Integrating Computer and Physical Experiment Data

Abstract

Abstract The investigation of complex physical systems utilizing sophisticated computer models has become commonplace with the advent of modern computational facilities. In many applications, experimental data on the physical systems of interest is extremely expensive to obtain and hence is available in limited quantities. The mathematical systems implemented by the computer models often include parameters having uncertain values. This article provides an overview of statistical methodology for calibrating uncertain parameters to experimental data. This approach assumes that prior knowledge about such parameters is represented as a probability distribution, and the experimental data is used to refine our knowledge about these parameters, expressed as a posterior distribution. Uncertainty quantification for computer model predictions of the physical system are based fundamentally on this posterior distribution. Computer models are generally not perfect representations of reality for a variety of reasons, such as inadequacies in the physical modeling of some processes in the dynamic system. The statistical model includes components that identify and adjust for such discrepancies. A standard approach to statistical modeling of computer model output for unsampled inputs is introduced for the common situation where limited computer model runs are available. Extensions of the statistical methods to functional outputs are available and discussed briefly.