STAMPS@CMU presents:

Computer Model Emulation And Uncertainty Quantification Using A Deep Gaussian Process

by Derek Bingham (Department of Statistics and Actuarial Science, Simon Fraser University)

Online webinar March 18, 2022 at 1:30-2:30 PM ET.
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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.

Bio

Derek is a Professor of Statistics and Actuarial Science at Simon Fraser University. He completed his PhD in Statistics in 1999 with Randy Sitter at SFU on the design and analysis of fractional factorial split-plot experiments. After graduating, he moved to the Department of Statistics at the University of Michigan as an Assistant Professor. In 2003, he joined the Department of Statistics and Actuarial Science at Simon Fraser as the Canada Research Chair in Industrial Statistics.
The focus of his current research is developing statistical methods for combining physical observations with large-scale computer simulators. This includes new methodology for Bayesian computer model calibration, emulation, uncertainty quantification and experimental design. His work is generally motivated by real-world applications. His recent collaborations have been with scientists at USA national laboratories (Argonne National Lab and Los Alamos National Lab) and also USA Department of Energy sponsored projects (Center for Radiative Shock Hydrodynamics; Center for Exascale Radiation Transport).