Sequential Experiment Design for Contour Estimation from Computer Simulators

  • Date: 01/26/2007
Lecturer(s):

Derek Bingham (Simon Fraser University)

Location: 

Simon Fraser University

Topic: 

In many engineering applications, one is interested in identifying the
inputs to a computer simulator that lead to a pre-specified output. In
this talk we introduce statistical methodology that identifies the
desired contour in the input space. The proposed approach has three
main components. Firstly, a stochastic model is used to approximate the
global response surface. The model is used as a surrogate for the
underlying computer model and provides an estimate of the contour
together with a measure of uncertainty, given the current set of
computer trials. Then, a strategy for choosing subsequent computer
experiments to improve the estimation of the contour is outlined.
Finally, we discuss how the contour is extracted and represented. The
methodology is illustrated with an example from a multi-class queueing
system.

Other Information: 

Centre for Scientific Computing Seminar 2007

Sponsor: 

pimscsc