Gaussian processes for computer experiments

Abstract : This paper collects the contributions which were presented during the session devoted to Gaussian processes at the Journées MAS 2016. First, an introduction to Gaussian processes is provided, and some current research questions are discussed. Then, an application of Gaussian process modeling under linear inequality constraints to financial data is presented. Also, an original procedure for handling large data sets is described. Finally, the case of Gaussian process based iterative optimization is discussed.
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Submitted on : Sunday, December 17, 2017 - 6:16:46 PM
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François Bachoc, Emile Contal, Hassan Maatouk, Didier Rullière. Gaussian processes for computer experiments . ESAIM: Proceedings and Surveys, EDP Sciences, 2017, 60, pp.163-179. ⟨10.1051/proc/201760163⟩. ⟨hal-01665936⟩

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