A Gaussian Process Emulator Based Approach for Bayesian Calibration of a Functional Input

doi:10.1080/00401706.2021.1971567

CSpace

	A Gaussian Process Emulator Based Approach for Bayesian Calibration of a Functional Input
	Li, Zhaohui 1,3,4; Tan, Matthias Hwai Yong 1,2
	2021-10-16
发表期刊	TECHNOMETRICS
ISSN	0040-1706
页码	13
摘要	Bayesian calibration of a functional input/parameter to a time-consuming simulator based on a Gaussian process (GP) emulator involves two challenges that distinguish it from other parameter calibration problems. First, one needs to specify a flexible stochastic process prior for the input, and reduce it to a tractable number of random variables. Second, a sequential experiment design criterion that decreases the effect of emulator prediction uncertainty on calibration results is needed and the criterion should be scalable for high-dimensional input and output. In this article, we address these two issues. For the first issue, we employ a GP with a prior density for its correlation parameter as prior for the functional input, and the Karhunen-Loeve (KL) expansion of this non-Gaussian stochastic process to reduce its dimension. We show that this prior gives far more robust inference results than a GP with a fixed correlation parameter. For the second issue, we propose the weighted prediction variance (WPV) criterion (with posterior density of the calibration parameter as weight) and prove the consistency of the sequence of emulator-based likelihoods given by the criterion. The proposed method is illustrated with examples on hydraulic transmissivity estimation for groundwater models.
关键词	Bayesian calibration Dimension reduction Functional input Sequential design
DOI	10.1080/00401706.2021.1971567
收录类别	SCI
语种	英语
资助项目	Research Grants Council of the Hong Kong Special Administrative Region, China[CityU 11201117] ; Research Grants Council of the Hong Kong Special Administrative Region, China[CityU 11205118]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000708746800001
出版者	TAYLOR & FRANCIS INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/59408
专题	中国科学院数学与系统科学研究院
通讯作者	Tan, Matthias Hwai Yong
作者单位	1.City Univ Hong Kong, Sch Data Sci, Kowloon, Hong Kong, Peoples R China 2.City Univ Hong Kong, Hong Kong Inst Data Sci HKIDS, Hong Kong, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 4.Univ Chinese Acad Sci, Sch Math Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Li, Zhaohui,Tan, Matthias Hwai Yong. A Gaussian Process Emulator Based Approach for Bayesian Calibration of a Functional Input[J]. TECHNOMETRICS,2021:13.
APA	Li, Zhaohui,&Tan, Matthias Hwai Yong.(2021).A Gaussian Process Emulator Based Approach for Bayesian Calibration of a Functional Input.TECHNOMETRICS,13.
MLA	Li, Zhaohui,et al."A Gaussian Process Emulator Based Approach for Bayesian Calibration of a Functional Input".TECHNOMETRICS (2021):13.