An Adaptive Bayesian Sequential Sampling Approach for Global Metamodeling

Abstract

Computer simulations have been increasingly used to study physical problems in various fields. To relieve computational budgets, the cheaptorun metamodels, constructed from finite experiment points in the design space using the design of computer experiments (DOE), are employed to replace the costly simulation models. A key issue related to DOE is designing sequential computer experiments to achieve an accurate metamodel with as few points as possible. This article investigates the performance of current Bayesian sampling approaches and proposes an adaptive maximum entropy (AME) approach. In the proposed approach, the leaveoneout (LOO) crossvalidation error estimates the error information in an easy way, the local spacefilling exploration strategy avoids the clustering problem, and the search pattern from global to local improves the sampling efficiency. A comparison study of six examples with different types of initial points demonstrated that the AME approach is very promising for global metamodeling.