A Theoretical Framework for Calibration in Computer Models: Parametrization, Estimation and Convergence Properties

Rui Tuo, C. F. Jeff Wu
2016 SIAM/ASA Journal on Uncertainty Quantification  
Calibration parameters in deterministic computer experiments are those attributes that cannot be measured or available in physical experiments. Kennedy and O'Hagan (2001) suggested an approach to estimate them by using data from physical experiments and computer simulations. A theoretical framework is given which allows us to study the issues of parameter identifiability and estimation. It is shown that a simplified version of the original KO method leads to asymptotically inconsistent
more » ... consistent calibration. This calibration inconsistency can be remedied by modifying the original estimation procedure. A novel calibration method, called the L2 calibration, is proposed and proven to be consistent and enjoys optimal convergence rate. A numerical example and some mathematical analysis are used to illustrate the source of the inconsistency problem.
doi:10.1137/151005841 fatcat:nuptgpj3rrcbjhtewdjfwjec2q