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Small sample designs for multi-level, multi-output computer simulators

Presented by: 
Michael Goldstein Durham University
Tuesday 6th March 2018 - 09:00 to 09:45
INI Seminar Room 1
This talk is concerned with some general principles for the design of experiments to learn about computer simulators with many inputs and many outputs which may be evaluated at different levels of accuracy and for which the top level simulator is expensive to evaluate for any input choice. Our aim is to use many evaluations of a fast approximation to the simulator to build an informative prior for the top level simulator. Based on this prior, we may build a small but informative design for the slow simulator. We will illustrate the methodology on a design problem for an oil reservoir simulator. (The work is joint with Jonathan Cumming.)
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University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons