Mathematics – Statistics Theory
Scientific paper
2011-12-22
Proceedings of the Royal Society A (2011) RSPA-2011-0742
Mathematics
Statistics Theory
Scientific paper
This paper deals with the Gaussian process based approximation of a code which can be run at different levels of accuracy. This co-kriging method allows us to improve a surrogate model of a complex computer code using fast approximations of it. In particular, we focus on the case of a large number of code levels on the one hand and on a Bayesian approach when we have 2 levels on the other hand. Moreover, based on a Bayes linear formulation, an extension of the universal kriging equations are provided for the co-kriging model. We also address the problem of nested space-filling design for multi-fidelity computer experiments and we provide a significant simplification of the computation of the co-kriging cross-validation equations. A hydrodynamic simulator example is used to illustrate the comparison Bayesian versus non-Bayesian co-kriging. A thermodynamic example is used to illustrate the comparison between 2-level and 3-level co-kriging.
No associations
LandOfFree
Bayesian analysis of hierarchical multi-fidelity codes does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Bayesian analysis of hierarchical multi-fidelity codes, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Bayesian analysis of hierarchical multi-fidelity codes will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-307960