On the Inference of Applying Gaussian Process Modeling to a Deterministic Function

Gaussian process modeling is a standard tool for building emulators for computer experiments, which are usually used to study deterministic functions, for example, a solution to a given system of partial differential equations. This work investigates applying Gaussian process modeling to a deterministic function from prediction and uncertainty quantification perspectives, where the Gaussian process model is misspecified. Specifically, we consider the case where the underlying function is fixed and from a reproducing kernel Hilbert space generated by some kernel function, and the same kernel function is used in the Gaussian process modeling as the correlation function for prediction and uncertainty quantification. While upper bounds and optimal convergence rate of prediction in the Gaussian process modeling have been extensively studied in the literature, a thorough exploration of convergence rates and theoretical study of uncertainty quantification is lacking. We prove that, if one uses maximum likelihood estimation to estimate the variance in Gaussian process modeling, under different choices of the nugget parameter value, the predictor is not optimal and/or the confidence interval is not reliable. In particular, lower bounds of the prediction error under different choices of the nugget parameter value are obtained. The results indicate that, if one directly applies Gaussian process modeling to a fixed function, the reliability of the confidence interval and the optimality of the predictor cannot be achieved at the same time.