Sequential design of experiment on a stochastic multi-fidelity simulator to estimate a probability of exceeding a threshold

Rémi Stroh (1) , Julien Bect (2) , Emmanuel Vazquez (2) , Séverine Demeyer (1) , Nicolas Fischer (1)

1 LNE - Laboratoire National de Métrologie et d'Essais [Trappes]
2 L2S - Laboratoire des signaux et systèmes

We propose a method for the sequential design of multi-fidelity computer experiments, in order to estimate a probability of exceeding a threshold. The methodology is illustrated on a fire safety case study, where the goal is to assess the conformity of a building.

Domaines: Méthodologie [stat.ME]; Applications [stat.AP]

Rémi Stroh, Julien Bect, Emmanuel Vazquez, Séverine Demeyer, Nicolas Fischer. Sequential design of experiment on a stochastic multi-fidelity simulator to estimate a probability of exceeding a threshold. Journées annuelles du GdR MASCOT NUM (MASCOT NUM 2017), Mar 2017, Paris, France. ⟨hal-01569604⟩