1,781 research outputs found
Sliced rotated sphere packing designs
Space-filling designs are popular choices for computer experiments. A sliced
design is a design that can be partitioned into several subdesigns. We propose
a new type of sliced space-filling design called sliced rotated sphere packing
designs. Their full designs and subdesigns are rotated sphere packing designs.
They are constructed by rescaling, rotating, translating and extracting the
points from a sliced lattice. We provide two fast algorithms to generate such
designs. Furthermore, we propose a strategy to use sliced rotated sphere
packing designs adaptively. Under this strategy, initial runs are uniformly
distributed in the design space, follow-up runs are added by incorporating
information gained from initial runs, and the combined design is space-filling
for any local region. Examples are given to illustrate its potential
application
Rotated sphere packing designs
We propose a new class of space-filling designs called rotated sphere packing
designs for computer experiments. The approach starts from the asymptotically
optimal positioning of identical balls that covers the unit cube. Properly
scaled, rotated, translated and extracted, such designs are excellent in
maximin distance criterion, low in discrepancy, good in projective uniformity
and thus useful in both prediction and numerical integration purposes. We
provide a fast algorithm to construct such designs for any numbers of
dimensions and points with R codes available online. Theoretical and numerical
results are also provided
Validating Sample Average Approximation Solutions with Negatively Dependent Batches
Sample-average approximations (SAA) are a practical means of finding
approximate solutions of stochastic programming problems involving an extremely
large (or infinite) number of scenarios. SAA can also be used to find estimates
of a lower bound on the optimal objective value of the true problem which, when
coupled with an upper bound, provides confidence intervals for the true optimal
objective value and valuable information about the quality of the approximate
solutions. Specifically, the lower bound can be estimated by solving multiple
SAA problems (each obtained using a particular sampling method) and averaging
the obtained objective values. State-of-the-art methods for lower-bound
estimation generate batches of scenarios for the SAA problems independently. In
this paper, we describe sampling methods that produce negatively dependent
batches, thus reducing the variance of the sample-averaged lower bound
estimator and increasing its usefulness in defining a confidence interval for
the optimal objective value. We provide conditions under which the new sampling
methods can reduce the variance of the lower bound estimator, and present
computational results to verify that our scheme can reduce the variance
significantly, by comparison with the traditional Latin hypercube approach
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