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hal-00537781, version 1

Data-driven Kriging models based on FANOVA-decomposition

Thomas Muehlenstaedt () 1, Olivier Roustant () 234, Laurent Carraro () 5, Sonja Kuhnt () 1

Preprint, Working Paper, Document sans référence, etc. (2010)

Résumé : 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 – École Nationale Supérieure des Mines - Saint-Étienne
  • 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 – École Nationale Supérieure des Mines - Saint-Étienne
  • 5 :  Laboratoire de Mathématiques de l'Université de Saint-Etienne (LAMUSE)
  • Université Jean Monnet - Saint-Etienne
  • Domaine : Mathématiques/Statistiques
    Statistiques/Théorie
 
  • hal-00537781, version 1
  • oai:hal.archives-ouvertes.fr:hal-00537781
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  • Soumis le : Vendredi 19 Novembre 2010, 12:16:17
  • Dernière modification le : Lundi 21 Mai 2012, 14:20:36