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Gaussian process modeling with inequality constraints

Sébastien Da Veiga, Amandine Marrel (2012)

Annales de la faculté des sciences de Toulouse Mathématiques

Gaussian process modeling is one of the most popular approaches for building a metamodel in the case of expensive numerical simulators. Frequently, the code outputs correspond to physical quantities with a behavior which is known a priori: Chemical concentrations lie between 0 and 1, the output is increasing with respect to some parameter, etc. Several approaches have been proposed to deal with such information. In this paper, we introduce a new framework for incorporating constraints in Gaussian...

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