Choosing the Sample Size of a Computer Experiment: A Practical Guide

We provide reasons and evidence supporting the informal rule that the number of runs for an effective initial computer experiment should be about 10 times the input dimension. Our arguments quantify two key characteristics of computer codes that affect the sample size required for a desired level of accuracy when approximating the code via a Gaussian process (GP). The first characteristic is the total sensitivity of a code output variable to all input variables; the second corresponds to the way this total sensitivity is distributed across the input variables, specifically the possible presence of a few prominent input factors and many impotent ones (i.e., effect sparsity). Both measures relate directly to the…

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  Natural Sciences and Engineering Research Council of Canada