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Performance study of multi-fidelity gradient enhanced kriging

Selvakumar Ulaganathan (UGent) , Ivo Couckuyt (UGent) , Francesco Ferranti (UGent) , Eric Laermans (UGent) and Tom Dhaene (UGent)
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Abstract
Multi-fidelity surrogate modelling offers an efficient way to approximate computationally expensive simulations. In particular, Kriging-based surrogate models are popular for approximating deterministic data. In this work, the performance of Kriging is investigated when multi-fidelity gradient data is introduced along with multi-fidelity function data to approximate computationally expensive black-box simulations. To achieve this, the recursive CoKriging formulation is extended by incorporating multi-fidelity gradient information. This approach, denoted by Gradient-Enhanced recursive CoKriging (GECoK), is initially applied to two analytical problems. As expected, results from the analytical benchmark problems show that additional gradient information of different fidelities can significantly improve the accuracy of the Kriging model. Moreover, GECoK provides a better approximation even when the gradient information is only partially available. Further comparison between CoKriging, Gradient Enhanced Kriging, denoted by GEK, and GECoK highlights various advantages of employing single and multi-fidelity gradient data. Finally, GECoK is further applied to two real-life examples.
Keywords
COMPUTER EXPERIMENTS, IBCN, FAST APPROXIMATIONS, SURROGATE MODELS, OPTIMIZATION, SIMULATIONS, DERIVATIVES, PREDICTION, ADJOINT, DESIGNS, OUTPUT, Surrogate modelling, Gradient enhancement, Recursive CoKriging, Multi-fidelity modelling

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Please use this url to cite or link to this publication:

MLA
Ulaganathan, Selvakumar et al. “Performance Study of Multi-fidelity Gradient Enhanced Kriging.” STRUCTURAL AND MULTIDISCIPLINARY OPTIMIZATION 51.5 (2015): 1017–1033. Print.
APA
Ulaganathan, S., Couckuyt, I., Ferranti, F., Laermans, E., & Dhaene, T. (2015). Performance study of multi-fidelity gradient enhanced kriging. STRUCTURAL AND MULTIDISCIPLINARY OPTIMIZATION, 51(5), 1017–1033.
Chicago author-date
Ulaganathan, Selvakumar, Ivo Couckuyt, Francesco Ferranti, Eric Laermans, and Tom Dhaene. 2015. “Performance Study of Multi-fidelity Gradient Enhanced Kriging.” Structural and Multidisciplinary Optimization 51 (5): 1017–1033.
Chicago author-date (all authors)
Ulaganathan, Selvakumar, Ivo Couckuyt, Francesco Ferranti, Eric Laermans, and Tom Dhaene. 2015. “Performance Study of Multi-fidelity Gradient Enhanced Kriging.” Structural and Multidisciplinary Optimization 51 (5): 1017–1033.
Vancouver
1.
Ulaganathan S, Couckuyt I, Ferranti F, Laermans E, Dhaene T. Performance study of multi-fidelity gradient enhanced kriging. STRUCTURAL AND MULTIDISCIPLINARY OPTIMIZATION. 2015;51(5):1017–33.
IEEE
[1]
S. Ulaganathan, I. Couckuyt, F. Ferranti, E. Laermans, and T. Dhaene, “Performance study of multi-fidelity gradient enhanced kriging,” STRUCTURAL AND MULTIDISCIPLINARY OPTIMIZATION, vol. 51, no. 5, pp. 1017–1033, 2015.
@article{6851391,
  abstract     = {Multi-fidelity surrogate modelling offers an efficient way to approximate computationally expensive simulations. In particular, Kriging-based surrogate models are popular for approximating deterministic data. In this work, the performance of Kriging is investigated when multi-fidelity gradient data is introduced along with multi-fidelity function data to approximate computationally expensive black-box simulations. To achieve this, the recursive CoKriging formulation is extended by incorporating multi-fidelity gradient information. This approach, denoted by Gradient-Enhanced recursive CoKriging (GECoK), is initially applied to two analytical problems. As expected, results from the analytical benchmark problems show that additional gradient information of different fidelities can significantly improve the accuracy of the Kriging model. Moreover, GECoK provides a better approximation even when the gradient information is only partially available. Further comparison between CoKriging, Gradient Enhanced Kriging, denoted by GEK, and GECoK highlights various advantages of employing single and multi-fidelity gradient data. Finally, GECoK is further applied to two real-life examples.},
  author       = {Ulaganathan, Selvakumar and Couckuyt, Ivo and Ferranti, Francesco and Laermans, Eric and Dhaene, Tom},
  issn         = {1615-147X},
  journal      = {STRUCTURAL AND MULTIDISCIPLINARY OPTIMIZATION},
  keywords     = {COMPUTER EXPERIMENTS,IBCN,FAST APPROXIMATIONS,SURROGATE MODELS,OPTIMIZATION,SIMULATIONS,DERIVATIVES,PREDICTION,ADJOINT,DESIGNS,OUTPUT,Surrogate modelling,Gradient enhancement,Recursive CoKriging,Multi-fidelity modelling},
  language     = {eng},
  number       = {5},
  pages        = {1017--1033},
  title        = {Performance study of multi-fidelity gradient enhanced kriging},
  url          = {http://dx.doi.org/10.1007/s00158-014-1192-x},
  volume       = {51},
  year         = {2015},
}

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