Step-by-Step Penalized Blind Kriging Methods for Surrogate Modeling

Algorithm 3

(variable selection algorithm for M2).

 Step 1: give , , and as initial variables

 Step 2: use formulas (12) and (13) for optimal model parameters

 Step 3: with , and solve the penalized likelihood function for , where is obtained based on cross validation

 Step 4: the remaining steps of fitting are the same as Steps 2–4 in Algorithm 2 and will not be repeated here