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Contour estimation via two fidelity computer simulators under limited resources

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  • Ray-Bing Chen
  • Ying-Chao Hung
  • Weichung Wang
  • Sung-Wei Yen

Abstract

The utilization of multiple fidelity simulators for the design and analysis of computer experiments has received increased attention in recent years. In this paper, we study the contour estimation problem for complex systems by considering two fidelity simulators. Our goal is to design a methodology of choosing the best suited simulator and input location for each simulation trial so that the overall estimation of the desired contour can be as good as possible under limited simulation resources. The proposed methodology is sequential and based on the construction of Gaussian process surrogate for the output measure of interest. We illustrate the methodology on a canonical queueing system and evaluate its efficiency via a simulation study. Copyright Springer-Verlag Berlin Heidelberg 2013

Suggested Citation

  • Ray-Bing Chen & Ying-Chao Hung & Weichung Wang & Sung-Wei Yen, 2013. "Contour estimation via two fidelity computer simulators under limited resources," Computational Statistics, Springer, vol. 28(4), pages 1813-1834, August.
    • Handle: RePEc:spr:compst:v:28:y:2013:i:4:p:1813-1834
    DOI: 10.1007/s00180-012-0380-7
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    References listed on IDEAS

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    1. Rennen, G. & Husslage, B.G.M. & van Dam, E.R. & den Hertog, D., 2009. "Nested Maximin Latin Hypercube Designs," Discussion Paper 2009-06, Tilburg University, Center for Economic Research.
    2. Gramacy, Robert B & Lee, Herbert K. H, 2008. "Bayesian Treed Gaussian Process Models With an Application to Computer Modeling," Journal of the American Statistical Association, American Statistical Association, vol. 103(483), pages 1119-1130.
    3. Chuang, S.C. & Hung, Y.C., 2010. "Uniform design over general input domains with applications to target region estimation in computer experiments," Computational Statistics & Data Analysis, Elsevier, vol. 54(1), pages 219-232, January.
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