Thursday, September 24, 2009
04:30 PM in MATH 175
Professor Peter Z. G. Qian
Department of Statistics, University of Wisconsin-Madison

Nested Space-Filling Designs

Abstract

We introduce a new type of design, called nested space-filling design, for sequential integration and multi-fidelity computer modeling. Such designs are constructed by exploiting nested structures in permutations, orthogonal arrays and difference matrices. The constructed designs are also useful for solving stochastic optimization problems, including stochastic programs, the Monte Carlo EM algorithm and chance-constraint problems.

Refreshments will be served at 4:00 PM in HAAS 111.