Quantile Kriging for Stochastic Simulations with Replication.
Quantile Kriging is a method to model the uncertainty of a stochastic simulation by modelling both the overall simulation response and the output distribution at each sample point. The output distribution is characterized by dividing it into quantiles, where the division of each quantile is determined by kriging.
This library is our re-implementation of Quantile Kriging as described by Matthew Plumlee & Rui Tuo in their 2014 paper "Building Accurate Emulators for Stochastic Simulations via Quantile Kriging." With computational savings when dealing with replication from the recent paper "Practical heteroskedastic Gaussian process modeling for large simulation experiments " by Binois, M., Gramacy, R., and Ludovski, M. it is now possible to apply Quantile Kriging to a wider class of problems. In addition to fitting the model, other useful tools are provided such as the ability to automatically perform leave-one-out cross validation.
Getting Started
Quantkriging can be downloaded and installed inside of RStudio by using the devtools package. If you do not have the devtools package run:
install.package("devtools")
once devtools is installed, run:
library(devtools) install_github("LLNL/quantkriging")
Documentation
Documentation is included in the package. It can be viewed in RStudio with the command: help(quantkriging)
Contributing
Just send us a pull request.
Authors
This implementation of quantile kriging was developed by Kevin Quinlan, [email protected].
Licenses
quantkriging is distributed under the terms of the MIT license
SPDX-License-Identifier: MIT
LLNL-CODE-796243
Copyright (c) 2019 Lawrence Livermore National Security
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The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software.
THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
Notice
Title: Quantkriging (Quantile Kriging R Package) , Version: 0.1.0 Author(s) Kevin R. Quinlan, James R. Leek
This work was produced under the auspices of the U.S. Department of Energy by Lawrence Livermore National Laboratory under Contract DE-AC52-07NA27344.
This work was prepared as an account of work sponsored by an agency of the United States Government. Neither the United States Government nor Lawrence Livermore National Security, LLC, nor any of their employees makes any warranty, expressed or implied, or assumes any legal liability or responsibility for the accuracy, completeness, or usefulness of any information, apparatus, product, or process disclosed, or represents that its use would not infringe privately owned rights.
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