simulate.gekm: Simulation of Conditional Process Paths

In gek: Gradient-Enhanced Kriging

Simulation of Conditional Process Paths

Description

Simulates process paths conditional on a fitted gekm object.

Usage

## S3 method for class 'gekm'
simulate(object, nsim = 1, seed = NULL, newdata = NULL, 
	scale = FALSE, df = NULL, tol = NULL, ...)

Arguments

object	an object of class "gekm".
nsim	number of simulated process paths. Default is 1.
seed	argument is not supported.
newdata	a data.frame containing the points at which the process path should be realized. The column names must be identical to those in the data used to construct the "gekm" object.
scale	logical. Should the estimated process standard deviation be scaled? Default is FALSE, see sigma.gekm for details.
df	degrees of freedom of the t distribution. Default is NULL, see predict.gekm for details.
tol	a tolerance for the conditional number of the conditional correlation matrix of newdata, see blockChol for details. Default is NULL, i.e. no regularization is applied.
...	further arguments, not used.

Details

By setting df = Inf, paths of a Gaussian process are simulated.

Value

A matrix with nrow(newdata) rows and nsim columns of simulated response values at the points of newdata. Each column represents one conditional simulated process path.

Author(s)

Carmen van Meegen

References

Cressie, N. A. C. (1993). Statistics for Spartial Data. John Wiley & Sons. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1002/9781119115151")}.

Oakley, J. and O'Hagan, A. (2002). Bayesian Inference for the Uncertainty Distribution of Computer Model Outputs. Biometrika, 89(4):769–784. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1093/biomet/89.4.769")}.

Ripley, B. D. (1981). Spatial Statistics. John Wiley & Sons. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1002/0471725218")}.

See Also

gekm for fitting a (gradient-enhanced) Kriging model.

predict.gekm for prediction at new data points based on a model of class "gekm".

Examples

## 1-dimensional example

# Define test function and its gradient from Oakley and O’Hagan (2002)
f <- function(x) 5 + x + cos(x)
fGrad <- function(x) 1 - sin(x)

# Generate coordinates and calculate slopes
x <- seq(-5, 5, length = 5)
y <- f(x)
dy <- fGrad(x)
dat <- data.frame(x, y)
deri <- data.frame(x = dy)

# Fit Kriging model
km.1d <- gekm(y ~ x, data = dat, covtype = "gaussian", theta = 1)

# Fit Gradient-Enhanced Kriging model
gekm.1d <- gekm(y ~ x, data = dat, deriv = deri, covtype = "gaussian", theta = 1)

# Generate new data for prediction and simulation
newdat <- data.frame(x = seq(-6, 6, length = 600))

# Prediction for both models
df <- NULL
scale <- FALSE
pred.km.1d <- predict(km.1d, newdat, sd.fit = FALSE, interval = "confidence", 
 df = df, scale = scale)
pred.gekm.1d  <- predict(gekm.1d, newdat, sd.fit = FALSE, interval = "confidence", 
 df = df, scale = scale)

# Simulate process paths conditional on fitted models
set.seed(1)
n <- 500
sim.km.1d <- simulate(km.1d, nsim = n, newdata = newdat, tol = 35, df = df, scale = scale)
sim.gekm.1d <- simulate(gekm.1d, nsim = n, newdata = newdat, tol = 35, df = df, scale = scale)

par(mfrow = c(1, 2), oma = c(3.5, 3.5, 0, 0.2), mar = c(0, 0, 1.5, 0))
matplot(newdat$x, sim.km.1d, type = "l", lty = 1, col = 2:8, lwd = 1, 
	ylim = c(-1, 12), main = "Kriging")
matplot(newdat$x, pred.km.1d, type = "l", lwd = 2, add = TRUE,
	col = "black", lty = 1)
points(x, y, pch = 16, cex = 1, col = "red")

matplot(newdat$x, sim.gekm.1d, type = "l", lty = 1, col = 2:8, 
	lwd = 1, ylim = c(-1, 12), main = "GEK", yaxt = "n")
matplot(newdat$x, pred.gekm.1d, type = "l", lwd = 2, add = TRUE,
	col = "black", lty = 1)
points(x, y, pch = 16, cex = 1, col = "red")

mtext(side = 1, outer = TRUE, line = 2.5, "x")
mtext(side = 2, outer = TRUE, line = 2.5, "f(x)")

# Compare predicted means and standard deviations from predict() and simulate()
pred.km.1d <- predict(km.1d, newdat, sd.fit = TRUE, df = df, scale = scale)
pred.gekm.1d  <- predict(gekm.1d, newdat, sd.fit = TRUE, df = df, scale = scale)

# Predicted means
plot(newdat$x, pred.km.1d$fit, type = "l", lty = 1, lwd = 1, 
	ylim = c(-1, 12), main = "Kriging")
lines(newdat$x, rowMeans(sim.km.1d), col = 4)
points(x, y, pch = 16, cex = 1, col = "red")

plot(newdat$x, pred.gekm.1d$fit, type = "l", lty = 1, lwd = 1, 
	ylim = c(-1, 12), main = "GEK", yaxt = "n")
lines(newdat$x, rowMeans(sim.gekm.1d), col = 4)
points(x, y, pch = 16, cex = 1, col = "red")

mtext(side = 1, outer = TRUE, line = 2.5, "x")
mtext(side = 2, outer = TRUE, line = 2.5, "f(x)")

# Standard deviation
plot(newdat$x, pred.km.1d$sd.fit, type = "l", lty = 1, lwd = 1, 
	ylim = c(0, 0.8), main = "Kriging")
lines(newdat$x, apply(sim.km.1d, 1, sd), col = 4)
points(x, rep(0, 5), pch = 16, cex = 1, col = "red")

plot(newdat$x, pred.gekm.1d$sd.fit, type = "l", lty = 1, lwd = 1, 
	ylim = c(0, 0.8), main = "GEK", yaxt = "n")
lines(newdat$x, apply(sim.gekm.1d, 1, sd), col = 4)
points(x, rep(0, 5), pch = 16, cex = 1, col = "red")

mtext(side = 1, outer = TRUE, line = 2.5, "x")
mtext(side = 2, outer = TRUE, line = 2.5, "standard deviation")

gek documentation built on Jan. 31, 2026, 1:07 a.m.