Multi-Resolution Functional ANOVA for Large-Scale, Many-Input Computer Experiments

Abstract

The Gaussian process is a standard tool for building emulators for both deterministic and stochastic computer experiments. However, application of Gaussian process models is greatly limited in practice, particularly for large-scale and many-input computer experiments that have become typical. In this talk, a multi-resolution functional ANOVA model will be introduced as a computationally feasible emulation alternative. More generally, this model can be used for large-scale and many-input non-linear regression problems.