Sequential Design of Computer Experiments: Current Status and Future Directions

Abstract

A brief literature review addresses the sequential design of computer experiments. Algorithms, initial designs, surrogate modeling, and stopping criteria are presented. Sequential designs are classified in terms of deterministic/stochastic, granularity, and model-free/model-dependent. Criteria for exploitation and exploration are presented. Some hybrid algorithms that balance exploitation and exploration are introduced and compared with an illustrative example. Practitioners working on computer simulators can benefit from the review presented in this paper by implementing the sequential design of computer experiments.