Deep Gaussian Process Emulation using Stochastic Imputation

We propose a novel deep Gaussian process (DGP) inference method for computer model emulation using stochastic imputation. By stochastically imputing the latent layers, the approach transforms the DGP into the linked GP, a state-of-the-art surrogate model formed by linking a system of feed-forward coupled GPs. This transformation renders a simple while efficient DGP training procedure that only involves optimizations of conventional stationary GPs. In addition, the analytically tractable mean and variance of the linked GP allows one to implement predictions from DGP emulators in a fast and accurate manner. We demonstrate the method in a series of synthetic examples and real-world applications, and show that it is a competitive candidate for efficient DGP surrogate modeling in comparison to the variational inference and the fully-Bayesian approach. A $\texttt{Python}$ package $\texttt{dgpsi}$ implementing the method is also produced and available at https://github.com/mingdeyu/DGP.