Slide 7
Slide 7 text
Kriging and local uncertainty prediction
Model: Zero-mean GP Y (x) with const. trend and cov. kernel kθ
(x1, x2
).
y = (y1, . . . , yn
)T , K = (k(xi , xj
))i,j=1,...,n
k∗
(x) = (k(x1, x), . . . , k(xn, x))T
ˆ
µ = 1T K−1y/1T K−11 (BLUE)
Prediction: ˆ
f (x) = E[Y (x)|Y (xi
) = yi , i = 1, . . . , n] =
ˆ
µ + kn
(x)T K−1(y − ˆ
µ1)
Uncertainty: ˆ
s2(x) = Var[Y (x)|Y (xi
) = yi , i = 1, . . . , n] =
σ2 − kT
n
(x)K−1kn
(x) + (1−1T K−1kT
n
(x))2
1T K−11
7 / 40