I have written a software program for the analysis and optimization
of computer models (or simulations). It is called "space" (Stochastic Process Analysis
of Computer Experiments) and grew out of my doctoral dissertation under the guidance of William Welch, University of Waterloo.
The code is useful for analysis and global optimization of very expensive functions. The major functions are :
Several responses can be specified, it is possible to minimize one response
variable subject to simple constraints on other response variables.
Currently, the program does not handle categorical variables, missing values or
constraints on x -variables (however, constraints on x-variables might be handled by specifying a second response that represents the x-variable constraint).
Fitting or Estimation of the stochastic process model parameters
- Cross validation of the model fit
- Prediction at new design sites (x-values) using the fitted model
- Visualization of Main Effects and Joint Effects
- Global minimization of the response in stages: The code suggests a specified number of design sites at each stage.
The function can then be evaluated off - line at these design sites. The new function evaluations are fed back to
for the next stage.
- Global minimization with supplied function of the response.
generates a single design site, waits for the design site to be evaluated by a supplied function,
generates the next design site given the new function evaluation , etc., until a convergence criterion is satisfied.
The program is time consuming and therefore you may not want to use it
with functions that are inexpensive to evaluate.
The program is excessively time consuming if the data consists of more than a few hundred points.
We have used it with 10 dimensional data. The limiting factor however are not the number of dimensions
but the number of data points.
Available for download:
The code works under windows and various unix platforms. I have heard that someone also successfully compiled it under LINUX.
This program was written during my dissseration.
It is functional, but is no longer being actively developed.
The program can be used and distributed free of charge.
The distribution must credit Matthias Schonlau, Ph.D. as the author and
reference this website (www.schonlau.net or www.schonlau.net/space.html ).
If distributed through a website the website must contain a hyperlink to my website.
Return to Home Page
Remove navigation bar on the left