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Comment: A Brownian Motion Model for Stochastic Simulation With Tunable Precision

Summary: This comment focuses on the first part of an article by Picheny et al. (Victor Picheny, David Ginsbourger, Yann Richet, and Gregory Caplin, Quantile-Based Optimization of Noisy Computer Experiments with Tunable Precision, Technometrics, 55-1, pages 29-31), regarding the modeling of computer experiments with tunable precision. The comment proposes a sequential sampling plan for stochastic simulation with tunable precision, which allows more data to be collected for the same computational budget. The authors have also introduced a Brownian motion kriging model, which can be used to fit the data from the proposed sampling plan. Some mathematical justification of the proposed model is given.

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  • Topics: Engineering
  • Keywords: Stochastic models, Kriging, Noise, Precision, Accuracy and precision, Design of experiments (DOE), Statistical experimental design (SED), Brownian motion
  • Author: Tuo, Rui; Qian, Peter Z. G.; Wu, C. F. Jeff
  • Journal: Technometrics