Comparison of optimal linear, affine and convex combinations of metamodels

Abstract

In this article, five different formulations for establishing optimal ensembles of metamodels are presented and compared. The comparison is done by minimizing different norms of the residual vector of the leave-one-out cross-validation errors for linear, affine and convex combinations of 10 metamodels. The norms are taken to be the taxicab, the Euclidean and the infinity norm, respectively. The ensemble of metamodels consists of quadratic regression, Kriging with linear or quadratic bias, radial basis function networks with a-priori linear or quadratic bias, radial basis function networks with a-posteriori linear or quadratic bias, polynomial chaos expansion, support vector regression and least squares support vector regression. Eight benchmark functions are studied as ‘black-boxes’ using Halton and Hammersley samplings. The optimal ensembles are established for either one of the samplings and then the corresponding root mean square errors are established using the other sampling and vice versa. In total, 80 different test cases (5 formulations, 8 benchmarks and 2 samplings) are studied and presented. In addition, an established design optimization problem is solved using affine and convex combinations. It is concluded that minimization of the taxicab or Euclidean norm of the residual vector of the leave-one-out cross-validation errors for convex combinations of metamodels produces the best ensemble of metamodels.