hetGP (version 1.1.7)

ato: Assemble To Order (ATO) Data and Fits

Description

A batch design-evaluated ATO data set, random partition into training and testing, and fitted hetGP model; similarly a sequentially designed adaptive horizon data set, and associated fitted hetGP model

Usage

data(ato)

Format

Calling data(ato) causes the following objects to be loaded into the namespace.

X

2000x8 matrix of inputs coded from 1,...,20 to the unit 8-cube; original inputs can be recreated as X*19 + 1

Z

2000x10 matrix of normalized outputs obtained in ten replicates at each of the 2000 inputs X. Original outputs can be obtained as Z*sqrt(Zv) + Zm

Zm

scalar mean used to normalize Z

Zv

scalar variance used to normalize Z

train

vector of 1000 rows of X and Z selected for training

Xtrain

1000x8 matrix obtained as a random partition of X

Ztrain

length 1000 list of vectors containing the selected (replicated) observations at each row of Xtrain

mult

the length of each entry of Ztrain; same as unlist(lapply(Ztrain, length))

kill

a logical vector indicating which rows of Xtrain for which all replicates of Z are selected for Ztrain; same as mult == 10

Xtrain.out

897x8 matrix comprised of the subset of X where not all replicates are selected for training; i.e., those for which kill == FALSE

Ztrain.out

list of length 897 containing the replicates of Z not selected for Ztrain

nc

noiseControl argument for mleHetGP call

out

mleHetGP model based on Xtrain and Ztrain using noiseControl=nc

Xtest

1000x8 matrix containing the other partition of X of locations not selected for training

Ztest

1000x10 matrix of responses from the partition of Z not selected for training

ato.a

2000x9 matrix of sequentially designed inputs (8) and outputs (1) obtained under an adaptive horizon scheme

Xa

2000x8 matrix of coded inputs from ato.a as (ato.a[,1:8]-1)/19

Za

length 2000 vector of outputs from ato.a as (ato.a[,9] - Zm)/sqrt(Zv)

out.a

mleHetGP model based on Xa and Za using noiseControl=nc

Author

Mickael Binois, , and Robert B. Gramacy,

Details

The assemble to order (ATO) simulator (Hong, Nelson, 2006) is a queuing simulation targeting inventory management scenarios. The setup is as follows. A company manufactures \(m\) products. Products are built from base parts called items, some of which are “key” in that the product cannot be built without them. If a random request comes in for a product that is missing a key item, a replenishment order is executed, and is filled after a random period. Holding items in inventory is expensive, so there is a balance between inventory costs and revenue. Hong & Nelson built a Matlab simulator for this setup, which was subsequently reimplemented by Xie, et al., (2012).

Binois, et al (2018a) describe an out-of-sample experiment based on this latter implementation in its default (Hong & Nelson) setting, specifying item cost structure, product makeup (their items) and revenue, distribution of demand and replenishment time, under target stock vector inputs \(b \in \{1,\dots,20\}^8\) for eight items. They worked with 2000 random uniform input locations (X), and ten replicate responses at each location (Z). The partition of 1000 training data points (Xtrain and Ztrain) and 1000 testing (Xtest and Ztest) sets provided here is an example of one that was used for the Monte Carlo experiment in that paper. The elements Xtrain.out and Ztrain.out comprise of replicates from the training inputs which were not used in training, so may be used for out-of-sample testing. For more details on how the partitions were build, see the code in the examples section below.

Binois, et al (2018b) describe an adaptive lookahead horizon scheme for building a sequential design (Xa, Za) of size 2000 whose predictive performance, via proper scores, is almost as good as the approximately 5000 training data sites in each of the Monte Carlo repetitions described above. The example code below demonstrates this via out-of-sample predictions on Xtest (measured against Ztest) when Xtrain and Ztrain are used compared to those from Xa and Za.

References

Hong L., Nelson B. (2006), Discrete optimization via simulation using COMPASS. Operations Research, 54(1), 115-129.

Xie J., Frazier P., Chick S. (2012). Assemble to Order Simulator. https://web.archive.org/web/20210308024531/http://simopt.org/wiki/index.php?title=Assemble_to_Order&oldid=447.

M. Binois, J. Huang, R. Gramacy, M. Ludkovski (2018a), Replication or exploration? Sequential design for stochastic simulation experiments, arXiv preprint arXiv:1710.03206.

M. Binois, Robert B. Gramacy, M. Ludkovski (2018b), Practical heteroskedastic Gaussian process modeling for large simulation experiments, arXiv preprint arXiv:1611.05902.

See Also

bfs, sirEval, link{rebuild}, horizon, IMSPE_optim, mleHetGP, vignette("hetGP")

Examples

data(ato)

if (FALSE) {
##
## the code below was used to create the random partition 
##

## recover the data in its original form
X <- X*19+1
Z <- Z*sqrt(Zv) + Zm

## code the inputs and outputs; i.e., undo the transformation 
## above
X <- (X-1)/19
Zm <- mean(Z)
Zv <- var(as.vector(Z))
Z <- (Z - Zm)/sqrt(Zv)

## random training and testing partition
train <- sample(1:nrow(X), 1000)
Xtrain <- X[train,]
Xtest <- X[-train,]
Ztest <- as.list(as.data.frame(t(Z[-train,])))
Ztrain <- Ztrain.out <- list()
mult <- rep(NA, nrow(Xtrain))
kill <- rep(FALSE, nrow(Xtrain))
for(i in 1:length(train)) {
  reps <- sample(1:ncol(Z), 1)
  w <- sample(1:ncol(Z), reps)
  Ztrain[[i]] <- Z[train[i],w]
  if(reps < 10) Ztrain.out[[i]] <- Z[train[i],-w]
  else kill[i] <- TRUE
  mult[i] <- reps
}

## calculate training locations and outputs for replicates not
## included in Ztrain
Xtrain.out <- Xtrain[!kill,]
Ztrain.out <- Ztrain[which(!kill)]

## fit hetGP model
out <- mleHetGP(X=list(X0=Xtrain, Z0=sapply(Ztrain, mean), mult=mult),
  Z=unlist(Ztrain), lower=rep(0.01, ncol(X)), upper=rep(30, ncol(X)),
  covtype="Matern5_2", noiseControl=nc, known=list(beta0=0), 
  maxit=100000, settings=list(return.matrices=FALSE))

##
## the adaptive lookahead design is read in and fit as 
## follows
##
Xa <- (ato.a[,1:8]-1)/19
Za <- ato.a[,9]
Za <- (Za - Zm)/sqrt(Zv)

## uses nc defined above
out.a <- mleHetGP(Xa, Za, lower=rep(0.01, ncol(X)), 
  upper=rep(30, ncol(X)), covtype="Matern5_2", known=list(beta0=0), 
  noiseControl=nc, maxit=100000, settings=list(return.matrices=FALSE))
}

##
## the following code duplicates a predictive comparison in
## the package vignette
##

## first using the model fit to the train partition (out)
out <- rebuild(out)

## predicting out-of-sample at the test sights
phet <- predict(out, Xtest)
phets2 <- phet$sd2 + phet$nugs
mhet <- as.numeric(t(matrix(rep(phet$mean, 10), ncol=10)))
s2het <- as.numeric(t(matrix(rep(phets2, 10), ncol=10)))
sehet <- (unlist(t(Ztest)) - mhet)^2
sc <- - sehet/s2het - log(s2het)
mean(sc)

## predicting at the held-out training replicates
phet.out <- predict(out, Xtrain.out)
phets2.out <- phet.out$sd2 + phet.out$nugs
s2het.out <- mhet.out <- Ztrain.out
for(i in 1:length(mhet.out)) {
  mhet.out[[i]] <- rep(phet.out$mean[i], length(mhet.out[[i]]))
  s2het.out[[i]] <- rep(phets2.out[i], length(s2het.out[[i]]))
}
mhet.out <- unlist(t(mhet.out))
s2het.out <- unlist(t(s2het.out))
sehet.out <- (unlist(t(Ztrain.out)) - mhet.out)^2
sc.out <- - sehet.out/s2het.out - log(s2het.out)
mean(sc.out)

if (FALSE) {
## then using the model trained from the "adaptive" 
## sequential design, with comparison from the "batch" 
## one above, using the scores function
out.a <- rebuild(out.a)
sc.a <- scores(out.a, Xtest = Xtest, Ztest = Ztest)
c(batch=mean(sc), adaptive=sc.a)

## an example of one iteration of sequential design

  Wijs <- Wij(out.a$X0, theta=out.a$theta, type=out.a$covtype)
  h <- horizon(out.a, Wijs=Wijs)
  control = list(tol_dist=1e-4, tol_diff=1e-4, multi.start=30, maxit=100)
  opt <- IMSPE_optim(out.a, h, Wijs=Wijs, control=control)
  opt$par
}