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Case studies in Gaussian process modelling of computer codes

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  • Kennedy, Marc C.
  • Anderson, Clive W.
  • Conti, Stefano
  • O’Hagan, Anthony

Abstract

In this paper we present a number of recent applications in which an emulator of a computer code is created using a Gaussian process model. Tools are then applied to the emulator to perform sensitivity analysis and uncertainty analysis. Sensitivity analysis is used both as an aid to model improvement and as a guide to how much the output uncertainty might be reduced by learning about specific inputs. Uncertainty analysis allows us to reflect output uncertainty due to unknown input parameters, when the finished code is used for prediction.

Suggested Citation

  • Kennedy, Marc C. & Anderson, Clive W. & Conti, Stefano & O’Hagan, Anthony, 2006. "Case studies in Gaussian process modelling of computer codes," Reliability Engineering and System Safety, Elsevier, vol. 91(10), pages 1301-1309.
    • Handle: RePEc:eee:reensy:v:91:y:2006:i:10:p:1301-1309
    DOI: 10.1016/j.ress.2005.11.028
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    References listed on IDEAS

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    1. Jeremy E. Oakley & Anthony O'Hagan, 2004. "Probabilistic sensitivity analysis of complex models: a Bayesian approach," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(3), pages 751-769, August.
    2. Marc C. Kennedy & Anthony O'Hagan, 2001. "Bayesian calibration of computer models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(3), pages 425-464.
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    Cited by:

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    2. Antony M. Overstall & David C. Woods, 2016. "Multivariate emulation of computer simulators: model selection and diagnostics with application to a humanitarian relief model," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 65(4), pages 483-505, August.
    3. Petropoulos, G. & Wooster, M.J. & Carlson, T.N. & Kennedy, M.C. & Scholze, M., 2009. "A global Bayesian sensitivity analysis of the 1d SimSphere soil–vegetation–atmospheric transfer (SVAT) model using Gaussian model emulation," Ecological Modelling, Elsevier, vol. 220(19), pages 2427-2440.
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    8. Liu, Fuchao & Wei, Pengfei & Tang, Chenghu & Wang, Pan & Yue, Zhufeng, 2019. "Global sensitivity analysis for multivariate outputs based on multiple response Gaussian process model," Reliability Engineering and System Safety, Elsevier, vol. 189(C), pages 287-298.

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