Heteroscedastic metamodeling has gained popularity as an effective tool for analyzing and optimizing complex stochastic systems. A heteroscedastic metamodel provides an accurate approximation of the input-output relationship implied by a stochastic simulation experiment whose output is subject to input-dependent noise variance. Several challenges remain unsolved in this field. First, in-depth investigations into the consistency of heteroscedastic metamodeling techniques, particularly from the sequential prediction perspective, are lacking. Second, sequential heteroscedastic metamodel-based level-set estimation (LSE) methods are scarce. Third, the increasingly high computational cost required by heteroscedastic Gaussian process-based LSE methods in the sequential sampling setting is a concern. Additionally, when constructing a valid uniform bound for a heteroscedastic metamodel, the impact of noise variance estimation is not adequately addressed. This dissertation aims to tackle these challenges and provide promising solutions. First, we investigate the information consistency of a widely used heteroscedastic metamodeling technique, stochastic kriging (SK). Second, we propose SK-based LSE methods leveraging novel uniform bounds for input-point classification. Moreover, we incorporate the Nystrom approximation and a principled budget allocation scheme to improve the computational efficiency of SK-based LSE methods. Lastly, we investigate empirical uniform bounds that take into account the impact of noise variance estimation, ensuring an adequate coverage capability. / Doctor of Philosophy / In real-world engineering problems, understanding and optimizing complex systems can be challenging and prohibitively expensive. Computer simulation is a valuable tool for analyzing and predicting system behaviors, allowing engineers to explore different scenarios without relying on costly physical prototypes. However, the increasing complexity of simulation models leads to a higher computational burden. Metamodeling techniques have emerged to address this issue by accurately approximating the system performance response surface based on limited simulation experiment data to enable real-time decision-making. Heteroscedastic metamodeling goes further by considering varying noise levels inherent in simulation outputs, resulting in more robust and accurate predictions. Among various techniques, stochastic kriging (SK) stands out by striking a good balance between computational efficiency and statistical accuracy. Despite extensive research on SK, challenges persist in its application and methodology. These include little understanding of SK's consistency properties, an absence of sequential SK-based algorithms for level-set estimation (LSE) under heteroscedasticity, and the increasingly low computational efficiency of SK-based LSE methods in implementation. Furthermore, a precise construction of uniform bounds for the SK predictor is also missing. This dissertation aims at addressing these aforementioned challenges. First, the information consistency of SK from a prediction perspective is investigated. Then, sequential SK-based procedures for LSE in stochastic simulation, incorporating novel uniform bounds for accurate input-point classification, are proposed. Furthermore, a popular approximation technique is incorporated to enhance the computational efficiency of the SK-based LSE methods. Lastly, empirical uniform bounds are investigated considering the impact of noise variance estimation.
| Identifer | oai:union.ndltd.org:VTETD/oai:vtechworks.lib.vt.edu:10919/116212 |
| Date | 05 September 2023 |
| Creators | Zhang, Yutong |
| Contributors | Industrial and Systems Engineering, Chen, Xi, Yue, Xiaowei, Taaffe, Michael R., Wan, Hong |
| Publisher | Virginia Tech |
| Source Sets | Virginia Tech Theses and Dissertation |
| Language | English |
| Detected Language | English |
| Type | Dissertation |
| Format | ETD, application/pdf, application/pdf |
| Rights | In Copyright, http://rightsstatements.org/vocab/InC/1.0/ |
Page generated in 0.0024 seconds