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Sequential design for response surface model fit in computer experiments using derivative information

ABSTRACT This article considers the problem of response surface model fit in computer experiment. We propose a new sequential adaptive design through the “maximum expected improvement” approach. The new method defines the improvement by the first order approximation from the known design points using derivative information and sequentially seeks point in area with large curvature and variance. A version with distance penalty is also considered. We demonstrate their superiority over some existing methods by simulation.