Скачать или смотреть UNQW02 | Robert Gramacy | Replication or exploration? Sequential design for stochastic simulation

UNQW02 | Prof. Robert Gramacy | Replication or exploration? Sequential design for stochastic simulation experiments

Speaker: Professor Robert Gramacy (Virginia Polytechnic Institute and State University)
Date: 9th Feb 2018 - 13:30 to 14:30
Venue: INI Seminar Room 1
Title: Replication or exploration? Sequential design for stochastic simulation experiments
Event: (UNQW02) Surrogate models for UQ in complex systems
Abstract: We investigate the merits of replication, and provide methods that search for optimal designs (including replicates), in the context of noisy computer simulation experiments. We first show that replication offers the potential to be beneficial from both design and computational perspectives, in the context of Gaussian process surrogate modeling. We then develop a lookahead based sequential design scheme that can determine if a new run should be at an existing input location (i.e., replicate) or at a new one (explore). When paired with a newly developed heteroskedastic Gaussian process model, our dynamic design scheme facilitates learning of signal and noise relationships which can vary throughout the input space. We show that it does so efficiently, on both computational and statistical grounds. In addition to illustrative synthetic examples, we demonstrate performance on two challenging real-data simulation experiments, from inventory management and epidemiology.

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