Robert B. Gramacy and Herbert K. H. Lee
12/31/2006 09:00 AM
Applied Mathematics & Statistics
Computer experiments are often performed to allow modeling of a response surface of a physical experiment that can be too costly or difficult to run except using a simulator. Running the experiment over a dense grid can be prohibitively expensive, yet running over a sparse design chosen in advance can result in obtaining insufficient information in parts of the space, particularly when the surface is nonstationary. We propose an approach which automatically explores the space while simultaneously fitting the response surface, using predictive uncertainty to guide subsequent experimental runs. The newly developed Bayesian treed Gaussian process is used as the surrogate model, and a fully Bayesian approach allows explicit nonstationary measures of uncertainty. Our adaptive sequential design framework has been developed to cope with an asynchronous, random, agent-based supercomputing environment. We take a hybrid approach which melds optimal strategies from the statistics literature with flexible strategies from the active learning literature. The merits of this approach are borne out in several examples, including the motivating example of a computational fluid dynamics simulation of rocket booster.
