Tony O'Hagan - Academic pages - Abstracts

Predicting the Output from a Complex Computer Code when Fast Approximations are Available

M. C. Kennedy and A. O'Hagan

University of Nottingham

Publication details: Biometrika, 87, 1-13, 2000.

Abstract

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.