Contour estimation via two fidelity computer simulators under limited resources

Ray-Bing Chen, Ying Chao Hung, Weichung Wang, Sung Wei Yen

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

Abstract

The utilization of multiple fidelity simulators for the design and analysis of computer experiments has received increased attention in recent years. In this paper, we study the contour estimation problem for complex systems by considering two fidelity simulators. Our goal is to design a methodology of choosing the best suited simulator and input location for each simulation trial so that the overall estimation of the desired contour can be as good as possible under limited simulation resources. The proposed methodology is sequential and based on the construction of Gaussian process surrogate for the output measure of interest. We illustrate the methodology on a canonical queueing system and evaluate its efficiency via a simulation study.

Original languageEnglish
Pages (from-to)1813-1834
Number of pages22
JournalComputational Statistics
Volume28
Issue number4
DOIs
Publication statusPublished - 2013 Aug 1

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Computational Mathematics

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