Corpus ID: 221557494

Sequential construction and dimension reduction of Gaussian processes under inequality constraints

  title={Sequential construction and dimension reduction of Gaussian processes under inequality constraints},
  author={Franccois Bachoc and Andr'es F. L'opez Lopera and Olivier Roustant},
  journal={arXiv: Statistics Theory},
Accounting for inequality constraints, such as boundedness, monotonicity or convexity, is challenging when modeling costly-to-evaluate black box functions. In this regard, finite-dimensional Gaussian process (GP) models bring a valuable solution, as they guarantee that the inequality constraints are satisfied everywhere. Nevertheless, these models are currently restricted to small dimensional situations (up to dimension 5). Addressing this issue, we introduce the MaxMod algorithm that… Expand

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