Journal
BIOMETRIKA
Volume 87, Issue 1, Pages 1-13Publisher
OXFORD UNIV PRESS
DOI: 10.1093/biomet/87.1.1
Keywords
Bayesian uncertainty analysis; computer experiment; Gaussian process; multi-level code
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We consider prediction and uncertainty analysis for complex computer codes which can be run at different levels of sophistication. In particular, we wish to improve efficiency by combining expensive runs of the most complex versions of the code with relatively cheap runs from one or more simpler approximations. A Bayesian approach is described in which prior beliefs about the codes are represented in terms of Gaussian processes. An example is presented using two versions of an oil reservoir simulator.
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