Department of Mathematics and Statistics

Department of Mathematics and Statistics
Department of Mathematics and Statistics

Joint Seminars in Statistics & Biostatistics


Tuesday, October 20th, 2020

Time: 1:00pm Place:

Speaker: Devon Lin (Queen’s University)

Title: Sequential designs for computer experiments with time series responses

Abstract: The recent accelerated growth in the computing power has generated popularization of experimentation with dynamic computer models in various physical and engineering applications. Despite the extensive statistical research in computer experiments, the bulk of the work had been on the theoretical and algorithmic innovations for computer models with scalar response. In this talk, we consider computer experiments with time series responses, called dynamic computer experiments, and focus on the prediction and inverse problem of such computer experiments. The sequential designs for addressing these problems are proposed. New expected improvement criteria are developed to choose follow-up points. The criteria use a proposed computationally efficient modeling and Bayesian inference approach to build emulators. In the inverse problem, we also propose a new criterion for extracting the optimal inverse solution from the final surrogate. Three simulated examples and the real-life two-delay blowfly (TDB computer simulator) have been used to demonstrate higher accuracy of the proposed approach as compared to popular existing techniques. (Joint work with Dr. Ru Zhang and Dr. Pritam Ranjan.)