Weighted space‐filling designs

Weighted space‐filling designs

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Article ID: iaor20135399
Volume: 7
Issue: 4
Start Page Number: 249
End Page Number: 263
Publication Date: Nov 2013
Journal: Journal of Simulation
Authors: ,
Keywords: experimental design, Monte Carlo method, space-filling curve
Abstract:

Many computer models or simulators have probabilistic dependencies between their input variables, which if not accounted for during design selection may result in a large numbers of simulator runs being required for analysis. We propose a method that incorporates known dependencies between input variables into design selection for simulators and demonstrate the benefits of this approach via a simulator for atmospheric dispersion. We quantify the benefit of the new techniques over standard space‐filling and Monte Carlo simulation. The proposed methods are adaptations of computer‐generated spread and coverage space‐filling designs, with ‘distance’ between two input points redefined to include a weight function. This weight function reflects any known multivariate dependencies between input variables and prior information on the design region. The methods can include quantitative and qualitative variables, and different types of prior information. Novel graphical methods, adapted from fraction of design space plots, are used to assess and compare the designs.

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