In this paper we consider two nested computer codes, with the first code output as one of the second code inputs. A predictor of this nested code is obtained by coupling the Gaussian predictors of the two codes. This predictor is non Gaussian and computing its statistical moments can be cumbersome. Sequential designs aiming at improving the accuracy of the nested predictor are proposed. One of the criteria allows to choose which code to launch by taking into account the computational costs of the two codes. Finally, two adaptations of the non Gaussian predictor are proposed in order to compute the prediction mean and variance rapidly or exactly.
Accepté le :
DOI : 10.1051/ps/2018011
Mots-clés : Nested computer codes, surrogate model, Gaussian process, uncertainty quantification, Bayesian formalism, sequential design, computer experiments
@article{PS_2019__23__245_0,
author = {Marque-Pucheu, Sophie and Perrin, Guillaume and Garnier, Josselin},
title = {Efficient sequential experimental design for surrogate modeling of nested codes},
journal = {ESAIM: Probability and Statistics},
pages = {245--270},
publisher = {EDP-Sciences},
volume = {23},
year = {2019},
doi = {10.1051/ps/2018011},
mrnumber = {3946295},
zbl = {1420.62355},
language = {en},
url = {http://www.numdam.org/articles/10.1051/ps/2018011/}
}
TY - JOUR AU - Marque-Pucheu, Sophie AU - Perrin, Guillaume AU - Garnier, Josselin TI - Efficient sequential experimental design for surrogate modeling of nested codes JO - ESAIM: Probability and Statistics PY - 2019 SP - 245 EP - 270 VL - 23 PB - EDP-Sciences UR - http://www.numdam.org/articles/10.1051/ps/2018011/ DO - 10.1051/ps/2018011 LA - en ID - PS_2019__23__245_0 ER -
%0 Journal Article %A Marque-Pucheu, Sophie %A Perrin, Guillaume %A Garnier, Josselin %T Efficient sequential experimental design for surrogate modeling of nested codes %J ESAIM: Probability and Statistics %D 2019 %P 245-270 %V 23 %I EDP-Sciences %U http://www.numdam.org/articles/10.1051/ps/2018011/ %R 10.1051/ps/2018011 %G en %F PS_2019__23__245_0
Marque-Pucheu, Sophie; Perrin, Guillaume; Garnier, Josselin. Efficient sequential experimental design for surrogate modeling of nested codes. ESAIM: Probability and Statistics, Tome 23 (2019), pp. 245-270. doi : 10.1051/ps/2018011. http://www.numdam.org/articles/10.1051/ps/2018011/
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