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Agrégation d'informations et alternative au krigeage en environnement aléatoire

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Author Info

  • Pierre Ribereau

    (PROBA-STAT - Laboratoire de Probabilités et Statistiques - Université Montpellier II - Sciences et Techniques du Languedoc)

  • Didier Rullière

    ()
    (SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon I : EA2429)

Abstract

Nous définissons une notion d'information d'une variable aléatoire, qui permet en particulier de modéliser les erreurs d'estimation. Nous bâtissons un opérateur d'agrégation d'informations, qui reste cohérent avec la réduction des erreurs d'estimation lors de la réitération d'observations d'une même variable aléatoire. Nous évoquons alors les problèmes liés à l'usage du krigeage en environnement bruité, et proposons l'usage de l'opérateur d'agrégation comme alternative à la construction de surfaces de réponse et à l'estimation de la variance de krigeage. Un algorithme d'optimisation utilisant ces surfaces de réponse alternatives est proposé. Quelques applications numériques illustrent enfin l'intérêt de ces surfaces de réponse et de l'algorithme proposé.

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Bibliographic Info

Paper provided by HAL in its series Working Papers with number hal-00575604.

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Date of creation: 10 Mar 2011
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Handle: RePEc:hal:wpaper:hal-00575604

Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00575604/en/
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Related research

Keywords: Agrégation d'informations; krigeage; optimisation globale; fonction objectif bruitée; potentiel; fonction d'information;

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