Year: 2023
Type: article
Abstract: We investigate a computer model calibration technique inspired by the well-known Bayesian framework of Kennedy and O'Hagan (KOH). We tackle the full Bayesian formulation where model parameter and model discrepancy hyperparameters are estimated jointly and reduce the problem dimensionality by introducing a functional relationship that we call the full maximum a posteriori (FMP) method. This method also eliminates the need for a true value of model parameters that caused identifiability issues in the KOH formulation. When the joint posterior is approximated as a mixture of Gaussians, the FMP calibration is proven to avoid some pitfalls of the KOH calibration, namely missing some probability regions and underestimating the posterior variance. We then illustrate two numerical examples where both model error and measurement uncertainty are estimated together. Using the solution to the full Bayesian problem as a reference, we show that the FMP results are accurate and robust, and avoid the need for high-dimensional Markov chains for sampling.
Institutions: Institut national de recherche en sciences et technologies du numérique, École Polytechnique, Commissariat à l'Énergie Atomique et aux Énergies Alternatives, Centre de Mathématiques Appliquées de l'École polytechnique, Institut Polytechnique de Paris, Institut des Sciences Appliquées et de la Simulation pour les énergies bas carbone, Centre National de la Recherche Scientifique
Language: English
Subfield: Statistics, Probability and Uncertainty
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W4307218665