Adaptive Design of Experiments for Conservative Estimation of Excursion Sets (SIAM UQ 2016)
Résumé
We consider a Gaussian process model trained on few evaluations of an expensive to evaluate deterministic function and we study the problem of estimating a fixed excursion set of this function. We focus on conservative estimates of the excursion set and we present a method based on Vorob'ev quantiles, that sequentially selects new evaluations of the function in order to reduce the uncertainty on the estimate. The method is then applied to a test case.