Contour estimation via two fidelity computer simulators under limited resources

Authors:
Ray-Bing Chen;Ying-Chao Hung;Weichung Wang;Sung-Wei Yen
Affiliations:
Department of Statistics, National Cheng Kung University, Tainan, Taiwan 70101;Department of Statistics, National Chengchi University, Taipei, Taiwan 11605;Department of Mathematics, National Taiwan University, Taipei, Taiwan 10617;Department of Mathematics, National Taiwan University, Taipei, Taiwan 10617
Venue:
Computational Statistics
Year:
2013

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Abstract

The utilization of multiple fidelity simulators for the design and analysis of computer experiments has received increased attention in recent years. In this paper, we study the contour estimation problem for complex systems by considering two fidelity simulators. Our goal is to design a methodology of choosing the best suited simulator and input location for each simulation trial so that the overall estimation of the desired contour can be as good as possible under limited simulation resources. The proposed methodology is sequential and based on the construction of Gaussian process surrogate for the output measure of interest. We illustrate the methodology on a canonical queueing system and evaluate its efficiency via a simulation study.