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Abstract Details
Activity Number:
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511
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Type:
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Contributed
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Date/Time:
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Wednesday, August 3, 2011 : 10:30 AM to 12:20 PM
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Sponsor:
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Section on Statistical Computing
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Abstract - #303395 |
Title:
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Validation of the Twin-Point-Design Concept in the Design of Computer Experiments
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Author(s):
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Selden Crary*+ and Rachel Johnson
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Companies:
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Crary Group, Inc. and Naval Postgraduate School
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Address:
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535 Everett Ave. Apt. 410, Palo Alto, CA, 94301,
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Keywords:
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design of computer experiments ;
IMSE ;
gaussian processes ;
twin-points ;
essential discontinuity ;
rational function
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Abstract:
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We use symbolic analysis to circumvent the notorious ill-conditioning of the covariance matrix V used for computing the integrated mean squared error (IMSE) in gaussian-processes design of experiments. The steps are as follows: (1) expand V in powers of the Cartesian components deltai, i=1 to D, of the separation between the pair of proximal design points x1 and x2; (2) invert the key matrix in hybrid-numeric-symbolic form and expand the inverse in powers of the deltai; (3) compute IMSE as a rational function of power laws in the deltai; and (4) take the limit as the deltai go to zero. The potentially problematic terms of the inverse cancel identically. This method allows the computation of IMSE for designs with a pair of proximal points, without requiring extended-precision arithmetic. The method validated twin-point designs described in the engineering literature using extended-precisi
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