Adaptive Designs of Experiments for Accurate Approximation of a Target Region

Abstract : This paper addresses the issue of designing experiments for a metamodel that needs to be accurate for a certain level of the response value. Such situation is encountered in particular in constrained optimization and reliability analysis. Here, we propose an iterative strategy to build designs of experiments, which is based on an explicit trade-off between reduction of global uncertainty and exploration of the regions of interest. The method is illustrated on several test-problems. It is shown that a substantial reduction of error can be achieved in the crucial regions, with reasonable loss on the global accuracy. The method is finally applied to a reliability analysis problem; it is found that the adaptive designs significantly outperform classical space-filling designs.
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Victor Picheny, David Ginsbourger, Olivier Roustant, Raphael Haftka, Nam-Ho Kim. Adaptive Designs of Experiments for Accurate Approximation of a Target Region. 2010. ⟨hal-00319385v2⟩

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