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Sampling Functions from Gaussian Processes and Structured Covariance Gaussian Networks
When learning aerodynamic models from data, it is critical to incorporate estimates of model uncertainty. This motivates the design of probabilistic aerodynamic databases which can be sampled to generate physically and statistically plausible aerodynamic models. In this talk we discuss how to sample deterministic functions from two different kinds of probabilistic models and demonstrate their use. First, Gaussian Process Regressors (GPRs) are a widely used probabilistic kernel-based model which can be thought of as Gaussian distributions over functions. GPRs are generally trained by maximizing the marginal likelihood of seeing the training data over the kernel parameter space. Sample functions are easily generated by drawing points from the Gaussian distribution at desired input points. However, when the points are not known ahead of time, the classical sampling approach is not possible since successive function samples will generate different function realizations. We present an approach for sampling consistent function evaluations from a GPR over multiple samples. Second, we describe a neural network architecture which learns a conditional Gaussian distribution by maximizing the marginal likelihood at each point in the input space. We then discuss and compare several options for generating sample functions which match this distribution. Finally, we demonstrate the use of these probabilistic aerodynamic models in an atmospheric reentry simulation.
JetGP: A derivative enhanced Gaussian process library
Derivative enhanced Gaussian Processes (DEGPs) can significantly improve surrogate model accuracy over standard Gaussian Process (GP) formulations by incorporating derivative information. However, standard implementations scale poorly with dimension, limiting their use in high dimensional engineering problems. JetGP is a Python framework that unifies existing derivative enhanced GP methodologies into a single library and extends them to support arbitrary order derivative information. The library implements four complementary formulations: standard derivative enhanced Gaussian Processes (DEGP), directional DEGP (DDEGP), generalized directional DEGP (GDDEGP), and weighted DEGP (WDEGP). By unifying these approaches in a consistent interface with robust numerical implementations, JetGP enables practitioners to balance predictive accuracy and computational efficiency for high dimensional optimization, uncertainty quantification, and sensitivity analysis in engineering design.
A robust approach to Gaussian process implementation
Abstract. Gaussian process (GP) regression is a flexible modeling technique used to predict outputs and to capture uncertainty in the predictions. However, the GP regression process becomes computationally intensive when the training spatial dataset has a large number of observations. To address this challenge, we introduce a scalable GP algorithm, termed MuyGPs, which incorporates nearest-neighbor and leave-one-out cross-validation during training. This approach enables the evaluation of large spatial datasets with state-of-the-art accuracy and speed in certain spatial problems. Despite these advantages, conventional quadratic loss functions used in the MuyGPs optimization, such as root mean squared error (RMSE), are highly influenced by outliers. We explore the behavior of MuyGPs in cases involving outlying observations and, subsequently, develop a robust approach to handle and mitigate their impact. Specifically, we introduce a novel leave-one-out loss function based on the pseudo-Huber function (LOOPH) that effectively accounts for outliers in large spatial datasets within the MuyGPs framework. Our simulation study shows that the LOOPH loss method maintains accuracy despite outlying observations, establishing MuyGPs as a powerful tool for mitigating unusual observation impacts in the large data regime. In the analysis of US ozone data, MuyGPs provides accurate predictions and uncertainty quantification, demonstrating its utility in managing data anomalies. Through these efforts, we advance the understanding of GP regression in spatial contexts.
Simulation of time series by distorted Gaussian processes
Distorted stationary Gaussian process can be used to provide computer-generated imitations of experimental time series. A method of analyzing a source time series and synthesizing an imitation is shown, and an example using X-band radiometer data is given.
Gaussian Process Regression under Computational and Epistemic Misspecification
Gaussian process regression is a classical kernel method for function estimation and data interpolation. In large data applications, computational costs can be reduced using low-rank or sparse approximations of the kernel. This paper investigates the effect of such kernel approximations on the interpolation error. We introduce a unified framework to analyze Gaussian process regression under important classes of computational misspecification: Karhunen-Loève expansions that result in low-rank kernel approximations, multiscale wavelet expansions that induce sparsity in the covariance matrix, and finite element representations that induce sparsity in the precision matrix. Furthermore, our theory also accounts for epistemic misspecification in the choice of kernel parameters.
Physics-Informed Gaussian Process Inference of Liquid Structure from Scattering Data
We present a nonparametric Bayesian framework to infer radial distribution functions from experimental scattering measurements with uncertainty quantification using nonstationary Gaussian processes. The Gaussian process prior mean and kernel functions are designed to mitigate well-known numerical challenges with the Fourier transform, including discrete measurement binning and detector windowing, while encoding fundamental yet minimal physical knowledge of the liquid structure. We demonstrate uncertainty propagation of the Gaussian process posterior to unmeasured quantities of interest. Experimental radial distribution functions of liquid argon and water with uncertainty quantification are provided as both a proof of principle for the method and a benchmark for molecular models.
Compactly‐Supported Nonstationary Kernels for Computing Exact Gaussian Processes on Big Data
The Gaussian process (GP) is a widely used method for analyzing large-scale data sets, including spatio-temporal measurements of nonlinear processes that are now commonplace in the environmental sciences. Traditional implementations of GPs involve stationary kernels (also termed covariance functions) that limit their flexibility, and exact methods for inference that prevent application to data sets with more than about 10,000 points. Modern approaches to address stationarity assumptions generally fail to accommodate large data sets, while all attempts to address scalability focus on approximating the Gaussian likelihood, which can involve subjectivity and lead to inaccuracies. In this work, we explicitly derive an alternative kernel that can discover and encode both sparsity and nonstationarity. We embed the kernel within a fully Bayesian GP model and leverage high-performance computing resources to enable the analysis of massive data sets. We demonstrate the favorable performance of our novel kernel relative to existing exact and approximate GP methods across a variety of synthetic data examples. Furthermore, we conduct space–time prediction based on more than 1 million measurements of daily maximum temperature and verify that our results outperform state-of-the-art methods in the Earth sciences. More broadly, having access to exact GPs that use ultra-scalable, sparsity-discovering, nonstationary kernels allows GP methods to truly compete with a wide variety of machine learning methods.
Gaussian Process for Flight Delay Prediction: Learning a Stochastic Process
This paper presents a machine-learning approach to predict flight delays. Whereas neural networks are extensively studied for predictive capabilities, they involve non-intuitive design and extensive analysis, particularly in training and optimization processes. Instead, the proposed framework employs Gaussian Processes as a supervised learning technique for flight delay prediction. This data-driven approach trains the model using prior information, specifically the mean and covariance tied to existing data. The proposed Gaussian Process Regression (GPR) model employs the day of flight as a pivotal feature for delay forecasting. We analyze flights from various routes and gauge the accuracy of the presented learning technique by comparing the predicted delays with the actual ones. Given the inherent challenges in precisely forecasting delays, we predict the delays with a 95 % confidence interval. Also, an error propagation analysis in the prediction horizon is carried out to determine the optimal time frame for prediction. The proposed method for flight delay prediction is important as airlines can strategize flight operations and issue timely advisories.
Radiation image reconstruction and uncertainty quantification using a Gaussian process prior
We propose a complete framework for Bayesian image reconstruction and uncertainty quantification based on a Gaussian process prior (GPP) to overcome limitations of maximum likelihood expectation maximization (ML-EM) image reconstruction algorithm. The prior distribution is constructed with a zero-mean Gaussian process (GP) with a choice of a covariance function, and a link function is used to map the Gaussian process to an image. Unlike many other maximum a posteriori approaches, our method offers highly interpretable hyperparamters that are selected automatically with the empirical Bayes method. Furthermore, the GP covariance function can be modified to incorporate a priori structural priors, enabling multi-modality imaging or contextual data fusion. Lastly, we illustrate that our approach lends itself to Bayesian uncertainty quantification techniques, such as the preconditioned Crank–Nicolson method and the Laplace approximation. The proposed framework is general and can be employed in most radiation image reconstruction problems, and we demonstrate it with simulated free-moving single detector radiation source imaging scenarios. We compare the reconstruction results from GPP and ML-EM, and show that the proposed method can significantly improve the image quality over ML-EM, all the while providing greater understanding of the source distribution via the uncertainty quantification capability. Furthermore, significant improvement of the image quality by incorporating a structural prior is illustrated.
Bayesian D‐Optimal Designs for Gaussian Process Surrogate Models
Computer experiments often employ space-filling strategies to create surrogate models with strong predictive performance. The impact of model parameter estimation for Gaussian process surrogates, however, is often overlooked. Obtaining a better initial estimate of the covariance lengthscale parameter, θ, can greatly improve the resulting Gaussian process fit through more effective sequential acquisitions during active learning. In this work, we propose a novel initial design maximizing the Bayesian D-optimality criterion of the Gaussian process lengthscale parameter. Previously published results have shown the emphasis on lengthscale estimation to be promising, but relied on an empirically driven design creation process. Our Bayesian D-optimal designs are rooted in information theory and lead to more informative sequential acquisitions by improving lengthscale estimation. In many cases, these gains eventually result in better surrogates than those seeded with space-filling initial designs. Furthermore, Bayesian D-optimal designs can be tailored to either isotropic or anisotropic covariance structures, and the Bayesian framework enables the inclusion of prior knowledge in the design process, offering greater flexibility and adaptability. Through several simulation studies, we demonstrate the advantages of Bayesian D-optimal designs in terms of both lengthscale estimation accuracy and predictive performance during active learning.
Forward variable selection enables fast and accurate dynamic system identification with Karhunen-Loève decomposed Gaussian processes
A promising approach for scalable Gaussian processes (GPs) is the Karhunen-Loève (KL) decomposition, in which the GP kernel is represented by a set of basis functions which are the eigenfunctions of the kernel operator. Such decomposed kernels have the potential to be very fast, and do not depend on the selection of a reduced set of inducing points. However KL decompositions lead to high dimensionality, and variable selection thus becomes paramount. This paper reports a new method of forward variable selection, enabled by the ordered nature of the basis functions in the KL expansion of the Bayesian Smoothing Spline ANOVA kernel (BSS-ANOVA), coupled with fast Gibbs sampling in a fully Bayesian approach. It quickly and effectively limits the number of terms, yielding a method with competitive accuracies, training and inference times for tabular datasets of low feature set dimensionality. Theoretical computational complexities are O ( N P 2 ) in training and O ( P ) per point in inference, where N is the number of instances and P the number of expansion terms. The inference speed and accuracy makes the method especially useful for dynamic systems identification, by modeling the dynamics in the tangent space as a static problem, then integrating the learned dynamics using a high-order scheme. The methods are demonstrated on two dynamic datasets: a ‘Susceptible, Infected, Recovered’ (SIR) toy problem, along with the experimental ‘Cascaded Tanks’ benchmark dataset. Comparisons on the static prediction of time derivatives are made with a random forest (RF), a residual neural network (ResNet), and the Orthogonal Additive Kernel (OAK) inducing points scalable GP, while for the timeseries prediction comparisons are made with LSTM and GRU recurrent neural networks (RNNs) along with the SINDy package.
On the Bhattacharyya distance and the divergence between Gaussian processes.
Divergence and Bhattacharyya distance between Gaussian processes, evaluating filter design and signal selection
Accurate and uncertainty-aware multi-task prediction of HEA properties using prior-guided deep Gaussian processes
Surrogate modeling techniques have become indispensable in accelerating the discovery and optimization of high-entropy alloys (HEAs), especially when integrating computational predictions with sparse experimental observations. This study systematically evaluates the training and testing performance of four prominent surrogate models—conventional Gaussian processes (cGP), Deep Gaussian processes (DGP), encoder-decoder neural networks for multi-output regression and eXtreme Gradient Boosting (XGBoost)—applied to a hybrid dataset of experimental and computational properties of the 8-component HEA system Al-Co-Cr-Cu-Fe-Mn-Ni-V. We specifically assess their capabilities in predicting correlated material properties, including yield strength, hardness, modulus, ultimate tensile strength, elongation, and average hardness under dynamic/quasi-static conditions, alongside auxiliary computational properties. The comparison highlights the strengths of hierarchical deep modeling approaches in handling heteroscedastic, heterotopic, and incomplete data commonly encountered in materials science. Our findings illustrate that combined surrogate models such as DGPs infused with machine-learned priors outperform other surrogates by effectively capturing inter-property correlations and by assimilating prior knowledge. This enhanced predictive accuracy positions the combined surrogate models as powerful tools for robust and data-efficient materials design.
A Gaussian Process Enhancement to Linear Parameter Varying Models
Simulation and analysis for modern engineering systems now routinely requires the merging of multiple disciplines, physical-domains, time-scales, and data sets — all at ever increasing levels. These capabilities are especially needed in the domain of Advanced Air Mobility, where rapidly emerging vehicle designs are significantly more complex, while having to be both cost-effective and safe. To meet these engineering challenges, machine learning methods are an attractive option for merging models and data across multiple areas while providing uncertainty quantification and maintaining computational efficiency. This paper examines the use of Gaussian process machine learning to generalize and enhance the commonly used class of quasi-Linear Parameter Varying models for fast full-envelope simulation while also supporting control system design and analysis with model uncertainty. Gaussian process machine learning is selected because it: can fuse multiple data sets, enables an easy trade-off between data fitting and smoothing, provides model uncertainty quantification, scales well with increasing complexity, and does not generally require starting from a large training data set. To demonstrate the benefits of the approach, a robust stability analysis with Gaussian process uncertainty is shown for a NASA reference design of an electric quad-rotor air-taxi concept vehicle with motor parameter uncertainty.
Extracting the Breakout Distance from the ECOT Trajectories: Gaussian Process Regression Approach
Enhanced Corner Turning (ECOT) experiments provide an important metric of performance of high explosive (HE) formulations. The breakout distance is a single scalar value that characterizes the corner turning efficiency of an HE. Extracting the breakout distance from the raw ECOT results, whether experimental or simulated, is a conceptually straightforward procedure which, however, is non-unique, especially in the presence of noise. More specifically, this procedure involves numerical smoothing and selecting particular values for parameters of this smoothing introduces human bias. In this work, we propose to use the Gaussian process regression to analyze ECOT results. This analysis involves the effective smoothing of the data, thus allowing for accurate extraction of the breakout distance. Most importantly, the parameters of this smoothing can be inferred from the ECOT data itself, rendering the approach effectively parameter-free and thus diminishing the human bias. An additional benefit of the Gaussian process regression, being a statistical inference method, is that not just the value of the breakout distance, but also its confidence interval can be extracted from the data. This report introduces the Gaussian process regression, as applied to ECOT, and demonstrates its usefulness by extracting the breakout distances for a selection of experimental and simulated data.
Enhancing Gaussian Process Surrogates for Optimization and Posterior Approximation via Random Exploration
This paper proposes novel noise-free Bayesian optimization strategies that rely on a random exploration step to enhance the accuracy of Gaussian process surrogate models. The new algorithms retain the ease of implementation of the classical GP-UCB algorithm, but the additional random exploration step accelerates their convergence, nearly achieving the optimal convergence rate. Furthermore, to facilitate Bayesian inference with intractable likelihoods, we propose to utilize optimization iterates for maximum a posteriori estimation to build a Gaussian process surrogate model for the unnormalized log-posterior density. We provide bounds for the Hellinger distance between the true and the approximate posterior distributions in terms of the number of design points. We demonstrate the effectiveness of our Bayesian optimization algorithms in nonconvex benchmark objective functions, in a machine learning hyperparameter tuning problem, and in a black-box engineering design problem. The effectiveness of our posterior approximation approach is demonstrated in two Bayesian inference problems for parameters of dynamical systems.
Gaussian-process generative model for the QCD equation of state
We develop a generative model for the nuclear matter equation of state at zero net baryon density using the Gaussian process regression method. We impose first-principles theoretical constraints from lattice quantum chromodynamics and hadron resonance gas at high- and low-temperature regions, respectively. By allowing the trained Gaussian process regression model to vary freely near the phase transition region, we generate random smooth crossover equations of state with different speeds of sound that do not rely on specific parametrizations. Here, we explore a collection of experimental observable dependencies on the generated equations of state, which paves the groundwork for future Bayesian inference studies to use experimental measurements from relativistic heavy-ion collisions to constrain the nuclear matter equation of state.