Comparison of Gaussian process modeling software

Abstract

The article of record as published may be found at http://dx.doi.org/10.1109/WSC.2016.7822403Proceedings of the 2016 Winter Simulation Conference, T. M. K. Roeder, P. I. Frazier, R. Szechtman, E. Zhou, T. Huschka, and S. E. Chick, eds.Gaussian process fitting, or kriging, is often used to create a model from a set of data. Many available software packages do this, but we show that very different results can be obtained from different packages even when using the same data and model. Seven different fitting packages that run on four different platforms are compared using various data functions and data sets that reveal there are stark differences between the packages. In addition to comparing the prediction accuracy, the predictive variance-which is important for evaluating precision of predictions and is often used in stopping criteria-is also evaluated