Multifidelity Surrogate Modeling for Time-Series Outputs

DOI10.1137/20M1386694zbMATH Open1515.62053arXiv2109.11374OpenAlexW4221155417MaRDI QIDQ6164166FDOQ6164166

Authors:

Publication date: 30 June 2023

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

Abstract: This paper considers the surrogate modeling of a complex numerical code in a multifidelity framework when the code output is a time series. Using an experimental design of the low-and high-fidelity code levels, an original Gaussian process regression method is proposed. The code output is expanded on a basis built from the experimental design. The first coefficients of the expansion of the code output are processed by a co-kriging approach. The last coefficients are collectively processed by a kriging approach with covariance tensorization. The resulting surrogate model taking into account the uncertainty in the basis construction is shown to have better performance in terms of prediction errors and uncertainty quantification than standard dimension reduction techniques.

Full work available at URL: https://arxiv.org/abs/2109.11374

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zbMATH Keywords

dimension reductionGaussian processestensorized covariancetime-series outputs

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15)

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Cited In (7)

• Fast predictive multi-fidelity prediction with models of quantized fidelity levels
• Simplified cross-correlation estimation for multi-fidelity surrogate cokriging models
• Surrogate modeling and multifidelity approach in computer experimentation
• Bayesian analysis of hierarchical multifidelity codes
• On the construction of uncertain time series surrogates using polynomial chaos and Gaussian processes
• Bifidelity Surrogate Modelling: Showcasing the Need for New Test Instances
• Fast regression surrogates for computer models with time-dependent outputs

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