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Results for “Stepwise uncertainty reduction”

Search indexed NASA NTRS and DOE OSTI research on propulsion, heat transfer, battery materials and energy systems. Follow report and document links to the original sources.

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All sources NASA NTRS DOE OSTI

DOE OSTI2021

Evaluating Gaussian process metamodels and sequential designs for noisy level set estimation

Abstract We consider the problem of learning the level set for which a noisy black-box function exceeds a given threshold. To efficiently reconstruct the level set, we investigate Gaussian process (GP) metamodels. Our focus is on strongly stochastic simulators, in particular with heavy-tailed simulation noise and low signal-to-noise ratio. To guard against noise misspecification, we assess the performance of three variants: (i) GPs with Student- t observations; (ii) Student- t processes (TPs); and (iii) classification GPs modeling the sign of the response. In conjunction with these metamodels, we analyze several acquisition functions for guiding the sequential experimental designs, extending existing stepwise uncertainty reduction criteria to the stochastic contour-finding context. This also motivates our development of (approximate) updating formulas to efficiently compute such acquisition functions. Our schemes are benchmarked by using a variety of synthetic experiments in 1–6 dimensions. We also consider an application of level set estimation for determining the optimal exercise policy of Bermudan options in finance.

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2020

The Kalai-Smorodinsky solution for many-objective Bayesian optimization

An ongoing aim of research in multiobjective Bayesian optimization is to extend its applicability to a large number of objectives. While coping with a limited budget of evaluations, recovering the set of optimal compromise solutions generally requires numerous observations and is less interpretable since this set tends to grow larger with the number of objectives. We thus propose to focus on a specific solution originating from game theory, the Kalai-Smorodinsky solution, which possesses attractive properties. In particular, it ensures equal marginal gains over all objectives. We further make it insensitive to a monotonic transformation of the objectives by considering the objectives in the copula space. A novel tailored algorithm is proposed to search for the solution, in the form of a Bayesian optimization algorithm: sequential sampling decisions are made based on acquisition functions that derive from an instrumental Gaussian process prior. Our approach is tested on four problems with respectively four, six, eight, and nine objectives. The method is available in the R package GPGame available on CRAN at https://cran.r-project.org/package=GPGame.

Game theory↗

NASA NTRS2007

Stepwise Regression Analysis of MDOE Balance Calibration Data Acquired at DNW

This paper reports a comparison of two experiment design methods applied in the calibration of a strain-gage balance. One features a 734-point test matrix in which loads are varied systematically according to a method commonly applied in aerospace research and known in the literature of experiment design as One Factor At a Time (OFAT) testing. Two variations of an alternative experiment design were also executed on the same balance, each with different features of an MDOE experiment design. The Modern Design of Experiments (MDOE) is an integrated process of experiment design, execution, and analysis applied at NASA's Langley Research Center to achieve significant reductions in cycle time, direct operating cost, and experimental uncertainty in aerospace research generally and in balance calibration experiments specifically. Personnel in the Instrumentation and Controls Department of the German Dutch Wind Tunnels (DNW) have applied MDOE methods to evaluate them in the calibration of a balance using an automated calibration machine. The data have been sent to Langley Research Center for analysis and comparison. This paper reports key findings from this analysis. The chief result is that a 100-point calibration exploiting MDOE principles delivered quality comparable to a 700+ point OFAT calibration with significantly reduced cycle time and attendant savings in direct and indirect costs. While the DNW test matrices implemented key MDOE principles and produced excellent results, additional MDOE concepts implemented in balance calibrations at Langley Research Center are also identified and described.

DeLoach, RIchard↗