Project CEMAPRE internal
|Title||Variable selection for computer models|
|Participants||Gonzalo Garcia-Donato, Rui Paulo (Principal Investigator)|
|Summary||Complex computer models are often approximated using Gaussian processes, resulting in what's often|
referred to as an emulator. It is using the emulator that the so-called screening stage is
performed: identifying which inputs to the computer model are active and which can be deemed as
inert. We propose to approach this problem using Bayes factors computed using well-studied priors.
The difficulty arises because the marginal likelihoods are not closed form. Our proposed solution is
to compute Laplace approximations to these marginals, which are often non-standard since the
posterior mode is located at the boundary.