Mickaël Binois

Sequential Learning of Active Subspaces

2021 · arXiv (Cornell University)

In recent years, active subspace methods (ASMs) have become a popular means of performing subspace sensitivity analysis on black-box functions. Naively applied, however, ASMs require gradient evaluations of the target function. In the event of …

<b>hetGP</b>: Heteroskedastic Gaussian Process Modeling and Sequential Design in <i>R</i>

2021 · Journal of Statistical Software

An increasing number of time-consuming simulators exhibit a complex noise structure that depends on the inputs. For conducting studies with limited budgets of evaluations, new surrogate methods are required in order to simultaneously model the …