Stacking Designs: Designing Multifidelity Computer Experiments with Target Predictive Accuracy

DOI10.1137/22M1532007arXiv2211.00268MaRDI QIDQ6131423FDOQ6131423

Authors:

Publication date: 5 April 2024

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Abstract: In an era where scientific experiments can be very costly, multi-fidelity emulators provide a useful tool for cost-efficient predictive scientific computing. For scientific applications, the experimenter is often limited by a tight computational budget, and thus wishes to (i) maximize predictive power of the multi-fidelity emulator via a careful design of experiments, and (ii) ensure this model achieves a desired error tolerance with some notion of confidence. Existing design methods, however, do not jointly tackle objectives (i) and (ii). We propose a novel stacking design approach that addresses both goals. Using a recently proposed multi-level Gaussian process emulator model, our stacking design provides a sequential approach for designing multi-fidelity runs such that a desired prediction error of $epsilon>0$ is met under regularity assumptions. We then prove a novel cost complexity theorem that, under this multi-level Gaussian process emulator, establishes a bound on the computation cost (for training data simulation) needed to achieve a prediction bound of $epsilon$. This result provides novel insights on conditions under which the proposed multi-fidelity approach improves upon a standard Gaussian process emulator which relies on a single fidelity level. Finally, we demonstrate the effectiveness of stacking designs in a suite of simulation experiments and an application to finite element analysis.

Full work available at URL: https://arxiv.org/abs/2211.00268

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zbMATH Keywords

computer experimentsexperimental designuncertainty quantificationfinite element analysisGaussian process modelingmultilevel modeling

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sequential statistical design (62L05)

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Cited In (2)

• Conglomerate multi-fidelity Gaussian process modeling, with application to heavy-ion collisions
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