Cases for the nugget in modeling computer experiments |
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Authors: | Robert B. Gramacy Herbert K. H. Lee |
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Affiliation: | 1.Booth School of Business,University of Chicago,Chicago,USA;2.Applied Math & Statistics,University of California, Santa Cruz,Santa Cruz,USA |
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Abstract: | Most surrogate models for computer experiments are interpolators, and the most common interpolator is a Gaussian process (GP) that deliberately omits a small-scale (measurement) error term called the nugget. The explanation is that computer experiments are, by definition, “deterministic”, and so there is no measurement error. We think this is too narrow a focus for a computer experiment and a statistically inefficient way to model them. We show that estimating a (non-zero) nugget can lead to surrogate models with better statistical properties, such as predictive accuracy and coverage, in a variety of common situations. |
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