deepgp-package {deepgp}

Package deepgp

Description

Performs Bayesian posterior inference for deep Gaussian processes following Sauer, Gramacy, and Higdon (2023, <arXiv:2012.08015>). See Sauer (2023, <http://hdl.handle.net/10919/114845>) for comprehensive methodological details and <https://bitbucket.org/gramacylab/deepgp-ex/> for a variety of coding examples. Models are trained through MCMC including elliptical slice sampling of latent Gaussian layers and Metropolis-Hastings sampling of kernel hyperparameters. Vecchia-approximation for faster computation is implemented following Sauer, Cooper, and Gramacy (2022, <arXiv:2204.02904>). Downstream tasks include sequential design through active learning Cohn/integrated mean squared error (ALC/IMSE; Sauer, Gramacy, and Higdon, 2023), optimization through expected improvement (EI; Gramacy, Sauer, and Wycoff, 2021 <arXiv:2112.07457>), and contour location through entrop(Sauer, 2023). Models extend up to three layers deep; a one layer model is equivalent to typical Gaussian process regression. Incorporates OpenMP and SNOW parallelization and utilizes C/C++ under the hood.

Important Functions

• fit_one_layer: conducts MCMC sampling of hyperparameters for a one layer GP

• fit_two_layer: conducts MCMC sampling of hyperparameters and hidden layer for a two layer deep GP

• fit_three_layer: conducts MCMC sampling of hyperparameters and hidden layers for a three layer deep GP

• continue: collects additional MCMC samples

• trim: cuts off burn-in and optionally thins samples

• predict: calculates posterior mean and variance over a set of input locations (optionally calculates EI or entropy)

• plot: produces trace plots, hidden layer plots, and posterior predictive plots

• ALC: calculates active learning Cohn over set of input locations using reference grid

• IMSE: calculates integrated mean-squared error over set of input locations

Author(s)

Annie S. Booth [e-mail]

References

Sauer, A. (2023). Deep Gaussian process surrogates for computer experiments. *Ph.D. Dissertation, Department of Statistics, Virginia Polytechnic Institute and State University.*

Sauer, A., Gramacy, R.B., & Higdon, D. (2023). Active learning for deep Gaussian process surrogates. *Technometrics, 65,* 4-18. arXiv:2012.08015

Sauer, A., Cooper, A., & Gramacy, R. B. (2022). Vecchia-approximated deep Gaussian processes for computer experiments. *Journal of Computational and Graphical Statistics,* 1-14. arXiv:2204.02904

Gramacy, R. B., Sauer, A. & Wycoff, N. (2022). Triangulation candidates for Bayesian optimization. *Advances in Neural Information Processing Systems (NeurIPS), 35,* 35933-35945. arXiv:2112.07457

Examples

# See "fit_one_layer", "fit_two_layer", "fit_three_layer", 
# "ALC", or "IMSE" for examples
# Examples of real-world implementations are available at: 
# https://bitbucket.org/gramacylab/deepgp-ex/