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Gaussian process emulation of dynamic computer codes

S. CONTI, J. P. GOSLING, J. E. OAKLEY and A. O'HAGAN
Biometrika
Vol. 96, No. 3 (SEPTEMBER 2009), pp. 663-676
Published by: Oxford University Press on behalf of Biometrika Trust
Stable URL: http://www.jstor.org/stable/27798855
Page Count: 14
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Gaussian process emulation of dynamic computer codes
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Abstract

Computer codes are used in scientific research to study and predict the behaviour of complex systems. Their run times often make uncertainty and sensitivity analyses impractical because of the thousands of runs that are conventionally required, so efficient techniques have been developed based on a statistical representation of the code. The approach is less straightforward for dynamic codes, which represent time-evolving systems. We develop a novel iterative system to build a statistical model of dynamic computer codes, which is demonstrated on a rainfall-runoff simulator.

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