ENBIS-8 in Athens

21 – 25 September 2008 Abstract submission: 14 March – 11 August 2008

A new look at Kriging for the Approximation of Noisy Simulators with Tunable Fidelity

22 September 2008, 11:15 – 11:35

Abstract

Submitted by
David Ginsbourger
Authors
David Ginsbourger, Victor Picheny, Olivier Roustant, Yann Richet
Affiliation
Ecole des Mines de Saint-Etienne et Institut de Radioprotection et de Surete Nucleaire
Abstract
Kriging is intensively used to interpolate costly deterministic computer experiments. Since many recent advances in simulation rely on probabilistic methods (Monte-Carlo, etc...), it becomes necessary to take their randomness into account. Here we present an adaptation of the geostatistical "observational noise" to the frame of computer experiments with tunable probabilistic noise. We propose a statistical model for such simulators, give a derivation of the associated Kriging equations, and discuss the estimation of the covariance parameters. Perspectives include the use of Kriging for noisy-simulator-based uncertainty propagation or optimization strategies. We finally rise some new challenges about optimal design of experiments for Kriging, in the input-allocation space.

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