Parameter selection in Gaussian process interpolation: an empirical study of selection criteria

TL;DR

This study empirically compares various parameter selection criteria for Gaussian process interpolation, highlighting the importance of model family choice over specific criteria and demonstrating effective regularity parameter selection.

Contribution

It introduces a unified framework based on scoring rules for parameter selection and empirically evaluates the impact of model family choice versus selection criteria.

Findings

Model family choice often outweighs criterion choice in importance.

Most criteria effectively select the regularity parameter of Matérn covariance.

Extended likelihood criteria can recover standard selection methods.

Abstract

This article revisits the fundamental problem of parameter selection for Gaussian process interpolation. By choosing the mean and the covariance functions of a Gaussian process within parametric families, the user obtains a family of Bayesian procedures to perform predictions about the unknown function, and must choose a member of the family that will hopefully provide good predictive performances. We base our study on the general concept of scoring rules, which provides an effective framework for building leave-one-out selection and validation criteria, and a notion of extended likelihood criteria based on an idea proposed by Fasshauer and co-authors in 2009, which makes it possible to recover standard selection criteria such as, for instance, the generalized cross-validation criterion. Under this setting, we empirically show on several test problems of the literature that the choice of an appropriate family of models is often more important than the choice of a particular selection criterion (e.g., the likelihood versus a leave-one-out selection criterion). Moreover, our numerical results show that the regularity parameter of a Mat{\'e}rn covariance can be selected effectively by most selection criteria.