Best linear unbiased prediction for multifidelity computer experiments

DOI10.1155/2018/8525736MaRDI QIDQ1721551zbMATH OpenOpenAlexFDO

Authors Weiyan Mu, Qiuyue Wei, Dongli Cui, Shifeng Xiong

Publication date 8 February 2019

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2018/8525736

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05) Statistical block designs (62K10)

Review text

Summary: Recently it becomes a growing trend to study complex systems which contain multiple computer codes with different levels of accuracy, and a number of hierarchical Gaussian process models are proposed to handle such multiple-fidelity codes. This paper derives the best linear unbiased prediction for three popular classes of multiple-level Gaussian process models. The predictors all have explicit expressions at each untried point. Empirical best linear unbiased predictors are also provided by plug-in methods with generalized maximum likelihood estimators of unknown parameters.

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Cites work

• Nested Latin hypercube designs
• Predicting the output from a complex computer code when fast approximations are available
• Sensitivity analysis using permutations
• The design and analysis of computer experiments.

Cited in

(3)

• Asymptotic analysis of multilevel best linear unbiased estimators
• Bayesian integrative analysis for multi-fidelity computer experiments
• Bayesian analysis of hierarchical multifidelity codes

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