Apprentice

Apprentice (code and documentation) is an open source package for construction of multivariate analytic surrogate model for computationally expensive Monte-Carlo predictions. The surrogate model is used for numerical optimization of a prediction function since it can be prohibitively expensive to perform optimization over functions with the Monte-Carlo predictions. To summarize, Apprentice can be used for performing three tasks:

• Construct surrogate models to computationally expensive Monte-Carlo predictions
• Formulate a prediction function with surrogate models
• Perform numerical optimization over the prediction function