Root Finding and Metamodeling for Rapid and Robust Computer Model Calibration

TL;DR

This paper introduces a novel root finding and metamodeling framework for efficient and robust calibration of computer models, leveraging signed residuals, kriging, and sequential search space reduction to improve computational performance.

Contribution

It develops a new approximation method using signed residuals for root finding, integrates kriging and stochastic kriging with sequential search, and proposes new acquisition functions for calibration.

Findings

Significant computational gains over standard methods

Robust solutions with stochastic kriging

Effective root finding even when roots may not exist

Abstract

We concern computer model calibration problem where the goal is to find the parameters that minimize the discrepancy between the multivariate real-world and computer model outputs. We propose to solve an approximation using signed residuals that enables a root finding approach and an accelerated search. We characterize the distance of the solutions to the approximation from the solutions of the original problem for the strongly-convex objective functions, showing that it depends on variability of the signed residuals across output dimensions, as wells as their variance and covariance. We develop a metamodel-based root finding framework under kriging and stochastic kriging that is augmented with a sequential search space reduction. We derive three new acquisition functions for finding roots of the approximate problem along with their derivatives usable by first-order solvers. Compared to kriging, stochastic kriging accounts for observational noise, promoting more robust solutions. We also analyze the case where a root may not exist. Our analysis of the asymptotic behavior in this context show that, since existence of roots in the approximation problem may not be known a priori, using new acquisition functions will not compromise the outcome. Numerical experiments on data-driven and physics-based examples demonstrate significant computational gains over standard calibration approaches.