KMS Of Academy of mathematics and systems sciences, CAS
| A Gaussian Process Emulator Based Approach for Bayesian Calibration of a Functional Input | |
| Li, Zhaohui1,3,4; Tan, Matthias Hwai Yong1,2 | |
| 2021-10-16 | |
| Source Publication | TECHNOMETRICS
 |
| ISSN | 0040-1706 |
| Pages | 13 |
| Abstract | 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. |
| Keyword | Bayesian calibration Dimension reduction Functional input Sequential design |
| DOI | 10.1080/00401706.2021.1971567 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | 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 Research Area | Mathematics |
| WOS Subject | Statistics & Probability |
| WOS ID | WOS:000708746800001 |
| Publisher | TAYLOR & FRANCIS INC |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/59408 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Tan, Matthias Hwai Yong |
| Affiliation | 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 |
| Recommended Citation 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. |
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