Journal
STRUCTURAL AND MULTIDISCIPLINARY OPTIMIZATION
Volume 36, Issue 3, Pages 247-261Publisher
SPRINGER
DOI: 10.1007/s00158-007-0159-6
Keywords
kernel-based approximation; surrogate-based modeling; optimal ensemble
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This paper presents a general approach toward the optimal selection and ensemble (weighted average) of kernel-based approximations to address the issue of model selection. That is, depending on the problem under consideration and loss function, a particular modeling scheme may outperform the others, and, in general, it is not known a priori which one should be selected. The surrogates for the ensemble are chosen based on their performance, favoring non-dominated models, while the weights are adaptive and inversely proportional to estimates of the local prediction variance of the individual surrogates. Using both well-known analytical test functions and, in the surrogate-based modeling of a field scale alkali-surfactant-polymer enhanced oil recovery process, the ensemble of surrogates, in general, outperformed the best individual surrogate and provided among the best predictions throughout the domains of interest.
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