README.md
In deepgp: Bayesian Deep Gaussian Processes using MCMC

deepgp Package

Maintainer: Annie S. Booth annie_booth@ncsu.edu

Performs Bayesian posterior inference for deep Gaussian processes following Sauer, Gramacy, and Higdon (2023, ). See Sauer (2023, http://hdl.handle.net/10919/114845) for comprehensive methodological details and https://bitbucket.org/gramacylab/deepgp-ex/ for a variety of coding examples. 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, ). Downstream tasks include sequential design through active learning Cohn/integrated mean squared error (ALC/IMSE; Sauer, Gramacy, and Higdon, 2023), optimization through expected improvement (EI; Gramacy, Sauer, and Wycoff, 2021 ), and contour location through entropy (Sauer, 2023). Models extend up to three layers deep; a one layer model is equivalent to typical Gaussian process regression. Incorporates OpenMP and SNOW parallelization and utilizes C/C++ under the hood.

Run help("deepgp-package") or help(package = "deepgp") for more information.

Sauer, A. (2023). Deep Gaussian process surrogates for computer experiments. Ph.D. Dissertation, Department of Statistics, Virginia Polytechnic Institute and State University.

Sauer, A., Gramacy, R.B., & Higdon, D. (2023). Active learning for deep Gaussian process surrogates. Technometrics, 65, 4-18. arXiv:2012.08015

Sauer, A., Cooper, A., & Gramacy, R. B. (2022). Vecchia-approximated deep Gaussian processes for computer experiments. Journal of Computational and Graphical Statistics, 1-14. arXiv:2204.02904

Gramacy, R. B., Sauer, A. & Wycoff, N. (2022). Triangulation candidates for Bayesian optimization. Advances in Neural Information Processing Systems (NeurIPS), 35, 35933-35945. arXiv:2112.07457

What's new in version 1.1.1?

Entropy calculations for contour locating sequential designs are offered through the specification of an entropy_limit in any of the predict functions.
In posterior predictions, there is now an option to return point-wise mean and variance estimates for all MCMC samples through the specification of return_all = TRUE.
To save on memory and storage, predict functions no longer return s2_smooth or Sigma_smooth. If desired, these quantities may be calculated by subtracting tau2*g from the diagonal.
The vecchia = TRUE option may now utilize either the Matern (cov = "matern") or squared exponential kernel (cov = "exp2"").
Performance improvements for cores = 1 in predict, ALC, and IMSE functions (helps to avoid a SNOW conflict when running multiple instances on the same machine).
Fit functions now return the outer log likelihood value along with MCMC samples. Used in trace plots to assess burn-in.
In fit_two_layer, the intermediate latent layer may now have either a prior mean of zero (default) or a prior mean equal to x (pmx = TRUE). If pmx is set to a constant, this will be the scale parameter on the inner Gaussian layer.

What's new in version 1.1.0?

Package vignette
Option to specify sep = TRUE in fit_one_layer to fit a GP with separable/anisotropic lengthscales.
Default cores in predict are now 1 (this avoids a conflict when running multiple sessions simultaneously on a single machine).

What's new in version 1.0.1?

Minor bug fixes/improvements.
New warning message when OpenMP parallelization is not utilized for the Vecchia approximation. This happens when the package is downloaded from CRAN on a Mac. To set up OpenMP, download package source and compile with gcc/g++ instead of clang.

What's new in version 1.0.0?

Models may now leverage the Vecchia approximation (through the specification of vecchia = TRUE in fit functions) for faster computation. The speed of this implementation relies on OpenMP parallelization (make sure the -fopenmp flag is present with package installation).
SNOW parallelization now uses less memory/storage.
tau2 is now calculated at the time of MCMC, not at the time of prediction. This avoids some extra calculations.

What's new in version 0.3.0?

The Matern kernel is now the default covariance. The smoothness parameter is user-adjustable but must be either v = 0.5, v = 1.5, or v = 2.5 (default). The squared exponential kernel is still required for use with ALC and IMSE (set cov = "exp2" in fit functions).
Expected improvement (EI) may now be computed concurrently with predictions. Set EI = TRUE inside predict calls. EI calculations are nugget-free and are for minimizing the response (negate y if maximization is desired).
To save memory, hidden layer mappings used in predictions are no longer stored and returned by default. To store them, set store_latent = TRUE inside predict.