Weighted greedy-optimal design of computer experiments for kernel-based and Gaussian process model emulation and calibration
This article is concerned with the approximation of high-dimensional functions by kernel-based methods. Motivated by uncertainty quantification, which often necessitates the construction of approximations that are accurate with respect to a probability density function of random variables, we aim at minimizing the approximation error with respect to a weighted $L^p$-norm. We present a greedy procedure for designing computer experiments based upon a weighted modification of the pivoted Cholesky factorization. The method successively generates nested samples with the goal of minimizing error in regions of high probability. Numerical experiments validate that this new importance sampling strategy is superior to other sampling approaches, especially when used with non-product probability density functions. We also show how to use the proposed algorithm to efficiently generate surrogates for inferring unknown model parameters from data.