A methodology for fitting and validating metamodels in simulation reuves dating sim

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Classic design of experiments (DOE) is summarized, including standard measures of fit such as the R-square coefficient and cross-validation measures.

However, these techniques, requiring a large number of model evaluations, are often unacceptable for time expensive computer c ..." Global sensitivity analysis of complex numerical models can be performed by calculating variance-based importance measures of the input variables, such as the Sobol indices.However, these techniques, requiring a large number of model evaluations, are often unacceptable for time expensive computer codes.A well known and widely used decision consists in replacing the computer code by a metamodel, predicting the model responses with a negligible computation time and rending straightforward the estimation of Sobol indices.In this paper, we discuss about the Gaussian process model which gives analytical expressions of Sobol indices.Two approaches are studied to compute the Sobol indices: the first based on the predictor of the Gaussian process model and the second based on the global stochastic process model.

Sargent to visit Tilburg University during one month for research on the topic of this paper.

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