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2021 On the inference of applying Gaussian process modeling to a deterministic function
Wenjia Wang
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Electron. J. Statist. 15(2): 5014-5066 (2021). DOI: 10.1214/21-EJS1912

Abstract

Gaussian process modeling is a standard tool for building emulators for computer experiments, which are usually used to study deterministic functions, for example, a solution to a given system of partial differential equations. This work investigates applying Gaussian process modeling to a deterministic function from prediction and uncertainty quantification perspectives, where the Gaussian process model is misspecified. Specifically, we consider the case where the underlying function is fixed and from a reproducing kernel Hilbert space generated by some kernel function, and the same kernel function is used in the Gaussian process modeling as the correlation function for prediction and uncertainty quantification. While upper bounds and the optimal convergence rate of prediction in the Gaussian process modeling have been extensively studied in the literature, a comprehensive exploration of convergence rates and theoretical study of uncertainty quantification is lacking. We prove that, if one uses maximum likelihood estimation to estimate the variance in Gaussian process modeling, under different choices of the regularization parameter value, the predictor is not optimal and/or the confidence interval is not reliable. In particular, lower bounds of the prediction error under different choices of the regularization parameter value are obtained. The results indicate that, if one directly applies Gaussian process modeling to a fixed function, the reliability of the confidence interval and the optimality of the predictor cannot be achieved at the same time.

Acknowledgments

The author is grateful to the AE and three reviewers for their constructive comments. The author especially appreciates one reviewer’s valuable suggestions that improve this paper a lot.

Citation

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Wenjia Wang. "On the inference of applying Gaussian process modeling to a deterministic function." Electron. J. Statist. 15 (2) 5014 - 5066, 2021. https://doi.org/10.1214/21-EJS1912

Information

Received: 1 March 2020; Published: 2021
First available in Project Euclid: 6 December 2021

Digital Object Identifier: 10.1214/21-EJS1912

Keywords: computer experiments , Gaussian process modeling , Matérn correlation functions , uncertainty quantification

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Vol.15 • No. 2 • 2021
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