Second-Order Cone Programming for P-Spline Simulation Metamodeling
Optimization and Control
2015-06-19 v1 Statistics Theory
Statistics Theory
Abstract
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 model, which can be solved efficiently by modern optimization techniques. The method is implemented in MATLAB/GNU Octave.
Keywords
Cite
@article{arxiv.1506.05536,
title = {Second-Order Cone Programming for P-Spline Simulation Metamodeling},
author = {Yu Xia and Farid Alizadeh},
journal= {arXiv preprint arXiv:1506.05536},
year = {2015}
}
Comments
Extended abstract appears in the Proceedings of the 2014 Winter Simulation Conference