Combining additivity and active subspaces for high-dimensional Gaussian process modeling

Abstract: Gaussian processes are a widely embraced technique for regression and classification due to their good prediction accuracy, analytical tractability and built-in capabilities for uncertainty quantification. However, they suffer from the curse of dimensionality whenever the number of variables increases. This challenge is generally addressed by assuming additional structure in theproblem, the preferred options being either additivity or low intrinsic dimensionality. Our contribution for high-dimensional Gaussian process modeling is to combine them with a multi-fidelity strategy, showcasing the advantages through experiments on synthetic functions and datasets.