期刊
TECHNOMETRICS
卷 56, 期 4, 页码 455-465出版社
AMER STATISTICAL ASSOC
DOI: 10.1080/00401706.2013.860918
关键词
Design of computer experiments; Inversion; Gaussian process models; Active learning; Probability of failure; Batch-sequential strategies
资金
- French Nuclear Safety Institute (IRSN)
- ReDice Consortium
Stepwise uncertainty reduction (SUR) strategies aim at constructing a sequence of points for evaluating a function f in such a way that the residual uncertainty about a quantity of interest progressively decreases to zero. Using such strategies in the framework of Gaussian process modeling has been shown to be efficient for estimating the volume of excursion of f above a fixed threshold. However, SUR strategies remain cumbersome to use in practice because of their high computational complexity, and the fact that they deliver a single point at each iteration. In this article we introduce several multipoint sampling criteria, allowing the selection of batches of points at which f can be evaluated in parallel. Such criteria are of particular interest when f is costly to evaluate and several CPUs are simultaneously available. We also manage to drastically reduce the computational cost of these strategies through the use of closed form formulas. We illustrate their performances in various numerical experiments, including a nuclear safety test case. Basic notions about kriging, auxiliary problems, complexity calculations, R code, and data are available online as supplementary materials.
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