Journal
INTERNATIONAL JOURNAL FOR UNCERTAINTY QUANTIFICATION
Volume 4, Issue 5, Pages 365-386Publisher
BEGELL HOUSE INC
DOI: 10.1615/Int.J.UncertaintyQuantification.2014006914
Keywords
uncertainty quantification; surrogate models; universal co-kriging; recursive model; fast cross-validation; multi-fidelity computer code
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We consider in this paper the problem of building a fast-running approximation also called surrogate model of a complex computer code. The co-kriging based surrogate model is a promising tool to build such an approximation when the complex computer code can be run at different levels of accuracy. We present here an original approach to perform a multi-fidelity co-kriging model which is based on a recursive formulation. We prove that the predictive mean and the variance of the presented approach are identical to the ones of the original co-kriging model. However, our new approach allows to obtain original results. First, closed-form formulas for the universal co-kriging predictive mean and variance are given. Second, a fast cross-validation procedure for the multi-fidelity co-kriging model is introduced. Finally, the proposed approach has a reduced computational complexity compared to the previous one. The multi-fidelity model is successfully applied to emulate a hydrodynamic simulator.
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