KrigInv: An efficient and user-friendly implementation of batch-sequential inversion strategies based on kriging

Chevalier, Clément; Picheny, Victor; Ginsbourger, David (2014). KrigInv: An efficient and user-friendly implementation of batch-sequential inversion strategies based on kriging. Computational statistics & data analysis, 71, pp. 1021-1034. Elsevier 10.1016/j.csda.2013.03.008

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Several strategies relying on kriging have recently been proposed for adaptively estimating contour lines and excursion sets of functions under severely limited evaluation budget. The recently released R package KrigInv 3 is presented and offers a sound implementation of various sampling criteria for those kinds of inverse problems. KrigInv is based on the DiceKriging package, and thus benefits from a number of options concerning the underlying kriging models. Six implemented sampling criteria are detailed in a tutorial and illustrated with graphical examples. Different functionalities of KrigInv are gradually explained. Additionally, two recently proposed criteria for batch-sequential inversion are presented, enabling advanced users to distribute function evaluations in parallel on clusters or clouds of machines. Finally, auxiliary problems are discussed. These include the fine tuning of numerical integration and optimization procedures used within the computation and the optimization of the considered criteria.

Item Type:

Journal Article (Original Article)

Division/Institute:

08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science

UniBE Contributor:

Chevalier, Clément and Ginsbourger, David

Subjects:

500 Science > 510 Mathematics

ISSN:

0167-9473

Publisher:

Elsevier

Language:

English

Submitter:

Lutz Dümbgen

Date Deposited:

01 Apr 2014 02:52

Last Modified:

12 Jan 2016 11:00

Publisher DOI:

10.1016/j.csda.2013.03.008

BORIS DOI:

10.7892/boris.41529

URI:

https://boris.unibe.ch/id/eprint/41529

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