Generalized and Scalable Deep Gaussian Process Emulation

TL;DR

This paper introduces a scalable Generalized Deep Gaussian Process framework that effectively models complex, non-Gaussian, and heteroskedastic simulator outputs, expanding the applicability of GP emulators in diverse stochastic modeling scenarios.

Contribution

It develops a scalable GDGP framework with extensions for heteroskedastic Gaussian and non-Gaussian outputs, implemented in an open-source R package.

Findings

Successfully models non-Gaussian and heteroskedastic outputs

Demonstrates scalability with large input and replicate datasets

Provides a unified approach for diverse simulator types

Abstract

Gaussian process (GP) emulators have become essential tools for approximating complex simulators, significantly reducing computational demands in optimization, sensitivity analysis, and model calibration. While traditional GP emulators effectively model continuous and Gaussian-distributed simulator outputs with homogeneous variability, they typically struggle with discrete, heteroskedastic Gaussian, or non-Gaussian data, limiting their applicability to increasingly common stochastic simulators. In this work, we introduce a scalable Generalized Deep Gaussian Process (GDGP) emulation framework designed to accommodate simulators with heteroskedastic Gaussian outputs and a wide range of non-Gaussian response distributions, including Poisson, negative binomial, and categorical distributions. The GDGP framework leverages the expressiveness of DGPs and extends them to latent GP structures, enabling it to capture the complex, non-stationary behavior inherent in many simulators while also modeling non-Gaussian simulator outputs. We make GDGP scalable by incorporating the Vecchia approximation for settings with a large number of input locations, while also developing efficient inference procedures for handling large numbers of replicates. In particular, we present methodological developments that further enhance the computation of the approach for heteroskedastic Gaussian responses. We demonstrate through a series of synthetic and empirical examples that these extensions deliver the practical application of GDGP emulators and a unified methodology capable of addressing diverse modeling challenges. The proposed GDGP framework is implemented in the open-source R package dgpsi.