An adaptive sampling approach for Kriging metamodeling by maximizing expected prediction error

Haitao Liu, Jianfei Cai, Yew-Soon Ong

Research output: Contribution to journalArticleResearchpeer-review

34 Citations (Scopus)

Abstract

As a well-known approximation method, Kriging is widely used in process engineering design and optimization for saving computational budget. The Kriging model for a target function is fitted to a set of sample points, the responses of which are expensive to obtain in practice and the sample distribution of which has a great impact on the model prediction quality. Therefore, a main task in adaptive sampling for Kriging metamodeling is to gather informative points in order to build an accurate model with as few points as possible. To this end, we propose an adaptive sampling approach under the bias-variance decomposition framework. This novel sampling approach sequentially selects new points by maximizing an expected prediction error criterion that considers both the bias and variance information. Particularly, it presents an adaptive balance strategy to dynamically balance the local exploitation and global exploration via the error information from the previous iteration. Four benchmark cases and four engineering cases from low to high dimensions are used to assess the performance of the proposed approach. Numerical results reveal that this adaptive sampling approach is very promising for constructing accurate Kriging models for problems with diverse characteristics.

Original languageEnglish
Pages (from-to)171-182
Number of pages12
JournalComputers and Chemical Engineering
Volume106
DOIs
Publication statusPublished - 2 Nov 2017
Externally publishedYes

Keywords

  • Adaptive balance strategy
  • Adaptive sampling
  • Expected prediction error
  • Kriging metamodeling

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