Cokriging for multivariate Hilbert space valued random fields. Application to multifidelity computer code emulation

59/2017

Cokriging for multivariate Hilbert space valued random fields. Application to multifidelity computer code emulation

Friday 3rd November 2017

Grujic, O.; Menafoglio, A.; Guang, Y.; Caers, J.

In this paper we propose Universal trace co-kriging (UTrCoK), a novel methodology for interpolation of multivariate Hilbert space valued functional data. Such data commonly arises in multi-fidelity numerical modeling of the subsurface and it is a part of many modern uncertainty quantification studies. Besides theoretical developments we also present methodological evaluation and comparisons with the recently published projection based approach by Bohorquez et al (2016). Our evaluations and analyses were performed on synthetic (oil reservoir) and real field (Uranium contamination) subsurface uncertainty quantification case studies. Monte Carlo analyses were conducted to draw important conclusions and to provide practical guidelines for all future practitioners.

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Pre-print of an article accepted for publication in Stoch Environ Res Risk Assess