A Clustered Gaussian Process Model for Computer Experiments

Abstract

A Gaussian process has been one of the important approaches for emulating computer simulations. However, the stationarity assumption for a Gaussian process and the intractability for large-scale dataset limit its availability in practice. In this article, we propose a clustered Gaussian process model which segments the input data into multiple clusters, in each of which a Gaussian process model is performed. The stochastic expectation-maximization is employed to efficiently fit the model. In our simulations as well as a real application to solar irradiance emulation, our proposed method had smaller mean square errors than its main competitors, with competitive computation time, and provides valuable insights from data by discovering the clusters. An R package for the proposed methodology is provided in an open repository.