Gaussian process single-index models as emulators for computer experiments (1009.4241v3)

Abstract: A single-index model (SIM) provides for parsimonious multi-dimensional nonlinear regression by combining parametric (linear) projection with univariate nonparametric (non-linear) regression models. We show that a particular Gaussian process (GP) formulation is simple to work with and ideal as an emulator for some types of computer experiment as it can outperform the canonical separable GP regression model commonly used in this setting. Our contribution focuses on drastically simplifying, re-interpreting, and then generalizing a recently proposed fully Bayesian GP-SIM combination, and then illustrating its favorable performance on synthetic data and a real-data computer experiment. Two R packages, both released on CRAN, have been augmented to facilitate inference under our proposed model(s).