arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1508.07155stat.ME
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计算机模型校准的理论框架:参数化,估计和收敛性质

A theoretical framework for calibration in computer models: parametrization, estimation and convergence properties

Rui Tuo, C. F. Jeff Wu

摘要:

确定性计算机实验中的校准参数是那些在物理实验中无法测量或可用的属性。Kennedy和O 'Hagan \cite{kennedy2001bayesian}提出了一种利用物理实验和计算机模拟的数据来估计它们的方法。给出了一个理论框架,使我们能够研究参数可识别性和估计的问题。我们将校准的$L_2$ -一致性定义为校准方法的合理性。结果表明,原来的KO方法的简化版本导致渐近$L_2$ -不一致的校准。这种$L_2$不一致性可以通过修改原始估计过程来补救。提出了一种新的校准方法,称为$L_2$校准,并证明是$L_2$一致的,并享有最佳的收敛速度。通过一个数值例子和一些数学分析来说明$L_2$ -不一致问题的根源。

英文摘要:

Calibration parameters in deterministic computer experiments are those attributes that cannot be measured or available in physical experiments. Kennedy and O'Hagan \cite{kennedy2001bayesian} 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. We define the $L_2$-consistency for calibration as a justification for calibration methods. It is shown that a simplified version of the original KO method leads to asymptotically $L_2$-inconsistent calibration. This $L_2$-inconsistency can be remedied by modifying the original estimation procedure. A novel calibration method, called the $L_2$ calibration, is proposed and proven to be $L_2$-consistent and enjoys optimal convergence rate. A numerical example and some mathematical analysis are used to illustrate the source of the $L_2$-inconsistency problem.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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