A theoretical framework of the scaled Gaussian stochastic process in prediction and calibration

DOI10.1137/21M1409949zbMATH Open1498.62016arXiv1807.03829MaRDI QIDQ96361FDOQ96361

Authors: Mengyang Gu, Fangzheng Xie, Long Wang 

Publication date: 10 July 2018

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

Abstract: Model calibration or data inversion is one of fundamental tasks in uncertainty quantification. In this work, we study the theoretical properties of the scaled Gaussian stochastic process (S-GaSP), to model the discrepancy between reality and imperfect mathematical models. We establish the explicit connection between Gaussian stochastic process (GaSP) and S-GaSP through the orthogonal series representation. The predictive mean estimator in the S-GaSP calibration model converges to the reality at the same rate as the GaSP with a suitable choice of the regularization and scaling parameters. We also show the calibrated mathematical model in the S-GaSP calibration converges to the one that minimizes the $L_2$ loss between the reality and mathematical model, whereas the GaSP model with other widely used covariance functions does not have this property. Numerical examples confirm the excellent finite sample performance of our approaches compared to a few recent approaches.

Full work available at URL: https://arxiv.org/abs/1807.03829

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zbMATH Keywords

Bayesian priorconvergenceinterpretabilitymodel misspecificationorthogonal series representationscaled Gaussian stochastic process prior

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics in engineering and industry; control charts (62P30) Foundations and philosophical topics in statistics (62A01) Inference from stochastic processes and prediction (62M20)

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Cited In (7)

• Penalized Projected Kernel Calibration for Computer Models
• A review on computer model calibration
• RobustCalibration
• Probabilistic forecast of nonlinear dynamical systems with uncertainty quantification
• Efficient calibration of computer models with multivariate output
• Calibration of Imperfect Geophysical Models by Multiple Satellite Interferograms with Measurement Bias
• Scaled Gaussian stochastic process for computer model calibration and prediction

Uses Software

• L-BFGS
• deSolve
• diffEq

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