Statistical Science

Design and Analysis of Computer Experiments

Jerome Sacks, William J. Welch, Toby J. Mitchell, and Henry P. Wynn

Full-text: Open access

Abstract

Many scientific phenomena are now investigated by complex computer models or codes. A computer experiment is a number of runs of the code with various inputs. A feature of many computer experiments is that the output is deterministic--rerunning the code with the same inputs gives identical observations. Often, the codes are computationally expensive to run, and a common objective of an experiment is to fit a cheaper predictor of the output to the data. Our approach is to model the deterministic output as the realization of a stochastic process, thereby providing a statistical basis for designing experiments (choosing the inputs) for efficient prediction. With this model, estimates of uncertainty of predictions are also available. Recent work in this area is reviewed, a number of applications are discussed, and we demonstrate our methodology with an example.

Article information

Source
Statist. Sci., Volume 4, Number 4 (1989), 409-423.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.ss/1177012413

Digital Object Identifier
doi:10.1214/ss/1177012413

Mathematical Reviews number (MathSciNet)
MR1041765

Zentralblatt MATH identifier
0955.62619

JSTOR
links.jstor.org

Keywords
Experimental design computer-aided design kriging response surface spatial statistics

Citation

Sacks, Jerome; Welch, William J.; Mitchell, Toby J.; Wynn, Henry P. Design and Analysis of Computer Experiments. Statist. Sci. 4 (1989), no. 4, 409--423. doi:10.1214/ss/1177012413. https://projecteuclid.org/euclid.ss/1177012413


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See also

  • See Comment: Max D. Morris. [Design and Analysis of Computer Experiments]: Comment. Statist. Sci., Volume 4, Number 4 (1989), 423--425.
  • See Comment: Robert G. Easterling. [Design and Analysis of Computer Experiments]: Comment. Statist. Sci., Volume 4, Number 4 (1989), 425--427.
  • See Comment: Mark E. Johnson, Donald Ylvisaker. [Design and Analysis of Computer Experiments]: Comment. Statist. Sci., Volume 4, Number 4 (1989), 428--428.
  • See Comment: A. Owen, J. Koehler, S. Sharifzadeh. [Design and Analysis of Computer Experiments]: Comment. Statist. Sci., Volume 4, Number 4 (1989), 429--430.
  • See Comment: Anthony O'Hagan. [Design and Analysis of Computer Experiments]: Comment. Statist. Sci., Volume 4, Number 4 (1989), 430--432.
  • See Comment: Michael L. Stein. [Design and Analysis of Computer Experiments]: Comment. Statist. Sci., Volume 4, Number 4 (1989), 432--433.
  • See Comment: Jerome Sacks, William J. Welch, Toby J. Mitchell, Henry P. Wynn. [Design and Analysis of Computer Experiments]: Rejoinder. Statist. Sci., Volume 4, Number 4 (1989), 433--435.