Accurate emulators for large-scale computer experiments
The Annals of Statistics · 2011 · Volume 39 · Issue 6
Abstract
Large-scale computer experiments are becoming increasingly important in science. A multi-step procedure is introduced to statisticians for modeling such experiments, which builds an accurate interpolator in multiple steps. In practice, the procedure shows substantial improvements in overall accuracy, but its theoretical properties are not well established. We introduce the terms nominal and numeric error and decompose the overall error of an interpolator into nominal and numeric portions. Bounds on the numeric and nominal error are developed to show theoretically that substantial gains in overall accuracy can be attained with the multi-step approach.
Keywords
41A17, 65G50, 65M12, computer experiment, emulation, Gaussian process, interpolation, large-scale problem, multi-step procedure, numerical technique, radial basis function, reproducing kernel Hilbert space
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