One-Dimensional Nested Maximin Designs

CentER Discussion Paper Series No. 2004-66

13 Pages Posted: 15 Oct 2004

See all articles by Edwin van Dam

Edwin van Dam

Tilburg University - Department of Econometrics & Operations Research

Bart Husslage

Tilburg University - Department of Econometrics & Operations Research

Dick den Hertog

Tilburg University - Department of Econometrics & Operations Research

Date Written: July 2004

Abstract

The design of computer experiments is an important step in black box evaluation and optimization processes. When dealing with multiple black box functions the need often arises to construct designs for all black boxes jointly, instead of individually. These so-called nested designs are used to deal with linking parameters and sequential evaluations. In this paper we discuss one-dimensional nested maximin designs. We show how to nest two designs optimally and develop a heuristic to nest three and four designs. Furthermore, it is proven that the loss in space-fillingness, with respect to traditional maximin designs, is at most 14.64 percent and 19.21 percent, when nesting two and three designs, respectively.

Keywords: simulation, computers, integer programming

JEL Classification: C90

Suggested Citation

van Dam, Edwin and Husslage, Bart and den Hertog, Dick, One-Dimensional Nested Maximin Designs (July 2004). CentER Discussion Paper Series No. 2004-66, Available at SSRN: https://ssrn.com/abstract=603321 or http://dx.doi.org/10.2139/ssrn.603321

Edwin Van Dam (Contact Author)

Tilburg University - Department of Econometrics & Operations Research ( email )

Tilburg, 5000 LE
Netherlands

Bart Husslage

Tilburg University - Department of Econometrics & Operations Research ( email )

Tilburg, 5000 LE
Netherlands

Dick Den Hertog

Tilburg University - Department of Econometrics & Operations Research ( email )

Tilburg, 5000 LE
Netherlands

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