Estimating and quantifying uncertainties on level sets using the Vorob'ev expectation and deviation with Gaussian process models

Several methods based on Kriging have recently been proposed for calculating a probability of failure involving costly-to-evaluate functions. A closely related problem is to estimate the set of inputs leading to a response exceeding a given threshold. Now, estimating such a level set—and not solely its volume—and quantifying uncertainties on it are not straightforward. Here we use notions from random set theory to obtain an estimate of the level set, together with a quantification of estimation uncertainty. We give explicit formulae in the Gaussian process set-up and provide a consistency result. We then illustrate how space-filling versus adaptive design strategies may sequentially reduce level set estimation uncertainty.

A Nonstationary Space-Time Gaussian Process Model for Partially Converged Simulations

In the context of expensive numerical experiments, a promising solution for alleviating the computational costs consists of using partially converged simulations instead of exact solutions. The gain in computational time is at the price of precision in the response. This work addresses the issue of fitting a Gaussian process model to partially converged simulation data for further use in prediction. The main challenge consists of the adequate approximation of the error due to partial convergence, which is correlated in both design variables and time directions. Here, we propose fitting a Gaussian process in the joint space of design parameters and computational time. The model is constructed by building a nonstationary covariance kernel that reflects accurately the actual structure of the error. Practical solutions are proposed for solving parameter estimation issues associated with the proposed model. The method is applied to a computational fluid dynamics test case and shows significant improvement in prediction compared to a classical kriging model.

Quantifying uncertainty on Pareto fronts with Gaussian process conditional simulations

Multi-objective optimization algorithms aim at finding Pareto-optimal solutions. Recovering Pareto fronts or Pareto sets from a limited number of function evaluations are challenging problems. A popular approach in the case of expensive-to-evaluate functions is to appeal to metamodels. Kriging has been shown efficient as a base for sequential multi-objective optimization, notably through infill sampling criteria balancing exploitation and exploration such as the Expected Hypervolume Improvement. Here we consider Kriging metamodels not only for selecting new points, but as a tool for estimating the whole Pareto front and quantifying how much uncertainty remains on it at any stage of Kriging-based multi-objective optimization algorithms. Our approach relies on the Gaussian process interpretation of Kriging, and bases upon conditional simulations. Using concepts from random set theory, we propose to adapt the Vorob’ev expectation and deviation to capture the variability of the set of non-dominated points. Numerical experiments illustrate the potential of the proposed workflow, and it is shown on examples how Gaussian process simulations and the estimated Vorob’ev deviation can be used to monitor the ability of Kriging-based multi-objective optimization algorithms to accurately learn the Pareto front.

On degeneracy and invariances of random fields paths with applications in Gaussian process modelling

We study pathwise invariances and degeneracies of random fields with motivating applications in Gaussian process modelling. The key idea is that a number of structural properties one may wish to impose a priori on functions boil down to degeneracy properties under well-chosen linear operators. We first show in a second order set-up that almost sure degeneracy of random field paths under some class of linear operators defined in terms of signed measures can be controlled through the two first moments. A special focus is then put on the Gaussian case, where these results are revisited and extended to further linear operators thanks to state-of-the-art representations. Several degeneracy properties are tackled, including random fields with symmetric paths, centred paths, harmonic paths, or sparse paths. The proposed approach delivers a number of promising results and perspectives in Gaussian process modelling. In a first numerical experiment, it is shown that dedicated kernels can be used to infer an axis of symmetry. Our second numerical experiment deals with conditional simulations of a solution to the heat equation, and it is found that adapted kernels notably enable improved predictions of non-linear functionals of the field such as its maximum.

Global Optimization with Sparse and Local Gaussian Process Models

We present a novel surrogate model-based global optimization framework allowing a large number of function evaluations. The method, called SpLEGO, is based on a multi-scale expected improvement (EI) framework relying on both sparse and local Gaussian process (GP) models. First, a bi-objective approach relying on a global sparse GP model is used to determine potential next sampling regions. Local GP models are then constructed within each selected region. The method subsequently employs the standard expected improvement criterion to deal with the exploration-exploitation trade-off within selected local models, leading to a decision on where to perform the next function evaluation(s). The potential of our approach is demonstrated using the so-called Sparse Pseudo-input GP as a global model. The algorithm is tested on four benchmark problems, whose number of starting points ranges from 102 to 104. Our results show that SpLEGO is effective and capable of solving problems with large number of starting points, and it even provides significant advantages when compared with state-of-the-art EI algorithms.

On trend estimation under monotone Gaussian subordination with long-memory: application to fossil pollen series

Fossil pollen data from stratigraphic cores are irregularly spaced in time due to non-linear age-depth relations. Moreover, their marginal distributions may vary over time. We address these features in a nonparametric regression model with errors that are monotone transformations of a latent continuous-time Gaussian process Z(T). Although Z(T) is unobserved, due to monotonicity, under suitable regularity conditions, it can be recovered facilitating further computations such as estimation of the long-memory parameter and the Hermite coefficients. The estimation of Z(T) itself involves estimation of the marginal distribution function of the regression errors. These issues are considered in proposing a plug-in algorithm for optimal bandwidth selection and construction of confidence bands for the trend function. Some high-resolution time series of pollen records from Lago di Origlio in Switzerland, which go back ca. 20,000 years are used to illustrate the methods.

Fast parallel kriging-based stepwise uncertainty reduction with application to the identification of an excursion set

Stepwise uncertainty reduction (SUR) strategies aim at constructing a sequence of points for evaluating a function  f in such a way that the residual uncertainty about a quantity of interest progressively decreases to zero. Using such strategies in the framework of Gaussian process modeling has been shown to be efficient for estimating the volume of excursion of f above a fixed threshold. However, SUR strategies remain cumbersome to use in practice because of their high computational complexity, and the fact that they deliver a single point at each iteration. In this article we introduce several multipoint sampling criteria, allowing the selection of batches of points at which f can be evaluated in parallel. Such criteria are of particular interest when f is costly to evaluate and several CPUs are simultaneously available. We also manage to drastically reduce the computational cost of these strategies through the use of closed form formulas. We illustrate their performances in various numerical experiments, including a nuclear safety test case. Basic notions about kriging, auxiliary problems, complexity calculations, R code, and data are available online as supplementary materials.

Differentiating the Multipoint Expected Improvement for Optimal Batch Design

This work deals with parallel optimization of expensive objective functions which are modelled as sample realizations of Gaussian processes. The study is formalized as a Bayesian optimization problem, or continuous multi-armed bandit problem, where a batch of q > 0 arms is pulled in parallel at each iteration. Several algorithms have been developed for choosing batches by trading off exploitation and exploration. As of today, the maximum Expected Improvement (EI) and Upper Confidence Bound (UCB) selection rules appear as the most prominent approaches for batch selection. Here, we build upon recent work on the multipoint Expected Improvement criterion, for which an analytic expansion relying on Tallis’ formula was recently established. The computational burden of this selection rule being still an issue in application, we derive a closed-form expression for the gradient of the multipoint Expected Improvement, which aims at facilitating its maximization using gradient-based ascent algorithms. Substantial computational savings are shown in application. In addition, our algorithms are tested numerically and compared to state-of-the-art UCB-based batchsequential algorithms. Combining starting designs relying on UCB with gradient-based EI local optimization finally appears as a sound option for batch design in distributed Gaussian Process optimization.