Please use this identifier to cite or link to this item: https://doi.org/10.1109/TASE.2012.2199486
Title: Calibration of stochastic computer models using stochastic approximation methods
Authors: Yuan, J.
Ng, S.H. 
Tsui, K.L.
Keywords: Computer model calibration
parameter uncertainty
stochastic approximation
stochastic computer simulation
Issue Date: 2013
Source: Yuan, J., Ng, S.H., Tsui, K.L. (2013). Calibration of stochastic computer models using stochastic approximation methods. IEEE Transactions on Automation Science and Engineering 10 (1) : 171-186. ScholarBank@NUS Repository. https://doi.org/10.1109/TASE.2012.2199486
Abstract: Computer models are widely used to simulate real processes. Within the computer model, there always exist some parameters which are unobservable in the real process but need to be specified in the model. The procedure to adjust these unknown parameters in order to fit the model to observed data and improve predictive capability is known as calibration. Practically, calibration is typically done manually. In this paper, we propose an effective and efficient algorithm based on the stochastic approximation (SA) approach that can be easily automated. We first demonstrate the feasibility of applying stochastic approximation to stochastic computer model calibration and apply it to three stochastic simulation models. We compare our proposed SA approach with another direct calibration search method, the genetic algorithm. The results indicate that our proposed SA approach performs equally as well in terms of accuracy and significantly better in terms of computational search time. We further consider the calibration parameter uncertainty in the subsequent application of the calibrated model and propose an approach to quantify it using asymptotic approximations. © 2004-2012 IEEE.
Source Title: IEEE Transactions on Automation Science and Engineering
URI: http://scholarbank.nus.edu.sg/handle/10635/63049
ISSN: 15455955
DOI: 10.1109/TASE.2012.2199486
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

SCOPUSTM   
Citations

10
checked on Dec 7, 2017

WEB OF SCIENCETM
Citations

7
checked on Nov 22, 2017

Page view(s)

35
checked on Dec 18, 2017

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.