Combining Observational and Computational Uncertainty in Calibration Experiments

Abstract

Traditional computer experiments using emulators have treat the emulator output as containing no error; however, this is not always feasible, as there exist computational codes which produce stochastic output, and future computations may require a balance between the time or resources to run the code and the accuracy of the output. This paper proposes a framework for incorporating both computational uncertainty and observational uncertainty into an analysis using a Gaussian process regression and calibration, and provides an example using simulated output from the one-dimensional diffusion equation. The particular values of observational and computation uncertainty which minimize a cost function are obtained.