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        Multi-fidelity Modelling via Recursive Co-kriging and Gasussian-Markov Random Fields

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        Author
        Royset, J.O.
        Perdikaris, P.
        Venturi, D.
        Karniadakis, G.E.
        Date
        2015-06-02
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        Abstract
        We propose a new framework for design under uncertainty based on stochastic computer simulations and multi-level recursive co-kriging. The proposed methodology simultaneously takes into account multi-fidelity in models, such as direct numerical simulations versus empirical formulae, as well as multi-fidelity in the probability space (e.g. sparse grids versus tensor product multi-element probabilistic collocation). We are able to construct response surfaces of complex dynamical systems by blending multiple information sources via auto-regressive stochastic modelling. A computationally efficient machine learning framework is developed based on multi-level recursive co-kriging with sparse precision matrices of Gaussian–Markov random fields. The effectiveness of the new algorithms is demonstrated in numerical examples involving a prototype problem in risk-averse design, regression of random functions, as well as uncertainty quantification in fluid mechanics involving the evolution of a Burgers equation from a random initial state, and random laminar wakes behind circular cylinders.
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        The article of record as published may be found at http://dx.doi.org/10.1098/rspa.2015.0018
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        http://hdl.handle.net/10945/48691
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