Bayesian forecasting for complex systems using computer simulators

• 成果类型: Article
• 署名作者: Craig, PS; Goldstein, M; Rougier, JC; Seheult, AH
• 署名单位: Durham University
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1198/016214501753168370
• 发表日期: 2001
• 页码: 717-729
• 关键词: design

摘要

Although computer models are often used for forecasting future outcomes of complex systems, the uncertainties in such forecasts are not usually treated formally. We describe a general Bayesian approach for using a computer model or simulator of a complex system to forecast system outcomes. The approach is based on constructing beliefs derived from a combination of expert judgments and experiments on the computer model. These beliefs, which are systematically updated as we make runs of the computer model, are used for either Bayesian or Bayes linear forecasting for the system. Issues of design and diagnostics are described in the context of forecasting. The methodology is applied to forecasting for an active hydrocarbon reservoir.