IDEAS home Printed from https://ideas.repec.org/a/eee/reensy/v91y2006i10p1290-1300.html
   My bibliography  Save this article

Bayesian analysis of computer code outputs: A tutorial

Author

Listed:
  • O’Hagan, A.

Abstract

The Bayesian approach to quantifying, analysing and reducing uncertainty in the application of complex process models is attracting increasing attention amongst users of such models. The range and power of the Bayesian methods is growing and there is already a sizeable literature on these methods. However, most of it is in specialist statistical journals. The purpose of this tutorial is to introduce the more general reader to the Bayesian approach.

Suggested Citation

  • O’Hagan, A., 2006. "Bayesian analysis of computer code outputs: A tutorial," Reliability Engineering and System Safety, Elsevier, vol. 91(10), pages 1290-1300.
    • Handle: RePEc:eee:reensy:v:91:y:2006:i:10:p:1290-1300
    DOI: 10.1016/j.ress.2005.11.025
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0951832005002383
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.ress.2005.11.025?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Jeremy E. Oakley & Anthony O'Hagan, 2004. "Probabilistic sensitivity analysis of complex models: a Bayesian approach," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(3), pages 751-769, August.
    2. Jeremy Oakley, 2002. "Bayesian inference for the uncertainty distribution of computer model outputs," Biometrika, Biometrika Trust, vol. 89(4), pages 769-784, December.
    3. Marc C. Kennedy & Anthony O'Hagan, 2001. "Bayesian calibration of computer models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(3), pages 425-464.
    4. Jeremy Oakley, 2004. "Estimating percentiles of uncertain computer code outputs," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 53(1), pages 83-93, January.
    5. Craig P. S & Goldstein M. & Rougier J. C & Seheult A. H, 2001. "Bayesian Forecasting for Complex Systems Using Computer Simulators," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 717-729, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jakub Bijak & Jason D. Hilton & Eric Silverman & Viet Dung Cao, 2013. "Reforging the Wedding Ring," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 29(27), pages 729-766.
    2. Petropoulos, G. & Wooster, M.J. & Carlson, T.N. & Kennedy, M.C. & Scholze, M., 2009. "A global Bayesian sensitivity analysis of the 1d SimSphere soil–vegetation–atmospheric transfer (SVAT) model using Gaussian model emulation," Ecological Modelling, Elsevier, vol. 220(19), pages 2427-2440.
    3. V. J. Roelofs & M. C. Kennedy, 2011. "Sensitivity Analysis and Estimation of Extreme Tail Behavior in Two‐Dimensional Monte Carlo Simulation," Risk Analysis, John Wiley & Sons, vol. 31(10), pages 1597-1609, October.
    4. Reichert, P. & White, G. & Bayarri, M.J. & Pitman, E.B., 2011. "Mechanism-based emulation of dynamic simulation models: Concept and application in hydrology," Computational Statistics & Data Analysis, Elsevier, vol. 55(4), pages 1638-1655, April.
    5. Priscilla Avegliano & Jaime Simão Sichman, 2023. "Equation-Based Versus Agent-Based Models: Why Not Embrace Both for an Efficient Parameter Calibration?," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 26(4), pages 1-3.
    6. Storlie, Curtis B. & Reich, Brian J. & Helton, Jon C. & Swiler, Laura P. & Sallaberry, Cedric J., 2013. "Analysis of computationally demanding models with continuous and categorical inputs," Reliability Engineering and System Safety, Elsevier, vol. 113(C), pages 30-41.
    7. Xiaoyu Xiong & Benjamin D. Youngman & Theodoros Economou, 2021. "Data fusion with Gaussian processes for estimation of environmental hazard events," Environmetrics, John Wiley & Sons, Ltd., vol. 32(3), May.
    8. Campbell, Katherine, 2006. "Statistical calibration of computer simulations," Reliability Engineering and System Safety, Elsevier, vol. 91(10), pages 1358-1363.
    9. Ioannis Andrianakis & Ian R Vernon & Nicky McCreesh & Trevelyan J McKinley & Jeremy E Oakley & Rebecca N Nsubuga & Michael Goldstein & Richard G White, 2015. "Bayesian History Matching of Complex Infectious Disease Models Using Emulation: A Tutorial and a Case Study on HIV in Uganda," PLOS Computational Biology, Public Library of Science, vol. 11(1), pages 1-18, January.
    10. Marc Kennedy & Clive Anderson & Anthony O'Hagan & Mark Lomas & Ian Woodward & John Paul Gosling & Andreas Heinemeyer, 2008. "Quantifying uncertainty in the biospheric carbon flux for England and Wales," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 171(1), pages 109-135, January.
    11. Kennedy, Marc C. & Anderson, Clive W. & Conti, Stefano & O’Hagan, Anthony, 2006. "Case studies in Gaussian process modelling of computer codes," Reliability Engineering and System Safety, Elsevier, vol. 91(10), pages 1301-1309.
    12. Antony M. Overstall & David C. Woods, 2016. "Multivariate emulation of computer simulators: model selection and diagnostics with application to a humanitarian relief model," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 65(4), pages 483-505, August.
    13. Andrianakis, Ioannis & Challenor, Peter G., 2012. "The effect of the nugget on Gaussian process emulators of computer models," Computational Statistics & Data Analysis, Elsevier, vol. 56(12), pages 4215-4228.
    14. Shahsavani, D. & Grimvall, A., 2009. "An adaptive design and interpolation technique for extracting highly nonlinear response surfaces from deterministic models," Reliability Engineering and System Safety, Elsevier, vol. 94(7), pages 1173-1182.
    15. Raymond K. W. Wong & Curtis B. Storlie & Thomas C. M. Lee, 2017. "A frequentist approach to computer model calibration," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(2), pages 635-648, March.
    16. Nott, David J. & Marshall, Lucy & Fielding, Mark & Liong, Shie-Yui, 2014. "Mixtures of experts for understanding model discrepancy in dynamic computer models," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 491-505.
    17. Matieyendou Lamboni, 2024. "Optimal Estimators of Cross-Partial Derivatives and Surrogates of Functions," Stats, MDPI, vol. 7(3), pages 1-22, July.
    18. Wei Xie & Barry L. Nelson & Russell R. Barton, 2014. "A Bayesian Framework for Quantifying Uncertainty in Stochastic Simulation," Operations Research, INFORMS, vol. 62(6), pages 1439-1452, December.
    19. SungKu Kang & Ran Jin & Xinwei Deng & Ron S. Kenett, 2023. "Challenges of modeling and analysis in cybermanufacturing: a review from a machine learning and computation perspective," Journal of Intelligent Manufacturing, Springer, vol. 34(2), pages 415-428, February.
    20. Manfren, Massimiliano & Aste, Niccolò & Moshksar, Reza, 2013. "Calibration and uncertainty analysis for computer models – A meta-model based approach for integrated building energy simulation," Applied Energy, Elsevier, vol. 103(C), pages 627-641.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:reensy:v:91:y:2006:i:10:p:1290-1300. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://www.journals.elsevier.com/reliability-engineering-and-system-safety .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.