A Gaussian Process Emulator Based Approach for Bayesian Calibration of a Functional Input
文献类型：期刊论文
| 作者 | Li, Zhaohui1,3,4; Tan, Matthias Hwai Yong1,2 |
| 刊名 | TECHNOMETRICS
 |
| 出版日期 | 2021-10-16 |
| 页码 | 13 |
| 关键词 | Bayesian calibration Dimension reduction Functional input Sequential design |
| ISSN号 | 0040-1706 |
| DOI | 10.1080/00401706.2021.1971567 |
| 英文摘要 | 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. |
| 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 |
| 语种 | 英语 |
| WOS记录号 | WOS:000708746800001 |
| 出版者 | TAYLOR & FRANCIS INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/59407]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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