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Validating Gaussian Process Emulators

Pivoted Cholesky errors D PC (y∗ ) = (G−1 )T (y∗ − m1 (X∗ )) where V1 (X∗ ) = GT G, and G = PRT . Properties: D PC (y∗ )T D PC (y∗ ) = DMD (y∗ ) Var (D PC (η(X)) = I Invariant to the data order Piv...

Validating Gaussian Process Emulators

UFRJ, December 2008