Error estimation properties of Gaussian process models in stochastic simulations |
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Authors: | Andres F Hernandez Martha A Grover |
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Institution: | School of Chemical & Biomolecular Engineering, Georgia Institute of Technology, Atlanta, GA 30332-0100, United States |
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Abstract: | The theoretical relationship between the prediction variance of a Gaussian process model (GPM) and its mean square prediction error is well known. This relationship has been studied for the case when deterministic simulations are used in GPM, with application to design of computer experiments and metamodeling optimization. This article analyzes the error estimation of Gaussian process models when the simulated data observations contain measurement noise. In particular, this work focuses on the correlation between the GPM prediction variance and the distribution of prediction errors over multiple experimental designs, as a function of location in the input space. The results show that the error estimation properties of a Gaussian process model using stochastic simulations are preserved when the signal-to-noise ratio in the data is larger than 10, regardless of the number of training points used in the metamodel. Also, this article concludes that the distribution of prediction errors approaches a normal distribution with a variance equal to the GPM prediction variance, even in the presence of significant bias in the GPM predictions. |
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Keywords: | Simulation Regression Metamodeling Gaussian process models Error estimation |
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