Simulation Metamodel Estimaiton with Penalized B-splines: a Second-order Cone Programming Approach
نویسندگان
چکیده
This paper approximates simulation models by B-splines with a penalty on high-order finite differences of the coefficients of adjacent B-splines. The penalty prevents overfitting. The simulation output is assumed to be nonnegative. The nonnegative spline simulation metamodel is casted as a second-order cone programming problem, which can be solved efficiently by modern optimization techniques. The method is implemented in MATLAB. 1 NONNEGATIVE SPLINE METAMODEL A simulation model can be represented as a function:
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