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Recursive co-kriging model for Design of Computer experiments with multiple levels of fidelity

Abstract : 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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https://hal.archives-ouvertes.fr/hal-01108813
Contributor : Serena Benassù <>
Submitted on : Friday, January 23, 2015 - 3:08:05 PM
Last modification on : Friday, March 27, 2020 - 2:55:45 AM

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  • HAL Id : hal-01108813, version 1

Citation

Loic Le Gratiet, Josselin Garnier. Recursive co-kriging model for Design of Computer experiments with multiple levels of fidelity. International Journal for Uncertainty Quantification, Begell House Publishers, 2014, 4 (5), pp.365-386. ⟨hal-01108813⟩

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