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.