hal-00537781, version 1
Data-driven Kriging models based on FANOVA-decomposition
Thomas Muehlenstaedt
1Olivier Roustant
2, 3, 4Laurent Carraro
5Sonja Kuhnt
1
Preprint, Working Paper, Document sans référence, etc. (2010)
Abstract: Kriging models have been widely used in computer experiments for the analysis of time-consuming computer codes. Based on kernels, they are flexible and can be tuned to many situations. In this paper, we construct kernels that reproduce the computer code complexity by mimicking its interaction structure. While the standard tensor-product kernel implicitly assumes that all interactions are active, the new kernels are suited for a general interaction structure, and will take advantage of the absence of interaction between some inputs. The methodology is twofold. First, the interaction structure is estimated from the data, using a first initial standard Kriging model, and represented by a so-called FANOVA graph. New FANOVA-based sensitivity indices are introduced to detect active interactions. Then this graph is used to derive the form of the kernel, and the corresponding Kriging model is estimated by maximum likelihood. The performance of the overall procedure is illustrated by several 3-dimensional and 6-dimensional simulated and real examples. A substantial improvement is observed when the computer code has a relatively high level of complexity
- 1: TU Dortmund University
- TU Dortmund University
- 2: Equipe : Calcul de Risque, Optimisation et Calage par Utilisation de Simulateurs (CROCUS-ENSMSE)
- UR LSTI – Ecole Nationale Supérieure des Mines de Saint-Etienne
- 3: GdR MASCOT-NUM ((Méthodes d'Analyse Stochastique des Codes et Traitements Numériques))
- CNRS : GDR3179
- 4: Département Décision en Entreprise : Modélisation, Optimisation (DEMO-ENSMSE)
- Institut Henri Fayol – Ecole Nationale Supérieure des Mines de Saint-Etienne
- 5: Laboratoire de Mathématiques de l'Université de Saint-Etienne (LAMUSE)
- Université Jean Monnet - Saint-Etienne
- Domain : Mathematics/Statistics
Statistics/Statistics Theory
- hal-00537781, version 1
- http://hal.archives-ouvertes.fr/hal-00537781
- oai:hal.archives-ouvertes.fr:hal-00537781
- From: Olivier Roustant
- Submitted on: Friday, 19 November 2010 12:16:17
- Updated on: Monday, 21 May 2012 14:20:36






Associated documents
Export