Bobby's Publications and Technical Reports
- Timing Foreign Exchange Markets (2014) with Samuel Malone and Enrique ter Horst; preprint available on SSRN:2154035.
- Modeling an augmented Lagrangian for improved blackbox constrained optimization (2013) with Genetha Gray, Sebastien Le Digabel, Herbie Lee, Pritam Ranjan, Garth Wells and Stefan Wild; preprint on arXiv:1403.4890
- Efficient Bayesian inference for long memory processes (2013) with Tim Graves, Christian Franzke and Nicholas Watkins; preprint on arXiv:1403.2940
- Local Gaussian process approximation for large computer experiments (2014) with Dan Apley; to appear in Journal of Computational and Graphical Statistics; preprint on arXiv:1303.0383
- Market-based credit ratings (2014) with Drew Creal and Ruey Tsay; to appear in Journal of Business and Economic Statistics; a preprint is available on SSRN:2310260; also see our Capital Ideas article.
- Empirical performance modeling of GPU kernels using active learning (2014) with Prasassa Balaprakash, Karl Rupp, Azamat Mametjanov, Paul Hovland and Stefan Wild; ParCo 2013 proceedings in Parallel Computing: Accelerating Computational Science and Engineering (CSE) vol. 25, pp. 646-655; preprint at ANL/MCS-P4097-0713
- Quantifiably secure power grid operation, management, and evolution: A study of uncertainties affecting the grid integration of renewables (2013) with with Genetha Gray, J-P. Watson, and Cesar Silva; technical report SAND2013-7886
- Information-theoretic data discarding for dynamic trees on data streams (2013) with Christoforos Anagnostopoulos; Entropy 15(12), pp. 5510-5535; preprint on arXiv:1201.5568. A short version was presented at the NIPS workshop on Bayesian Optimization, Experimental Design and Bandits (Granada, Spain)
- Massively parallel approximate Gaussian process regression (2013) with Jarad Niemi and Robin Weiss; preprint on arXiv:1310.5182
- Sequential regression for optimal stopping problems (2013) with Mike Ludkovski; preprint on arXiv:1309.3832
- Bayesian treed response surface models (2013) with Hugh Chipman, Ed George and Rob McCulloch; WIREs Data Mining and Knowledge Discovery, to appear
- Active-learning-based surrogate models for empirical performance tuning (2013) with Prasassa Balaprakash and Stefan Wild; in IEEE Cluster 2013 proceedings; preprint at ANL/MCS-P4073-0513
- Bayesian quantile regression for single-index models (2013) with Yuao Hua and Heng Lian; Statistics and Computing, 23(4), 437-454; preprint on arXiv:1110.0219
- Variable selection and sensitivity analysis via dynamic trees with an application to computer code performance tuning (2013) with Matt Taddy and Stefan Wild. Annals of Applied Statistics, 7(1), pp. 51-80; preprint on arXiv:1108.4739; also see our science highlight at Argonne
- Estimating player contribution in hockey with regularized logistic regression (2013) with Shane Jensen, and Matt Taddy. Journal of Quantitative Analysis in Sports, 9(1), pp. 97-111; preprint on arXiv:1209.5026; also see our Capital Ideas articles (1) and (2), and blog
- Comment: on advances in expected improvement (2013). An invited discussion of "Quantile- Based Optimization of Noisy Computer Experiments with Tunable Precision" by V. Picheny, D. Ginsbourger and G. Caplin. Technometrics, 55(1), pp. 19-20.
- The Importance of Prior Choice in Model Selection: a Density Dependence Example (2013) with James Lawrence, Len Thomas and Stephen Buckland. Methods in Ecology and Evolution, 4(1), pp. 25-33; preprint on arXiv:1108.4912
- Gibbs sampling for ordinary, robust and logistic regression with Laplace priors (2013). Chapter in Bayesian Theory and Applications, honoring Adrian Smith; edited by P. Damien, P. Dellaportas, N.G. Polson and D.A.Stephens; pp 466-482, Oxford University Press
- Regression-based earnings forecasts (2012) with Joseph Gerakos; preprint available on SSRN:2112137; also see our Capital Ideas article.
- Exchange rate fundamentals, forecasting, and speculation: Bayesian models in black markets (2012) with Samuel Malone and Enrique ter Horst; Journal of Applied Econometrics, to appear; preprint available here.
- Gaussian process single-index models as emulators for computer experiments (2012) with Heng Lian; Technometrics, 54(1), pp. 30-41; preprint on arXiv:1009.4241
- Simulation-based regularized logistic regression (2012) with Nicholas Polson; Bayesian Analysis, 7(3), pp. 567-590; preprint on arXiv:1005.3430
- Cases for the nugget in modeling computer experiments (2012) with Herbie Lee. Statistics and Computing, 22(3), pp. 713-722; preprint on arXiv:1007.4580
- Robustness of estimators of long-range dependence and self-similarity under non-Gaussianity (2012) with Christian Franzke, Timothy Graves, Nicholas Watkins, and Cecilia Hughes; Philosophical Transactions of the Royal Society A, 370(1962), pp. 1250-1267; preprint on arXiv:1101.5018
- The mesh adaptive direct search algorithm with treed Gaussian process surrogates (2011) with Sebastien Le Digabel; Les cahiers du GERAD #G-2011-37; preprint on OO:2011-07-3090
- Dynamic trees for learning and design (2011) with Matthew Taddy and Nicholas Polson. Journal of the American Statistical Association, 106(493), pp. 109-123; preprint on arXiv:0912.1586
- Optimization under unknown constraints (2011) with Herbie Lee. Valencia discussion paper, in Bayesian Statistics 9. Oxford University Press; preprint on arXiv:1004.4027
- Optimization subject to hidden constraints via statistical emulation (2011) with Herbie Lee, Crystal Linkletter and Genetha Gray. Pacific Journal of Optimization, 7(3), pp. 467-478; preprint on UCSC-SOE-10-10
- Particle learning of Gaussian process models for sequential design and optimization (2011) with Nicholas Polson. Journal of Computational and Graphical Statistics, 20(1), pp. 102-118; preprint on arXiv:0909.5262
- Classification and categorical inputs with treed Gaussian process models (2011) with Tamara Broderick. Journal of Classification, 28(2), 244-270; preprint on arXiv:0904.4891
- Gaussian Process Structural Equation Models with Latent Variables (2010) with Ricardo Silva. Proceedings of the 26th Conference on Uncertainty in Artificial Intelligence (UAI 2010), P. Grunwald and P. Sprites, editors; preprint on arXiv:1002.4802
- amei: an R package for the Adaptive Management of Epidemiological Interventions (2010) with Dan Merl, Leah Johnson and Marc Mangel. Journal of Statistical Software, 36(6); available as an R vignette in the amei package
- Treed Gaussian processes for classification (2010) with Tamara Broderick. In Hermann Locarek-Junge, Claus Weihs (editors): Classification as a tool for research. Proc. 11th Conference of the International Federation of Classification Societies (IFCS-09), University of Dresden, Germany, March 13-18, 2009. Springer-Verlag, Heidelberg-Berlin, pp. 101-108
- Designing and analyzing a circuit device experiment using treed Gaussian processes (2010) with Herbert K.H. Lee, Matt Taddy and Genetha A. Gray. Chapter in the Handbook of Applied Bayesian Analysis, Anthony O'Hagan and Mike West, editors; Oxford University Press
- Shrinkage regression for multivariate inference with missing data, and an application to portfolio balancing (2010) with Ester Pantaleo. Bayesian Analysis 5(2), pp. 237-262; preprint on arXiv:0907.2135
- Categorical inputs, sensitivity analysis, optimization and importance tempering with tgp version 2, an R package for treed Gaussian process models (2010) with Matt Taddy. Journal of Statistical Software, 33(6); snapshot of one of two R vignettes in the tgp package as of January 2010
- Importance tempering (2010) with Richard Samworth, and Ruth King. Statistics and Computing 20(1), pp. 1-7; preprint on arXiv:0707.4242
- tgp: an R package for nonlinear regression by treed Gaussian processes (2009). ISBA Bulletin, Software Spotlight; September 16(3).
- A statistical framework for the adaptive management of epidemiological interventions (2009) with Dan Merl, Leah Johnson and Marc Mangel. PLoS ONE 4(6): e5087
- Adaptive Design and Analysis of Supercomputer Experiments (2009) with Herbert K.H. Lee. Technometrics, 51(2), pp. 130-145; preprint on arXiv:0805.4359
- MCMC methods for Bayesian mixtures of copulas (2009) with Ricardo Silva. In D. van Dyk and M. Welling (Eds.), proceedings of the Twelfth International Conference on Artificial Intellegence and Statistics (AISTATS), Clearwater Beach, Florida, April 16-18. JMLR: W&CP 5:512-519
- LogConcDEAD: An R Package for Maximum Likelihood Estimation of a Multivariate Log-Concave Density (2009) with Madeleine Cule and Richard Samworth. Journal of Statistical Software, 29(2); snapshot of the R vignette for the LogConcDEAD package as of January 2009
- Gaussian Processes and Limiting Linear Models (2008) with Herbert K.H. Lee. Computational Statistics and Data Analysis, 53, pp. 123-136; preprint on arXiv:0804.4685 (full version of JSM06)
- On estimating covariances between many assets with histories of highly variable length (2008) with Joo Hee Lee and Ricardo Silva; preprint on arXiv:0710.5837
- Bayesian treed Gaussian process models with an application to computer modeling (2008) with Herbert K.H. Lee. Journal of the American Statistical Association, 103(483), pp. 1119-1130; preprint on arXiv:0710.4536
- tgp: An R Package for Bayesian Nonstationary, Semiparametric Nonlinear Regression and Design by Treed Gaussian Process Models (2007). Journal of Statistical Software, 19(9); snapshot of the R vignette for the tgp package as of June 2007
- Pattern search optimization with a treed Gaussian process oracle (2006). Proceedings of the 14th NECDC, with G.A. Gray, M. Martinez-Canales, M.A. Taddy and H.K.H. Lee; available as Sandia techincal report: SAND2006-794C.
- Gaussian Processes and Limiting Linear Models (2006) with Herbert K.H. Lee. Proceedings of the American Statistical Association, Section on Bayesian Statistical Science, Seattle, WA
- Bayesian treed Gaussian process models (2005). Ph.D. Thesis. Department of Applied Math & Statistics, UC Santa Cruz; winner of the Savage Award for 2006
- Adaptive exploration of computer experiment parameter spaces (2005). ISBA Bulletin, Applications; December 11(4), pp. 3-6; an extended version of this paper, highlighting computation and implementation details, was one of four winners of the ASA (American Statistical Association) Section on Statistical Computing and Graphics student paper competition
- Parameter space exploration with Gaussian process trees (2004) with Herbert K. H. Lee and William G. Macready. Proceedings of the International Conference on Machine Learning (ICML) 353-360; Omnipress and ACM Digital Library
- Adaptive Caching by Experts (2003). Masters Thesis. Department of Computer Science, Baskin Engineering School, UC Santa Cruz; also avaliable at the UCSC Science Library.
- Adaptive Caching by Refetching (2003) with Manfred Warmuth, Scott Brandt, and Ismail Ari. Advances in on Neural Information Processing Systems (NIPS) 15; pp. 1465-1472; MIT Press
- ACME: Adaptive Caching Using Multiple Experts (2002) with Ismail Ari, Ahmed Amer, Ethan Miller, Scott Brandt and Darrell Long; Proceedings in Informatics, vol. 14, pp. 142-158; Carelton Scientific
- Automatic Layout Based Verification of Electrostatic Discharge Paths (2001) with P. Ngan, D. Oliver, T. Smedes, C-K Wong. ESD/EOS Symposium; Portland, OR, USA; p96
- Computer Science Honors Thesis: Shortest Paths and Network Flow Algorithms for Electrostatic Discharge Analysis (2001)
- Math Senior Seminar: Combinatorial Optimization: Matchings (2001)
Robert B. Gramacy -- 2013