1.6

License

LGPL

Maintainer

Last Published

October 2nd, 2023

Functions in hetGP (1.1.6)