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Sequential design for computer experiments with a flexible Bayesian additive model
Published in Wiley
2012
Volume: 40
   
Issue: 4
Pages: 663 - 678
Abstract

In computer experiments, a mathematical model implemented on a computer is used to represent complex physical phenomena. These models, known as computer simulators, enable experimental study of a virtual representation of the complex phenomena. Simulators can be thought of as complex functions that take many inputs and provide an output. Often these simulators are themselves expensive to compute, and may be approximated by "surrogate models" such as statistical regression models. In this paper we consider a new kind of surrogate model, a Bayesian ensemble of trees (Chipman, George, & McCulloch, 2010), with the specific goal of learning enough about the simulator that a particular feature of the simulator can be estimated. We focus on identifying the simulator's global minimum. Utilizing the Bayesian version of the expected improvement criterion (Jones, Schonlau, & Welch, 1998), we show that this ensemble is particularly effective when the simulator is ill-behaved, exhibiting nonstationarity or abrupt changes in the response. A number of illustrations of the approach are given, including a tidal power application. extcopyright 2012 Statistical Society of Canada.

About the journal
JournalData powered by TypesetCanadian Journal of Statistics
PublisherData powered by TypesetWiley
ISSN0319-5724
Open AccessNo