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

DOI10.1007/S10898-018-0615-4zbMATH Open1405.90140OpenAlexW2791586656MaRDI QIDQ1668809FDOQ1668809

Authors: 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

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zbMATH Keywords

adaptive samplingstochastic simulationstochastic Krigingfeasibility analysissurrogate modeling

Mathematics Subject Classification ID

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

Cites Work

• Efficient global optimization of expensive black-box functions
• Stochastic kriging for simulation metamodeling
• Statistics for spatial data
• Title not available (Why is that?)
• Kriging metamodeling in simulation: a review
• Global optimization of stochastic black-box systems via sequential kriging meta-models
• Exploring or reducing noise? A global optimization algorithm in the presence of noise
• Title not available (Why is that?)
• 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

Uses Software

• EGO

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