A metamodeling approach for approximation of multivariate, stochastic and dynamic simulations

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Hernandez Moreno, Andres Felipe
Grover, Martha A.
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This thesis describes the implementation of metamodeling approaches as a solution to approximate multivariate, stochastic and dynamic simulations. In the area of statistics, metamodeling (or ``model of a model") refers to the scenario where an empirical model is build based on simulated data. In this thesis, this idea is exploited by using pre-recorded dynamic simulations as a source of simulated dynamic data. Based on this simulated dynamic data, an empirical model is trained to map the dynamic evolution of the system from the current discrete time step, to the next discrete time step. Therefore, it is possible to approximate the dynamics of the complex dynamic simulation, by iteratively applying the trained empirical model. The rationale in creating such approximate dynamic representation is that the empirical models / metamodels are much more affordable to compute than the original dynamic simulation, while having an acceptable prediction error. The successful implementation of metamodeling approaches, as approximations of complex dynamic simulations, requires understanding of the propagation of error during the iterative process. Prediction errors made by the empirical model at earlier times of the iterative process propagate into future predictions of the model. The propagation of error means that the trained empirical model will deviate from the expensive dynamic simulation because of its own errors. Based on this idea, Gaussian process model is chosen as the metamodeling approach for the approximation of expensive dynamic simulations in this thesis. This empirical model was selected not only for its flexibility and error estimation properties, but also because it can illustrate relevant issues to be considered if other metamodeling approaches were used for this purpose.
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