Abstract: We address two important issues in Gaussian process (GP) modeling. One is how to reduce the computational complexity in GP modeling and the other is how to simultaneous perform variable selection and estimation for the mean function of GP models. Estimation is computationally intensive for GP models because it heavily involves manipulations of an 𝓃-by-𝓃 correlation matrix, where 𝓃 is the sample size. Conventional penalized likelihood approaches are widely used for variable selection. However the computational cost of the penalized likelihood estimation (PMLE) or the corresponding one-step sparse estimation (OSE) can be prohibitively high as the sample size becomes large, especially for GP models. To address both issues, this article proposes an efficient subsample aggregating (subagging) approach with an experimental design-based subsampling scheme. The proposed method is computationally cheaper, yet it can be shown that the resulting subagging estimators achieve the same efficiency as the original PMLE and OSE asymptotically. The finite-sample performance is examined through simulation studies. Application of the proposed methodology to a data center thermal study reveals some interesting information, including identifying an efficient cooling mechanism.

Key words and phrases: Bagging, computer experiment, experimental design, Gaussian process, Latin hypercube design, model selection.