pGPx is a R package to generate pseudo-realizations of
Gaussian process excursions sets. The paper Azzimonti et al. (2016) and
the manuscript Azzimonti
(2016) provide explanations for the problem and the methods.
The package provides approximate posterior realizations over large designs by simulating the field at few well chosen points and interpolating. The simulation points are chosen minimizing the (posterior) expected distance in measure between the approximate excursion set and the full excursion set. The main functions in the package are:
optim_dist_measure: computes the optimal simulation
points e_1, … , e_m according to algorithm A or B.
krig_weight_GPsimu: Given the simulations points and
the interpolation points computes the kriging weights for the
approximate process at the interpolation points.
grad_kweights: Given the simulations points and the
interpolation points returns the gradient of kriging weights with
respect to the interpolation points.
expDistMeasure: computes the expected distance in
measure between the excursion set of the approximated process and the
true excursion set.
simulate_and_interpolate: Generates nsims approximate
posterior field realizations at the interpolation points given the
optimized simulation points.Contour length: the function
compute_contourLength computes the excursion set contour
length for each GP realization.
Distance transform: the function dtt_fast
computes the distance transform of a binary image (Felzenszwalb and
Huttenlocher, 2012) and the function DTV computes the
distance transfom variability.
Volumes: the function computeVolumes
computes the excursion volumes for each GP realization. It also applies
a bias correction for approximate realizations.
Azzimonti, D. and Bect, J. and Chevalier, C. and Ginsbourger, D. (2016). Quantifying Uncertainties on Excursion Sets Under a Gaussian Random Field Prior. SIAM/ASA Journal on Uncertainty Quantification, 4(1), 850-874. DOI: 10.1137/141000749. Preprint at arXiv:1501.03659
Azzimonti, D. (2016). Contributions to Bayesian set estimation relying on random field priors. PhD thesis, University of Bern. Available at link
Felzenszwalb, P. F. and Huttenlocher, D. P. (2012). Distance Transforms of Sampled Functions. Theory of Computing, 8(19):415-428. DOI: 10.4086/toc.2012.v008a019.