M. C. Kennedy and A. O'Hagan
University of Nottingham
Publication details: Biometrika, 87, 1-13, 2000.
We consider prediction and uncertainty analysis for complex computer codes which can be run at different levels of sophistication. In particular, we wish to improve efficiency by combining expensive runs of the most complex versions of the code with relatively cheap runs from one or more simpler approximations. A Bayesian approach is described in which prior beliefs about the codes are represented in terms of Gaussian processes. An example is presented using two versions of an oil reservoir simulator.
Keywords: Bayesian uncertainty analysis; Computer experiment; Gaussian process; Multilevel codes.