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silphimon authored Jul 9, 2024
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publication: "In *SIAM/ASA Journal on Uncertainty Quantification*"
publication_short: ""

# abstract: Lorem ipsum dolor sit amet, consectetur adipiscing elit. Duis posuere tellus ac convallis placerat. Proin tincidunt magna sed ex sollicitudin condimentum. Sed ac faucibus dolor, scelerisque sollicitudin nisi. Cras purus urna, suscipit quis sapien eu, pulvinar tempor diam. Quisque risus orci, mollis id ante sit amet, gravida egestas nisl. Sed ac tempus magna. Proin in dui enim. Donec condimentum, sem id dapibus fringilla, tellus enim condimentum arcu, nec volutpat est felis vel metus. Vestibulum sit amet erat at nulla eleifend gravida.
abstract: Gaussian process (GP) models are widely used to emulate propagation uncertainty in computer experiments. GP emulation sits comfortably within an analytically tractable Bayesian framework. Apart from propagating uncertainty of the input variables, a GP emulator trained on finitely many runs of the experiment also offers error bars for response surface estimates at unseen input values. This helps select future input values where the experiment should be run to minimize the uncertainty in the response surface estimation. However, traditional GP emulators use stationary covariance functions, which perform poorly and lead to suboptimal selection of future input points when the response surface has sharp local features, such as a jump discontinuity or an isolated tall peak. We propose an easily implemented nonstationary GP emulator, based on two stationary GPs, one nested into the other, and demonstrate its superior ability in handling local features and selecting future input points from the boundaries of such features.

# Summary. An optional shortened abstract.
# summary: Lorem ipsum dolor sit amet, consectetur adipiscing elit. Duis posuere tellus ac convallis placerat. Proin tincidunt magna sed ex sollicitudin condimentum.
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