Efficient sequential experimental design for surrogate modeling of nested codes - Archive ouverte HAL Access content directly
Journal Articles ESAIM: Probability and Statistics Year : 2019

Efficient sequential experimental design for surrogate modeling of nested codes

Abstract

Thanks to computing power increase, the certification and the conception of complex systems relies more and more on simulation. To this end, predictive codes are needed, which have generally to be evaluated in a huge number of input points. When the computational cost of these codes is high, surrogate models are introduced to emulate the response of these codes. In this paper, we consider the situation when the system response can be modeled by two nested computer codes. By two nested computer codes, we mean that some inputs of the second code are outputs of the first code. More precisely, the idea is to propose sequential designs to improve the accuracy of the nested code's predictor by exploiting the nested structure of the codes. In particular, a selection criterion is proposed to allow the modeler to choose the code to call, depending on the expected learning rate and the computational cost of each code. The sequential designs are based on the minimization of the prediction variance, so adaptations of the Gaussian process formalism are proposed for this particular configuration in order to quickly evaluate the mean and the variance of the predictor. The proposed methods are then applied to examples.
Fichier principal
Vignette du fichier
2017_12_04_SMP_ArticleNested_Preprint.pdf (261.53 Ko) Télécharger le fichier
Origin : Files produced by the author(s)
Loading...

Dates and versions

hal-01657827 , version 1 (07-12-2017)

Identifiers

Cite

Sophie Marque-Pucheu, Guillaume Perrin, Josselin Garnier. Efficient sequential experimental design for surrogate modeling of nested codes. ESAIM: Probability and Statistics, 2019, 23, pp.245-270. ⟨10.1051/ps/2018011⟩. ⟨hal-01657827⟩
182 View
126 Download

Altmetric

Share

Gmail Facebook X LinkedIn More