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arXiv · 1908.05357

Sequential Computer Experimental Design for Estimating an Extreme Probability or Quantile

Hao Chen·William J. Welch
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Abstract

A computer code can simulate a system's propagation of variation from random inputs to output measures of quality. Our aim here is to estimate a critical output tail probability or quantile without a large Monte Carlo experiment. Instead, we build a statistical surrogate for the input-output relationship with a modest number of evaluations and then sequentially add further runs, guided by a criterion to improve the estimate. We compare two criteria in the literature. Moreover, we investigate two practical questions: how to design the initial code runs and how to model the input distribution. Hence, we close the gap between the theory of sequential design and its application.

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Hao Chen, William J. Welch. 2019-08-14. Sequential Computer Experimental Design for Estimating an Extreme Probability or Quantile. https://arxiv.org/abs/1908.05357

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