Faster Kriging: Facing High-Dimensional Simulators

How can one make a large and complex model fast and “small”? The simulation literature has extensively addressed this problem, and the kriging method has proven to be one of the most successful methods to deal with complex simulators. In “Facing High-Dimensional Simulators: Faster Kriging?,” Xuefei Lu, Alessandro Rudi, Emanuele Borgonovo, and Lorenzo Rosasco propose a new kriging implementation, called “fast kriging,” that copes with dimensionality issues, allowing one to deal with data sets coming from simulators with thousands of inputs.