Colloquium - Derek Bingham - Computer Model Emulation and Uncertainty Quantification Using a Deep Gaussian Process
Title: Computer Model Emulation and Uncertainty Quantification Using a Deep Gaussian Process
Abstract: Computer models are often used to explore physical systems. Increasingly, there are cases where the model is fast, the code is not readily accessible to scientists, but a large suite of model evaluations is available. In these cases, an "emulator" is used to stand in for the computer model. This work was motivated by a simulator for the chirp mass of binary black hole mergers where no output is observed for large portions of the input space and more than 10^6 simulator evaluations are available. This poses two problems: (i) the need to address the discontinuity when observing no chirp mass; and (ii) performing statistical inference with a large number of simulator evaluations. The traditional approach for emulation is to use a stationary Gaussian process (GP) because it provides a foundation for uncertainty quantification for deterministic systems. We explore the impact of the choices when setting up the deep GP on posterior inference and apply the proposed approach to the real application.
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