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Lifted Brownian Kriging Models

Summary: [This abstract is based on the authors' abstract.] Gaussian processes have become a standard framework for modeling deterministic computer simulations and producing predictions of the response surface. This article investigates a new covariance function that is shown to offer superior prediction compared to the more common covariances for computer simulations of real physical systems. This is demonstrated via a gamut of realistic examples. A simple, closed-form expression for the covariance is derived as a limiting form of a Brownian-like covariance model as it is extended to some hypothetical higher-dimensional input domain, and so we term it a lifted Brownian covariance. This covariance has connections with the multiquadric kernel. Through analysis of the kriging model, this article offers some theoretical comparisons between the proposed covariance model and existing covariance models. The major emphasis of the theory is explaining why the proposed covariance is superior to its traditional counterparts for many computer simulations of real physical systems. Supplementary materials for this article are available online.

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  • Topics: Engineering
  • Keywords: Covariance, Prediction, Simulation models, Kriging, Response surfaces, Gaussian processes, Brownian motion
  • Author: Plumlee, Matthew; Apley, Daniel W.
  • Journal: Technometrics