Integration of Normative Decision-Making and Batch Sampling for Global Metamodeling

Abstract

The cost of adaptive sampling for global metamodeling depends on the total number of costly function evaluations and to which degree these evaluations are performed in parallel. Conventionally, samples are taken through a greedy sampling strategy that is optimal for either a single sample or a handful of samples. The limitation of such an approach is that they compromise optimality when more samples are taken. In this paper, we propose a thrifty adaptive batch sampling (TABS) approach that maximizes a multistage reward function to find an optimal sampling policy containing the total number of sampling stages, the number of samples per stage, and the spatial location of each sample. Consequently, the first batch identified by TABS is optimal with respect to all potential future samples, the available resources, and is consistent with a modeler’s preference and risk attitude. Moreover, we propose two heuristic-based strategies that reduce numerical complexity with a minimal reduction in optimality. Through numerical examples, we show that TABS outperforms or is comparable with greedy sampling strategies. In short, TABS provides modelers with a flexible adaptive sampling tool for global metamodeling that effectively reduces sampling costs while maintaining prediction accuracy.