[Forum SIS] Seminario MONTAGNA

[Matteo Ruggiero]

****************************************************************
STATISTICS SEMINARS  -  COLLEGIO CARLO ALBERTO
****************************************************************

Giovedi' 20 dicembre 2012, alle ore 12:00, presso la sala rossa del 
Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente 
seminario:


SILVIA MONTAGNA (Duke University)

COMPUTER EMULATION WITH NON-STATIONARY GAUSSIAN PROCESSES


Abstract:
Computer codes are used widely in modern scientific research in complex 
chemical, thermodynamical and astrophysical processes. These codes 
deterministically map vectors of high-dimensional inputs into a scalar 
or vector-valued output, and must be run for many different input 
configurations to provide an adequate knowledge of the response surface. 
However, these computer models are very expensive to evaluate for all 
input values of interest. Therefore, there is often interest in building 
a statistical model also called “emulator” for the simulator itself, and 
the simulator deterministic output is regarded as a realization of a 
random function, typically a Gaussian process (GP).  A GP emulator run 
on finitely many input configurations offers error bars for response 
surface estimates at unseen input values. This helps identifying future 
input values where the experiments should be run to minimize the 
uncertainty in the response surface estimation. Literature on GP 
emulators focused primarily on stationary GPs, which however perform 
poorly when the surface of interest presents sharp features, such as 
abrupt discontinuities. We propose a simple non-stationary GP emulator, 
based on two stationary GPs, within a Bayesian framework,  and 
demonstrate its improved performance over stationary / treed GP 
emulators in learning anisotropic surfaces, dealing with 
discontinuities, identifying localized features in the response and 
increasing the sampling frequency in important input dimensions.



Tutti gli interessati sono invitati a partecipare.

Il seminario e' organizzato dalla "de Castro" Statistics Initiative
(http://www.carloalberto.org/stats) in collaborazione con il Collegio 
Carlo Alberto.
Il programma dei seminari puo' essere consultato alla pagina
http://www.carloalberto.org/events/seminars/statistics/


---------
Matteo Ruggiero
University of Torino & Collegio Carlo Alberto
http://web.econ.unito.it/ruggiero