Prediction for Big Data through Kriging: Small Sequential and One-Shot Designs

J.P.C. Kleijnen, W.C.M. van Beers

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Kriging or Gaussian process (GP) modeling is an interpolation method that
assumes the outputs (responses) are more correlated, the closer the inputs (ex-
planatory or independent variables) are. A GP has unknown (hyper)parameters
that must be estimated; the standard estimation method uses the "maximum
likelihood" criterion. However, big data make it hard to compute the estimates
of these GP parameters, and the resulting Kriging predictor and the variance
of this predictor. To solve this problem, some authors select a relatively small
subset from the big set of previously observed "old" data; their method is se-
quential and depends on the variance of the Kriging predictor. The resulting
designs turn out to be "local"; i.e., most design points are concentrated around
the point to be predicted. We develop three alternative one-shot methods that
do not depend on GP parameters: (i) select a small subset such that this sub-
set still covers the original input space–albeit coarser; (ii) select a subset with
relatively many— but not all— combinations close to the new combination that
is to be predicted, and (iii) select a subset with the nearest neighbors (NNs)
of this new combination. To evaluate these designs, we compare their squared
prediction errors in several numerical (Monte Carlo) experiments. These experi-
ments show that our NN design is a viable alternative for the more sophisticated
sequential designs.
Original languageEnglish
Place of PublicationTilburg
PublisherCentER, Center for Economic Research
Number of pages43
Publication statusPublished - 9 Jul 2018

Publication series

NameCentER Discussion Paper


  • kriging
  • Gaussian process
  • big data
  • experimental design
  • nearest neighbor


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