log_marginal_lik_deriv_ppgasp | R Documentation |
The derivative of natural logarithm of marginal likelihood of the PP GaSP model with regard to inverse range parameters and nugget-variance ratio parameter after marginalizing out the mean (trend) and variance parameters by the location-scale prior. When the nugget is fixed, it only compute the derivative with regard to the inverse range parameter; otherwise it produces derivative with regard to inverse range parameter and nugget-variance ratio parameter.
log_marginal_lik_deriv_ppgasp(param, nugget, nugget_est, R0, X, zero_mean,
output, kernel_type, alpha)
param |
a vector of natural logarithm of inverse-range parameters and natural logarithm of the nugget-variance ratio parameter. |
nugget |
the nugget-variance ratio parameter if this parameter is fixed. |
nugget_est |
Boolean value of whether the nugget is estimated or fixed. |
R0 |
a list of matrix where the j-th matrix is an absolute difference matrix of the j-th input vector. |
X |
the mean basis function i.e. the trend function. |
zero_mean |
the mean basis function is zero or not. |
output |
a matrix where each row is one runs of the computer model output. |
kernel_type |
A vector of |
alpha |
roughness parameters in the kernel functions. |
The numerical value of the derivative of natural logarithm of marginal likelihood with regard to range and nugget-variance ratio parameter (if not fixed). When the nugget is fixed, the derivative is on inverse-range parameters.
Mengyang Gu [aut, cre], Jesus Palomo [aut], James Berger [aut]
Maintainer: Mengyang Gu <mengyang@pstat.ucsb.edu>
M. Gu. and J.O. Berger (2016). Parallel partial Gaussian process emulation for computer models with massive output. Annals of Applied Statistics, 10(3), 1317-1347.
M. Gu. (2016). Robust uncertainty quantification and scalable computation for computer models with massive output. Ph.D. thesis. Duke University.
log_marginal_lik_ppgasp
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