Sequential design for computer experiments with a flexible Bayesian additive model

DOI10.1002/CJS.11156zbMATH Open1349.62366arXiv1203.1078OpenAlexW2114452512MaRDI QIDQ2856566FDOQ2856566

Authors: Hugh Chipman, Pritam Ranjan, Weiwei Wang 

Publication date: 29 October 2013

Published in: The Canadian Journal of Statistics (Search for Journal in Brave)

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 et al. 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 et al. 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.

Full work available at URL: https://arxiv.org/abs/1203.1078

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zbMATH Keywords

global optimizationexpected improvementadditive regression treesnonstationary simulatorstidal power model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Sequential statistical design (62L05) Applications of statistics to environmental and related topics (62P12)

Cites Work

• Efficient global optimization of expensive black-box functions
• BART: Bayesian additive regression trees
• The design and analysis of computer experiments.
• Bayesian treed Gaussian process models with an application to computer modeling
• Gaussian processes for machine learning.
• Cases for the nugget in modeling computer experiments
• Bayesian curve-fitting with free-knot splines
• An adaptive sampling scheme guided by BART -- with an application to predict processor performance

Cited In (14)

• Using adaptive multi-accurate function evaluations in a surrogate-assisted method for computer experiments
• Estimating percentiles in computer experiments: a comparison of sequential-adaptive designs and fixed designs
• A Sequential Design Approach for Calibrating Dynamic Computer Simulators
• Global fitting of the response surface via estimating multiple contours of a simulator
• Batch-sequential design and heteroskedastic surrogate modeling for delta smelt conservation
• Sequential design for response surface model fit in computer experiments using derivative information
• A Bayesian computer model analysis of robust Bayesian analyses
• A pseudo-marginal sequential Monte Carlo algorithm for random effects models in Bayesian sequential design
• Batch sequential designs for computer experiments
• Finding optimal points for expensive functions using adaptive RBF-based surrogate model via uncertainty quantification
• A fuzzy hybrid sequential design strategy for global surrogate modeling of high-dimensional computer experiments
• A novel hybrid sequential design strategy for global surrogate modeling of computer experiments
• Bayesian sequential design for copula models
• Using BART to Perform Pareto Optimization and Quantify its Uncertainties

Uses Software

• EGO
• BayesTree
• lhs
• BartPy

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