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SUMMARY:Replication or exploration? Sequential design for stochastic simul
 ation experiments - Robert Gramacy (Virginia Polytechnic Institute and Sta
 te University)
DTSTART:20180209T133000Z
DTEND:20180209T143000Z
UID:TALK100213@talks.cam.ac.uk
CONTACT:INI IT
DESCRIPTION:We investigate the merits of replication\, and provide methods
  that search for optimal designs (including replicates)\, in the context o
 f noisy computer simulation experiments. We first show that replication of
 fers the potential to be beneficial from both design and computational per
 spectives\, in the context of Gaussian process surrogate modeling. We then
  develop a lookahead based sequential design scheme that can determine if 
 a new run should be at an existing input location (i.e.\, replicate) or at
  a new one (explore). When paired with a newly developed heteroskedastic G
 aussian process model\, our dynamic design scheme facilitates learning of 
 signal and noise relationships which can vary throughout the input space. 
 We show that it does so efficiently\, on both computational and statistica
 l grounds. In addition to illustrative synthetic examples\, we demonstrate
  performance on two challenging real-data simulation experiments\, from in
 ventory management and epidemiology.
LOCATION:Seminar Room 1\, Newton Institute
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