Surrogate-based feasibility analysis for black-box stochastic simulations with heteroscedastic noise

DOI10.1007/S10898-018-0615-4zbMath1405.90140OpenAlexW2791586656MaRDI QIDQ1668809

Zilong Wang, Marianthi Ierapetritou

Publication date: 29 August 2018

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10898-018-0615-4

zbMATH Keywords

stochastic simulationadaptive samplingstochastic Krigingfeasibility analysissurrogate modeling

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Nonconvex programming, global optimization (90C26)

Uses Software

• EGO

Cites Work

• Exploring or reducing noise? A global optimization algorithm in the presence of noise
• Kriging metamodeling in simulation: a review
• Efficient global optimization of expensive black-box functions
• Sequential design strategies for mean response surface metamodeling via stochastic kriging with adaptive exploration and exploitation
• Comparison of Kriging-based algorithms for simulation optimization with heterogeneous noise
• Global optimization of stochastic black-box systems via sequential kriging meta-models
• Stochastic Kriging for Simulation Metamodeling
• Statistics for Spatial Data
• Simulation optimization: a review of algorithms and applications
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