Screening, Predicting, and Computer Experiments

Abstract

Many scientific phenomena are now investigated by complex computer models or codes. Given the input values, the code produces one or more outputs via a complex mathematical model. Often the code is expensive to run, and it may be necessary to build a computationally cheaper predictor to enable, for example, optimization of the inputs. If there are many input factors, an initial step in building a predictor is identifying (screening) the active factors. We model the output of the computer code as the realization of a stochastic process. This model has a number of advantages. First, it provides a statistical basis, via the likelihood, for a stepwise algorithm to determine the important factors. Second, it is very flexible, allowing nonlinear and interaction effects to emerge without explicitly modeling such effects. Third, the same data are used for screening and building the predictor, so expensive runs are efficiently used. We illustrate the methodology with two examples, both having 20 input variables. I...