Fixed-budget optimal designs for multi-fidelity computer experiments
Fuente:
arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2024
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| Acceso en línea: | |
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| _version_ | 1866929367839408128 |
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| author | Chen, Gecheng Tuo, Rui |
| author_facet | Chen, Gecheng Tuo, Rui |
| contents | This work focuses on the design of experiments of multi-fidelity computer experiments. We consider the autoregressive Gaussian process model proposed by Kennedy and O'Hagan (2000) and the optimal nested design that maximizes the prediction accuracy subject to a budget constraint. An approximate solution is identified through the idea of multi-level approximation and recent error bounds of Gaussian process regression. The proposed (approximately) optimal designs admit a simple analytical form. We prove that, to achieve the same prediction accuracy, the proposed optimal multi-fidelity design requires much lower computational cost than any single-fidelity design in the asymptotic sense. Numerical studies confirm this theoretical assertion. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2405_20644 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Fixed-budget optimal designs for multi-fidelity computer experiments Chen, Gecheng Tuo, Rui Methodology This work focuses on the design of experiments of multi-fidelity computer experiments. We consider the autoregressive Gaussian process model proposed by Kennedy and O'Hagan (2000) and the optimal nested design that maximizes the prediction accuracy subject to a budget constraint. An approximate solution is identified through the idea of multi-level approximation and recent error bounds of Gaussian process regression. The proposed (approximately) optimal designs admit a simple analytical form. We prove that, to achieve the same prediction accuracy, the proposed optimal multi-fidelity design requires much lower computational cost than any single-fidelity design in the asymptotic sense. Numerical studies confirm this theoretical assertion. |
| title | Fixed-budget optimal designs for multi-fidelity computer experiments |
| topic | Methodology |
| url | https://arxiv.org/abs/2405.20644 |