One-Dimensional Nested Maximin Designs
CentER Discussion Paper Series No. 2004-66
13 Pages Posted: 15 Oct 2004
Date Written: July 2004
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: Suggested Citation