JSM 2005 - Toronto

Abstract #303575

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Legend: = Applied Session, = Theme Session, = Presenter
Activity Number: 108
Type: Contributed
Date/Time: Monday, August 8, 2005 : 8:30 AM to 10:20 AM
Sponsor: Section on Statistical Computing
Abstract - #303575
Title: Adaptive GaSP Integration
Author(s): Karuri Stella*+ and William J. Welch
Companies: University of Waterloo and University of British Columbia
Address: 200 University Avenue West, Waterloo, ON, V5T 1T1, Canada
Keywords: Integration ; adaptive ; sampling
Abstract:

This integrand evaluated at some value is assumed to be a realization of a Gaussian random variable. The Kriging predictor can be used as an estimator of the integral. We develop the Adaptive Subregion Sampling Integration Algorithm (ASSIA) to improve estimation. The algorithm recursively partitions the integration domain into subregions where the integrand is more or less uniform. GaSP integration is then applied within the subregions. As a result of this adaptive partitioning of the integration domain, the adaptive algorithm varies sampling to suit the variation of the integrand. We demonstrate that this makes it a practical tool for sampling and integration.

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