Categorical Inputs, Sensitivity Analysis, Optimization and Importance Tempering with tgp Version 2, an R Package for Treed Gaussian Process Models
Robert B. Gramacy,Matt Taddy +1 more
TLDR
The topics covered include methods for dealing with categorical inputs and excluding inputs from the tree or GP part of the model; fully Bayesian sensitivity analysis for inputs/covariates; sequential optimization of black-box functions; and a new Monte Carlo method for inference in multi-modal posterior distributions that combines simulated tempering and importance sampling.Abstract:
This document describes the new features in version 2x of the tgp package for R, implementing treed Gaussian process (GP) models The topics covered include methods for dealing with categorical inputs and excluding inputs from the tree or GP part of the model; fully Bayesian sensitivity analysis for inputs/covariates; sequential optimization of black-box functions; and a new Monte Carlo method for inference in multi-modal posterior distributions that combines simulated tempering and importance sampling These additions extend the functionality of tgp across all models in the hierarchy: from Bayesian linear models, to classification and regression trees (CART), to treed Gaussian processes with jumps to the limiting linear model It is assumed that the reader is familiar with the baseline functionality of the package, outlined in the first vignette (Gramacy 2007)read more
Citations
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A review of sensitivity analysis methods in building energy analysis
TL;DR: In this article, the typical steps of implementation of sensitivity analysis in building analysis are described, and a number of practical issues in applying sensitivity analysis are also discussed, such as the determination of input variations, the choice of building energy programs, how to reduce computational time for energy models.
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DiceKriging, DiceOptim: Two R Packages for the Analysis of Computer Experiments by Kriging-Based Metamodeling and Optimization
TL;DR: The versatility of DiceKriging with respect to trend and noise specifications, covariance parameter estimation, as well as conditional and unconditional simulations are illustrated on the basis of several reproducible numerical experiments.
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Global sensitivity analysis in hydrological modeling: Review of concepts, methods, theoretical framework, and applications
TL;DR: A comprehensive review of global SA methods in the field of hydrological modeling, including the relationship between parameter identification, uncertainty analysis, and optimization in hydrology, and how to deal with correlated parameters, and time-varying SA is provided.
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Constrained Bayesian Optimization with Noisy Experiments
TL;DR: Simulations with synthetic functions show that optimization performance on noisy, constrained problems outperforms existing methods and derive an expression for expected improvement under greedy batch optimization with noisy observations and noisy constraints, and develop a quasi-Monte Carlo approximation.
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The Future of Sensitivity Analysis: An essential discipline for systems modeling and policy support
Saman Razavi,Anthony Jakeman,Andrea Saltelli,Clémentine Prieur,Bertrand Iooss,Emanuele Borgonovo,Elmar Plischke,Samuele Lo Piano,Takuya Iwanaga,William E. Becker,Stefano Tarantola,Joseph H. A. Guillaume,John D. Jakeman,Hoshin V. Gupta,Nicola Melillo,Giovanni Rabitti,Vincent Chabridon,Qingyun Duan,Xifu Sun,Stefan Smith,R. Sheikholeslami,R. Sheikholeslami,Nasim Hosseini,Masoud Asadzadeh,Arnald Puy,Arnald Puy,Sergei Kucherenko,Holger R. Maier +27 more
TL;DR: A multidisciplinary group of researchers and practitioners revisit the current status of Sensitivity analysis, and outline research challenges in regard to both theoretical frameworks and their applications to solve real-world problems.
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