1EDF R&D, MRI, Chatou, France 2Université Paul Sabatier, Toulouse, France 3CEA, DEN, DER, F-13108 Saint-Paul-Lez-Durance, France; 4Université Joseph Fourier, Grenoble, France 5IFPEN, DTIMA, Rueil-Malmaison, France;
ESAIM. Proceedings, Tome 48 (2015), pp. 116-155
Cet article a éte moissonné depuis la source EDP Sciences
Numerical simulation codes are very common tools to study complex phenomena, but they are often time-consuming and considered as black boxes. For some statistical studies (e.g. asset management, sensitivity analysis) or optimization problems (e.g. tuning of a molecular model), a high number of runs of such codes is needed. Therefore it is more convenient to build a fast-running approximation – or metamodel – of this code based on a design of experiments. The topic of this paper is the definition of metamodels for stochastic codes. Contrary to deterministic codes, stochastic codes can give different results when they are called several times with the same input. In this paper, two approaches are proposed to build a metamodel of the probability density function of a stochastic code output. The first one is based on kernel regression and the second one consists in decomposing the output density on a basis of well-chosen probability density functions, with a metamodel linking the coefficients and the input parameters. For the second approach, two types of decomposition are proposed, but no metamodel has been designed for the coefficients yet. This is a topic of future research. These methods are applied to two analytical models and three industrial cases.
Vincent Moutoussamy
1
,
2
;
Simon Nanty
3
,
4
;
Benoît Pauwels
2
,
5
1
EDF R&D, MRI, Chatou, France
2
Université Paul Sabatier, Toulouse, France
3
CEA, DEN, DER, F-13108 Saint-Paul-Lez-Durance, France;
4
Université Joseph Fourier, Grenoble, France
5
IFPEN, DTIMA, Rueil-Malmaison, France;
@article{EP_2015_48_a5,
author = {Vincent Moutoussamy and Simon Nanty and Beno{\^\i}t Pauwels},
title = {Emulators for stochastic simulation codes},
journal = {ESAIM. Proceedings},
pages = {116--155},
year = {2015},
volume = {48},
doi = {10.1051/proc/201448005},
language = {en},
url = {http://geodesic.mathdoc.fr/articles/10.1051/proc/201448005/}
}
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AU - Simon Nanty
AU - Benoît Pauwels
TI - Emulators for stochastic simulation codes
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%A Benoît Pauwels
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%J ESAIM. Proceedings
%D 2015
%P 116-155
%V 48
%U http://geodesic.mathdoc.fr/articles/10.1051/proc/201448005/
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%F EP_2015_48_a5
Vincent Moutoussamy; Simon Nanty; Benoît Pauwels. Emulators for stochastic simulation codes. ESAIM. Proceedings, Tome 48 (2015), pp. 116-155. doi: 10.1051/proc/201448005
