Performs posterior inference for deep Gaussian processes following Sauer, Gramacy, and Higdon (2020) <arXiv:2012.08015>. Models are trained through MCMC including elliptical slice sampling of latent Gaussian layers and Metropolis-Hastings sampling of kernel hyperparameters. Vecchia-approximation for faster computation is implemented following Sauer, Cooper, and Gramacy (2022) <arXiv:2204.02904>. Downstream tasks include sequential design through active learning Cohn/integrated mean squared error (ALC/IMSE; Sauer, Gramacy, and Higdon, 2020) and optimization through expected improvement (EI; Gramacy, Sauer, and Wycoff, 2021 <arXiv:2112.07457>). Models extend up to three layers deep; a one layer model is equivalent to typical Gaussian process regression. Covariance kernel options are matern (default) and squared exponential. Incorporates OpenMP and SNOW parallelization and utilizes C/C++ under the hood.
Package details |
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Author | Annie Sauer <anniees@vt.edu> |
Maintainer | Annie Sauer <anniees@vt.edu> |
License | LGPL |
Version | 1.1.0 |
Package repository | View on CRAN |
Installation |
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