2 research outputs found
Optimization-based Calibration of Simulation Input Models
Studies on simulation input uncertainty often built on the availability of
input data. In this paper, we investigate an inverse problem where, given only
the availability of output data, we nonparametrically calibrate the input
models and other related performance measures of interest. We propose an
optimization-based framework to compute statistically valid bounds on input
quantities. The framework utilizes constraints that connect the statistical
information of the real-world outputs with the input-output relation via a
simulable map. We analyze the statistical guarantees of this approach from the
view of data-driven robust optimization, and show how the guarantees relate to
the function complexity of the constraints arising in our framework. We
investigate an iterative procedure based on a stochastic quadratic penalty
method to approximately solve the resulting optimization. We conduct numerical
experiments to demonstrate our performance in bounding the input models and
related quantities
A Distributionally Robust Optimization Approach to the NASA Langley Uncertainty Quantification Challenge
We study a methodology to tackle the NASA Langley Uncertainty Quantification
Challenge problem, based on an integration of robust optimization, more
specifically a recent line of research known as distributionally robust
optimization, and importance sampling in Monte Carlo simulation. The main
computation machinery in this integrated methodology boils down to solving
sampled linear programs. We will illustrate both our numerical performances and
theoretical statistical guarantees obtained via connections to nonparametric
hypothesis testing.Comment: Published in the Proceedings of the 30th European Safety and
Reliability Conference and the 15th Probabilistic Safety Assessment and
Management Conferenc