Performs Gaussian process regression with heteroskedastic noise following Binois, M., Gramacy, R., Ludkovski, M. (2016) <arXiv:1611.05902>. The input dependent noise is modeled as another Gaussian process. Replicated observations are encouraged as they yield computational savings. Sequential design procedures based on the integrated mean square prediction error and lookahead heuristics are provided, and notably fast update functions when adding new observations.
|Author||Mickael Binois, Robert B. Gramacy|
|Maintainer||Mickael Binois <[email protected]>|
|Package repository||View on CRAN|
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