Seminar Series: Xi Chen

Join us in welcoming Xi Chen, an associate professor from Virginia Tech, as she discusses industrial engineering topics. Alums and friends of the program are always welcome.

Title and Abstract

Multilevel Monte Carlo Metamodeling for Variance Function Estimation
In this talk, we present a novel multilevel Monte Carlo (MLMC) metamodeling approach for variance function estimation. While devising an efficient experimental design for simulation metamodeling can be challenging, the MLMC-based approach overcomes this by dynamically adjusting the number of design points and budget allocation at each level, thereby automatically generating an efficient design. Theoretical analyses demonstrate that, under mild conditions, the proposed MLMC metamodeling approach for variance function estimation offers superior computational efficiency compared to traditional Monte Carlo metamodeling while achieving the desired accuracy level. Furthermore, we establish the asymptotic normality of the MLMC metamodeling estimator under specific conditions, providing valuable insights for uncertainty quantification. Lastly, we propose two MLMC metamodeling procedures for variance function estimation: one to achieve a target accuracy level and another to optimize the use of a fixed computational budget. Numerical evaluations validate the theoretical results and highlight the potential of the proposed approach in facilitating global sensitivity analysis.

Biography

Xi Chen is an Associate Professor in the Grado Department of Industrial and Systems Engineering at Virginia Tech. She earned her Ph.D. in Industrial Engineering and Management Sciences from Northwestern University and an M.S. in Industrial and Systems Engineering from North Carolina State University. Her research interests encompass stochastic modeling, simulation methodology, applied probability and statistics, and machine learning. Her recent work primarily focuses on simulation metamodeling, simulation-based sensitivity analysis, adaptive inference, and simulation optimization. She is a recipient of an NSF CAREER Award. Dr. Chen serves on the editorial board of Management Science and is a member of the INFORMS Simulation Society Council.