Browsing by Author "Sauer, Annie Elizabeth"

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    Deep Gaussian Process Surrogates for Computer Experiments
    Sauer, Annie Elizabeth (Virginia Tech, 2023-04-27)
    Deep Gaussian processes (DGPs) upgrade ordinary GPs through functional composition, in which intermediate GP layers warp the original inputs, providing flexibility to model non-stationary dynamics. Recent applications in machine learning favor approximate, optimization-based inference for fast predictions, but applications to computer surrogate modeling - with an eye towards downstream tasks like Bayesian optimization and reliability analysis - demand broader uncertainty quantification (UQ). I prioritize UQ through full posterior integration in a Bayesian scheme, hinging on elliptical slice sampling of latent layers. I demonstrate how my DGP's non-stationary flexibility, combined with appropriate UQ, allows for active learning: a virtuous cycle of data acquisition and model updating that departs from traditional space-filling designs and yields more accurate surrogates for fixed simulation effort. I propose new sequential design schemes that rely on optimization of acquisition criteria through evaluation of strategically allocated candidates instead of numerical optimizations, with a motivating application to contour location in an aeronautics simulation. Alternatively, when simulation runs are cheap and readily available, large datasets present a challenge for full DGP posterior integration due to cubic scaling bottlenecks. For this case I introduce the Vecchia approximation, popular for ordinary GPs in spatial data settings. I show that Vecchia-induced sparsity of Cholesky factors allows for linear computational scaling without compromising DGP accuracy or UQ. I vet both active learning and Vecchia-approximated DGPs on numerous illustrative examples and real computer experiments. I provide open-source implementations in the "deepgp" package for R on CRAN.