### Interpolation of Deterministic Simulator Outputs using a Gaussian Process Model

Ranjan, P *(Acadia University)*

Friday 09 September 2011, 09:00-09:30

Seminar Room 1, Newton Institute

#### Abstract

For many expensive deterministic computer simulators, the outputs do not have replication error and the desired metamodel (or statistical emulator) is an interpolator of the observed data. Realizations of Gaussian spatial processes (GP) are commonly used to model such simulator outputs. Fitting a GP model to n data points requires the computation of the inverse and determinant of n x n correlation matrices, R, that are sometimes computationally unstable due to near-singularity of R. This happens if any pair of design points are very close together in the input space. The popular approach to overcome near-singularity is to introduce a small nugget (or jitter) parameter in the model that is estimated along with other model parameters. The inclusion of a nugget in the model often causes unnecessary over-smoothing of the data. In this talk, we present a lower bound on the nugget that minimizes the over-smoothing and an iterative regularization approach to construct a predictor th at further improves the interpolation accuracy. We also show that the proposed predictor converges to the GP interpolator.

#### Presentation

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