SDS Seminar Series: Robert Gramacy "Replication or Exploration? Sequential Design for Stochastic Simulation Experiments"

The Fall 2019 SDS Seminar Series concludes with Professor Robert Gramacy (Department of Statistics, Virginia Tech).

 

Friday, November 15th, 2019

2:00 p.m. - 3:00 p.m.

CBA 4.328

 

Title: Replication or Exploration? Sequential Design for Stochastic Simulation Experiments

Abstract: We investigate the merits of replication, and provide methods that search for optimal designs (including replicates), in the context of noisy computer simulation experiments. We first show that replication offers the potential to be beneficial from both design and computational perspectives, in the context of Gaussian process surrogate modeling. We then develop a lookahead based sequential design scheme that can determine if a new run should be at an existing input location (i.e., replicate) or at a new one (explore). When paired with a newly developed heteroskedastic Gaussian process model, our dynamic design scheme facilitates learning of signal and noise relationships which can vary throughout the input space. We show that it does so efficiently, on both computational and statistical grounds. In addition to illustrative synthetic examples, we demonstrate performance on two challenging real-data simulation experiments, from inventory management and epidemiology.

 

Website: https://bobby.gramacy.com/

 

 

 

If you would like to sign up for a :30 minute meeting with Dr. Gramacy, please email: stat.admin@austin.utexas.edu

The deadline to sign up is 4 p.m. on Wednesday. A full list of our speakers this semester can be viewed here: Fall 2019 Seminar Series

 

 

Department of Statistics and Data Sciences | The University of Texas at Austin

2317 Speedway, Stop D9800 | Austin, TX | stat.utexas.edu

Friday, November 15, 2019 at 2:00pm to 12:00am

McCombs School of Business (CBA), 4.328
2110 SPEEDWAY , Austin, Texas 78705

Event Type

Academics

Departments

College of Natural Sciences

Target Audience

General Public, Students

Cost

free

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