Stochastic Computer Model Calibration and Uncertainty Quantification
This dissertation presents novel methodologies in the field of stochastic computer model calibration and uncertainty quantification. Simulation models are widely used in studying physical systems, which are often represented by a set of mathematical equations. Inference on true physical system (unob...
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ndltd-VTETD-oai-vtechworks.lib.vt.edu-10919-919852020-09-29T05:37:23Z Stochastic Computer Model Calibration and Uncertainty Quantification Fadikar, Arindam Statistics Higdon, David Mortveit, Henning S. Gramacy, Robert B. Marathe, Madhav Vishnu Computer model gaussian process sensitivity analysis epidemiology bayesian estimation mcmc This dissertation presents novel methodologies in the field of stochastic computer model calibration and uncertainty quantification. Simulation models are widely used in studying physical systems, which are often represented by a set of mathematical equations. Inference on true physical system (unobserved or partially observed) is drawn based on the observations from corresponding computer simulation model. These computer models are calibrated based on limited ground truth observations in order produce realistic predictions and associated uncertainties. Stochastic computer model differs from traditional computer model in the sense that repeated execution results in different outcomes from a stochastic simulation. This additional uncertainty in the simulation model requires to be handled accordingly in any calibration set up. Gaussian process (GP) emulator replaces the actual computer simulation when it is expensive to run and the budget is limited. However, traditional GP interpolator models the mean and/or variance of the simulation output as function of input. For a simulation where marginal gaussianity assumption is not appropriate, it does not suffice to emulate only the mean and/or variance. We present two different approaches addressing the non-gaussianity behavior of an emulator, by (1) incorporating quantile regression in GP for multivariate output, (2) approximating using finite mixture of gaussians. These emulators are also used to calibrate and make forward predictions in the context of an Agent Based disease model which models the Ebola epidemic outbreak in 2014 in West Africa. The third approach employs a sequential scheme which periodically updates the uncertainty inn the computer model input as data becomes available in an online fashion. Unlike other two methods which use an emulator in place of the actual simulation, the sequential approach relies on repeated run of the actual, potentially expensive simulation. Doctor of Philosophy Mathematical models are versatile and often provide accurate description of physical events. Scientific models are used to study such events in order to gain understanding of the true underlying system. These models are often complex in nature and requires advance algorithms to solve their governing equations. Outputs from these models depend on external information (also called model input) supplied by the user. Model inputs may or may not have a physical meaning, and can sometimes be only specific to the scientific model. More often than not, optimal values of these inputs are unknown and need to be estimated from few actual observations. This process is known as inverse problem, i.e. inferring the input from the output. The inverse problem becomes challenging when the mathematical model is stochastic in nature, i.e., multiple execution of the model result in different outcome. In this dissertation, three methodologies are proposed that talk about the calibration and prediction of a stochastic disease simulation model which simulates contagion of an infectious disease through human-human contact. The motivating examples are taken from the Ebola epidemic in West Africa in 2014 and seasonal flu in New York City in USA. 2019-07-25T08:00:28Z 2019-07-25T08:00:28Z 2019-07-24 Dissertation vt_gsexam:21559 http://hdl.handle.net/10919/91985 In Copyright http://rightsstatements.org/vocab/InC/1.0/ ETD application/pdf application/pdf application/pdf application/pdf Virginia Tech |
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Computer model gaussian process sensitivity analysis epidemiology bayesian estimation mcmc |
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Computer model gaussian process sensitivity analysis epidemiology bayesian estimation mcmc Fadikar, Arindam Stochastic Computer Model Calibration and Uncertainty Quantification |
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This dissertation presents novel methodologies in the field of stochastic computer model calibration and uncertainty quantification. Simulation models are widely used in studying physical systems, which are often represented by a set of mathematical equations. Inference on true physical system (unobserved or partially observed) is drawn based on the observations from corresponding computer simulation model. These computer models are calibrated based on limited ground truth observations in order produce realistic predictions and associated uncertainties. Stochastic computer model differs from traditional computer model in the sense that repeated execution results in different outcomes from a stochastic simulation. This additional uncertainty in the simulation model requires to be handled accordingly in any calibration set up.
Gaussian process (GP) emulator replaces the actual computer simulation when it is expensive to run and the budget is limited. However, traditional GP interpolator models the mean and/or variance of the simulation output as function of input. For a simulation where marginal gaussianity assumption is not appropriate, it does not suffice to emulate only the mean and/or variance. We present two different approaches addressing the non-gaussianity behavior of an emulator, by (1) incorporating quantile regression in GP for multivariate output, (2) approximating using finite mixture of gaussians. These emulators are also used to calibrate and make forward predictions in the context of an Agent Based disease model which models the Ebola epidemic outbreak in 2014 in West Africa.
The third approach employs a sequential scheme which periodically updates the uncertainty inn the computer model input as data becomes available in an online fashion. Unlike other two methods which use an emulator in place of the actual simulation, the sequential approach relies on repeated run of the actual, potentially expensive simulation. === Doctor of Philosophy === Mathematical models are versatile and often provide accurate description of physical events. Scientific models are used to study such events in order to gain understanding of the true underlying system. These models are often complex in nature and requires advance algorithms to solve their governing equations. Outputs from these models depend on external information (also called model input) supplied by the user. Model inputs may or may not have a physical meaning, and can sometimes be only specific to the scientific model. More often than not, optimal values of these inputs are unknown and need to be estimated from few actual observations. This process is known as inverse problem, i.e. inferring the input from the output. The inverse problem becomes challenging when the mathematical model is stochastic in nature, i.e., multiple execution of the model result in different outcome. In this dissertation, three methodologies are proposed that talk about the calibration and prediction of a stochastic disease simulation model which simulates contagion of an infectious disease through human-human contact. The motivating examples are taken from the Ebola epidemic in West Africa in 2014 and seasonal flu in New York City in USA. |
author2 |
Statistics |
author_facet |
Statistics Fadikar, Arindam |
author |
Fadikar, Arindam |
author_sort |
Fadikar, Arindam |
title |
Stochastic Computer Model Calibration and Uncertainty Quantification |
title_short |
Stochastic Computer Model Calibration and Uncertainty Quantification |
title_full |
Stochastic Computer Model Calibration and Uncertainty Quantification |
title_fullStr |
Stochastic Computer Model Calibration and Uncertainty Quantification |
title_full_unstemmed |
Stochastic Computer Model Calibration and Uncertainty Quantification |
title_sort |
stochastic computer model calibration and uncertainty quantification |
publisher |
Virginia Tech |
publishDate |
2019 |
url |
http://hdl.handle.net/10919/91985 |
work_keys_str_mv |
AT fadikararindam stochasticcomputermodelcalibrationanduncertaintyquantification |
_version_ |
1719344745941041152 |