For estimating extreme tail probabilities or quantiles with Gaussian process emulators, the discrepancy criterion converges faster than expected improvement, and uniform tail-over-sampling initial designs improve accuracy.
Flexible Correlation Structure for Accu- rate Prediction and Uncertainty Quantification in Bayesian Gaussian Process Emulation of a Computer Model,
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Sequential Computer Experimental Design for Estimating an Extreme Probability or Quantile
For estimating extreme tail probabilities or quantiles with Gaussian process emulators, the discrepancy criterion converges faster than expected improvement, and uniform tail-over-sampling initial designs improve accuracy.