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Comparison of Gaussian process modeling software

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  • Erickson, Collin B.
  • Ankenman, Bruce E.
  • Sanchez, Susan M.

Abstract

Gaussian process fitting, or kriging, is often used to create a model from a set of data. Many available software packages do this, but we show that very different results can be obtained from different packages even when using the same data and model. We describe the parameterization, features, and optimization used by eight different fitting packages that run on four different platforms. We then compare these eight packages using various data functions and data sets, revealing that there are stark differences between the packages. In addition to comparing the prediction accuracy, the predictive variance – which is important for evaluating precision of predictions and is often used in stopping criteria – is also evaluated.

Suggested Citation

  • Erickson, Collin B. & Ankenman, Bruce E. & Sanchez, Susan M., 2018. "Comparison of Gaussian process modeling software," European Journal of Operational Research, Elsevier, vol. 266(1), pages 179-192.
    • Handle: RePEc:eee:ejores:v:266:y:2018:i:1:p:179-192
    DOI: 10.1016/j.ejor.2017.10.002
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    References listed on IDEAS

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    Cited by:

    1. Kleijnen, Jack & van Beers, W.C.M., 2019. "Statistical Tests for Cross-Validation of Kriging Models," Other publications TiSEM 35fba511-2931-47d5-a9ba-3, Tilburg University, School of Economics and Management.
    2. Kleijnen, Jack & van Nieuwenhuyse, I. & van Beers, W.C.M., 2022. "Constrained Optimization in Simulation : Efficient Global Optimization and Karush-Kuhn-Tucker Conditions (revision of 2021-031)," Discussion Paper 2022-015, Tilburg University, Center for Economic Research.
    3. Grant Hutchings & Bruno Sansó & James Gattiker & Devin Francom & Donatella Pasqualini, 2023. "Comparing emulation methods for a high‐resolution storm surge model," Environmetrics, John Wiley & Sons, Ltd., vol. 34(3), May.
    4. Xuefei Lu & Alessandro Rudi & Emanuele Borgonovo & Lorenzo Rosasco, 2020. "Faster Kriging: Facing High-Dimensional Simulators," Operations Research, INFORMS, vol. 68(1), pages 233-249, January.
    5. Radaideh, Majdi I. & Kozlowski, Tomasz, 2020. "Surrogate modeling of advanced computer simulations using deep Gaussian processes," Reliability Engineering and System Safety, Elsevier, vol. 195(C).
    6. Pedrielli, Giulia & Wang, Songhao & Ng, Szu Hui, 2020. "An extended Two-Stage Sequential Optimization approach: Properties and performance," European Journal of Operational Research, Elsevier, vol. 287(3), pages 929-945.
    7. Jack P. C. Kleijnen & Wim C. M. van Beers, 2022. "Statistical Tests for Cross-Validation of Kriging Models," INFORMS Journal on Computing, INFORMS, vol. 34(1), pages 607-621, January.

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