.. _kriging:
Kriging
-------
Kriging (also known as Gaussian process regression) is a Bayesian
technique that aim at approximating functions (most often in order to
surrogate it because it is expensive to evaluate). In the following it
is assumed we aim at creating a surrogate model of a scalar-valued model
:math:`\cM: \vect{x} \mapsto y`. Note the implementation of
Kriging deals with vector-valued functions
(:math:`\cM: \vect{x} \mapsto \vect{y}`), without simply looping over
each output. It is also assumed the model is obtained over a design of
experiments in order to produce a set of observations gathered in the
following dataset:
:math:`\left(\left(\vect{x}^{(i)}, y^{(i)}\right), i = 1, \ldots, m\right)`.
Ultimately Kriging aims at producing a predictor (also known as a
response surface or metamodel) denoted as :math:`\tilde{\cM}`.
We put the following Gaussian process prior on the model :math:`\cM`:
.. math:: Y(\vect{x}) = \Tr{\vect{f}(\vect{x})} \vect{\beta} + Z(\vect{x})
where:
- :math:`\Tr{\vect{f}(\vect{x})} \vect{\beta}` is a generalized linear
model based upon a functional basis
:math:`\vect{f} = \left(f_j, j = 1, \ldots, p\right)` and a vector of
coefficients
:math:`\vect{\beta} = \left(\beta_j, j = 1, \ldots, p\right)`,
- :math:`Z` is a zero-mean stationary Gaussian process whose covariance
function reads:
.. math:: \mathbb{E}[Z(\vect{x})\,Z(\vect{x'})] = \sigma^2 R(\vect{x} - \vect{x'}, \vect{\theta})
where :math:`\sigma^2 > 0` is the variance and :math:`R` is the
correlation function that solely depends on the Manhattan distance
between input points :math:`\vect{x} - \vect{x'}` and a vector of
parameters :math:`\vect{\theta} \in \Rset^{n_\theta}`.
Under the Gaussian process prior assumption, the observations
:math:`\vect{Y} = \left(Y_i, i = 1, \ldots, m\right)` and a prediction
:math:`Y(\vect{x})` at some unobserved input :math:`\vect{x}` are
jointly normally distributed:
.. math::
\begin{pmatrix}
\vect{Y} \\
Y(\vect{x})
\end{pmatrix}
\thicksim
\cN_{m + 1}\left(
\begin{pmatrix}
\mat{F} \vect{\beta} \\
\Tr{\vect{f}(\vect{x})} \vect{\beta}
\end{pmatrix}
,\,\sigma^2
\begin{pmatrix}
\mat{R} & \vect{r}(\vect{x}) \\
\vect{r}(\vect{x})^t & 1
\end{pmatrix}
\right)
where:
.. math:: \mat{F} = \left[f_j\left(\vect{x}^{(i)}\right), i = 1, \ldots, m, j = 1, \ldots, p\right]
is the regression matrix,
.. math:: \mat{R} = \left[R\left(\vect{x}^{(i)} - \vect{x}^{(j)}, \vect{\theta}\right), i,\,j = 1, \ldots, m\right]
is the observationsâ€™ correlation matrix, and:
.. math:: \vect{r}(\vect{x}) = \Tr{\left(R\left(\vect{x} - \vect{x}^{(i)}, \vect{\theta}\right), i = 1, \ldots, m\right)}
is the vector of cross-correlations between the prediction and the
observations.
As such, the Kriging predictor is defined as the following conditional
distribution:
.. math:: \tilde{Y}(\vect{x}) = \left[Y(\vect{x}) \mid \vect{Y} = \vect{y}, \vect{\theta}=\vect{\theta}^*, \sigma^2=(\sigma^2)^*\right]
where :math:`\vect{\theta}^*` and :math:`(\sigma^2)^*` are the maximum
likelihood estimates of the correlation parameters :math:`\vect{\theta}`
and variance :math:`\sigma^2` (see references).
It can be shown (see references) that the predictor
:math:`\tilde{Y}(\vect{x})` is also Gaussian:
.. math:: \tilde{Y}(\vect{x}) = \cN_1\left(\mu_{\tilde{Y}}(\vect{x}), \sigma^2_{\tilde{Y}}(\vect{x})\right)
- with mean:
.. math:: \mu_{\tilde{Y}}(\vect{x}) = \Tr{\vect{f}(\vect{x})} \tilde{\vect{\beta}} + \Tr{\vect{r}(\vect{x})} \vect{\gamma}
where :math:`\underline{\tilde{\beta}}` is the generalized least
squares solution of the underlying linear regression problem:
.. math:: \tilde{\vect{\beta}} = \left(\Tr{\mat{F}} \mat{R}^{-1} \mat{F}\right)^{-1} \Tr{\mat{F}} \mat{R}^{-1} \vect{y}
and
.. math:: \vect{\gamma} = \mat{R}^{-1} \left(\vect{y} - \mat{F} \tilde{\vect{\beta}}\right)
- and variance:
.. math::
\sigma^2_{\tilde{Y}}(\vect{x}) =
\sigma^2 \left[1 -
\Tr{\vect{r}(\vect{x})} \mat{R}^{-1} \vect{r}(\vect{x})
+ \Tr{\vect{u}(\vect{x})} \left(\Tr{\mat{F}} \mat{R}^{-1} \mat{F}\right)^{-1} \vect{u}(\vect{x})
\right]
where:
.. math:: \vect{u}(\vect{x}) = \Tr{\mat{F}} \mat{R}^{-1} \vect{r}(\vect{x}) - \vect{f}(\vect{x})
Kriging may also be referred to as *Gaussian process regression*.
.. topic:: API:
- See :class:`~openturns.KrigingAlgorithm`
.. topic:: Examples:
- See :doc:`/auto_meta_modeling/kriging_metamodel/plot_kriging`
.. topic:: References:
- [dubourg2011]_
- S. Lophaven, H. Nielsen and J. Sondergaard, 2002, "DACE, A Matlab kriging toolbox", Technichal University of Denmark. http://www2.imm.dtu.dk/projects/dace/
- T. Santner, B. Williams and W. Notz, 2003. "The design and analysis of computer experiments", Springer, New York.
- C. Rasmussen and C. Williams, 2006, T. Dietterich (Ed.), "Gaussian processes for machine learning", MIT Press.