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Second-Order Cone Programming for P-Spline Simulation Metamodeling

Yu Xia(yxia***at***lakeheadu.ca)
Farid Alizadeh(farid.alizadeh***at***rutgers.edu)

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: Second-order Cone Programming, Simulation Metamodel, Nonnegative Polynomial

Category 1: Linear, Cone and Semidefinite Programming (Second-Order Cone Programming )

Category 2: Other Topics (Optimization of Simulated Systems )

Category 3: Applications -- Science and Engineering (Statistics )


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Entry Submitted: 06/17/2015
Entry Accepted: 06/18/2015
Entry Last Modified: 06/17/2015

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