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stat.ML2022
Kernel Packet: An Exact and Scalable Algorithm for Gaussian Process Regression with Matérn Correlations
Haoyuan Chen, Liang Ding, Rui Tuo
We develop an exact and scalable algorithm for one-dimensional Gaussian process regression with Matérn correlations whose smoothness parameter is a half-integer. The proposed a…
stat.ML2021
High-Dimensional Simulation Optimization via Brownian Fields and Sparse Grids
Liang Ding, Rui Tuo, Xiaowei Zhang
High-dimensional simulation optimization is notoriously challenging. We propose a new sampling algorithm that converges to a global optimal solution and suffers minimally from the…