# Approximation of IMSE-optimal Designs via Quadrature Rules and Spectral Decomposition

@article{Gauthier2016ApproximationOI, title={Approximation of IMSE-optimal Designs via Quadrature Rules and Spectral Decomposition}, author={Bertrand Gauthier and Luc Pronzato}, journal={Communications in Statistics - Simulation and Computation}, year={2016}, volume={45}, pages={1600 - 1612} }

We address the problem of computing integrated mean-squared error (IMSE) optimal designs for interpolation of random fields with known mean and covariance. We assume that the mean squared error is integrated through a discrete measure and restrict the design space to its support. We show that the IMSE and its approximation by spectral truncation can be easily evaluated, which makes their global minimization affordable. Numerical experiments are carried out that illustrate the effectiveness of… Expand

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#### 9 Citations

Spectral Approximation of the IMSE Criterion for Optimal Designs in Kernel-Based Interpolation Models

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- SIAM/ASA J. Uncertain. Quantification
- 2014

Numerical experiments are carried out and it is indicated that retaining a small number of eigenpairs is often sufficient to obtain good approximations of IMSE optimal quadrature-designs when optimizing the truncated criterion and that optimal quadRature- designs generally give efficient approximation of the true optimal designs for the quadratures approximation of the IMSE. Expand

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