DSpace
 

Researchspace >
General science, engineering & technology >
General science, engineering & technology >
General science, engineering & technology >

Please use this identifier to cite or link to this item: http://hdl.handle.net/10204/6033

Title: The asymptotic behaviour of the maximum likelihood function of Kriging approximations using the Gaussian correlation function
Authors: Kok, S
Keywords: Kriging
Maximum Likelihood Estimation
Gaussian correlation function
Ill-conditioning
Issue Date: Jul-2012
Citation: Kok, S. The asymptotic behaviour of the maximum likelihood function of Kriging approximations using the Gaussian correlation function. EngOpt 2012 - International Conference on Engineering Optimization, Rio de Janeiro, Brazil, 1-5 July 2012
Series/Report no.: Workflow;9366
Abstract: This study reports on the asymptotic behavior of the maximum likelihood function, encountered when constructing Kriging approximations using the Gaussian correlation function. Of specific interest is a maximum likelihood function that decreases continuously as the correlation function hyper-parameters approach zero. Since the global minimizer of the maximum likelihood function is an asymptote in this case, it is unclear if maximum likelihood estimation (MLE) remains valid. Numerical ill-conditioning of the correlation matrix also occurs in this case. Analytical and numerical examples are presented that demonstrates the validity of MLE, provided that arbitrary precision arithmetic is used. A recent result that claims the MLE function always approaches infinity as the hyper-parameters approach zero is also disproved.
Description: EngOpt 2012 - International Conference on Engineering Optimization, Rio de Janeiro, Brazil, 1-5 July 2012
URI: http://www.engopt.org/paper/342.pdf
http://hdl.handle.net/10204/6033
ISBN: 978-85-7650-344-6
Appears in Collections:Logistics and quantitative methods
Advanced mathematical modelling and simulation
General science, engineering & technology

Files in This Item:

File Description SizeFormat
Kok_2012.pdf541.79 kBAdobe PDFView/Open
View Statistics

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

 

Valid XHTML 1.0! DSpace Software Copyright © 2002-2010  Duraspace - Feedback