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Kriging with Heterogeneous Nugget Effect for the Approximation of Noisy Simulators with Tunable Fidelity


Congress title :SSC-SFdS 2008 - Congrès conjoint de la Société Statistique du Canada et de la Société Française de Statistique 
Congress location :Ottawa
Congress date :25/05/2008

Document type > *Congrès/colloque

Keywords > DICE, nugget effect

Research Unit > IRSN/DSU/SEC/LERD

Authors > GINSBOURGER David, RICHET Yann, ROUSTANT Olivier

Publication Date > 29/05/2008

Summary

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 "Nugget Effect", originally developed in geostatistics to model 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 (KEPH), and discuss the estimation of the covariance parameters. We finally consider perspectives such as the use of KEPH for noisy-simulator-based uncertainty propagation or optimization strategies.

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