Kriging-based sequential design strategies using fast cross-validation techniques with extensions to multi-fidelity computer codes

Loic Le Gratiet (1, 2) , Claire Cannamela (2)

1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires
2 GdR MASCOT-NUM - Méthodes d'Analyse Stochastique des Codes et Traitements Numériques

Kriging-based surrogate models have become very popular during the last decades to approximate a computer code output from few simulations. In practical applications, it is very common to sequentially add new simulations to obtain more accurate approximations. We propose in this paper a method of kriging-based sequential design which combines both the error evaluation providing by the kriging model and the observed errors of a Leave-One-Out cross-validation procedure. This method is proposed in two versions, the first one selects points one at-a-time. The second one allows us to parallelize the simulations and to add several design points at-a-time. Then, we extend these strategies to multi-fidelity co-kriging models which allow us to surrogate a complex code using fast approximations of it. The main advantage of these extensions is that it not only provides the new locations where to perform simulations but also which versions of code have to be simulated (between the complex one or one of its fast approximations). A real multi-fidelity application is used to illustrate the efficiency of the proposed approaches. In this example, the accurate code is a two-dimensional finite element model and the less accurate one is a one-dimensional approximation of the system.

Mots clés: kriging; co-kriging; sequential design; cross-validation; resource allocations; multi-fidelity codes

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Loic Le Gratiet, Claire Cannamela. Kriging-based sequential design strategies using fast cross-validation techniques with extensions to multi-fidelity computer codes. 2012. ⟨hal-00744432v2⟩