Published March 4, 2021 | Version STCOSource
Software Open

VictoriaLyu/gpstuff: Evaluating Gaussian Process Metamodels and Sequential Designs for Noisy Level Set Estimation V1

Creators

  • 1. Aalto University
  • 2. University of Helsinki
  • 3. @teamitfi
  • 4. University of California, Irvine

Description

This is the source code for synthetic experiments and case study in the article "Evaluating Gaussian Process Metamodels and Sequential Designs for Noisy Level Set Estimation". The code is originally branched from the open source MATLAB library GPstuff  by Jarno Vanhatalo, Jaakko Riihimäki, Jouni Hartikainen, Pasi Jylänki, Ville Tolvanen, and Aki Vehtari (2013). GPstuff: Bayesian Modeling with Gaussian Processes. Journal of Machine Learning Research, 14(Apr):1175-1179. (Available at http://jmlr.csail.mit.edu/papers/v14/vanhatalo13a.html). Implementations of adaptive design with Gaussian Process and its application in Bermudan option is mainly included in folders "adaptive_design" and "bermudan_option_oracle", with other minor changes in the GPstuff source code according to the experiment setup in the article. 

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VictoriaLyu/gpstuff-STCOSource.zip

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Additional details

Related works

Is supplement to
https://github.com/VictoriaLyu/gpstuff/tree/STCOSource (URL)