Design and Analysis of Computer Experiments

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Journal Article: Design and Analysis of Computer Experiments

Many scientific phenomena are now investigated by complex computer models or codes. A computer experiment is a number of runs of the code with various inputs. A feature of many computer experiments is that the output is deterministic--rerunning the code with the same inputs gives identical observations. Often, the codes are computationally expensive to run, and a common objective of an experiment is to fit a cheaper predictor of the output to the data. Our approach is to model the deterministic output as the realization of a stochastic process, thereby providing a statistical basis for designing experiments (choosing the inputs) for efficient prediction. With this model, estimates of uncertainty of predictions are also available. Recent work in this area is reviewed, a number of applications are discussed, and we demonstrate our methodology with an example.

Jerome Sacks, William Welch, Toby Mitchell and Henry Wynn

Published Journal 
Statistical Science, 1989

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Jerome Sacks,William Welch,Toby Mitchell,Henry Wynn. 1989. Design and Analysis of Computer Experiments. Statistical Science. .