Efficient calibration for high-dimensional computer model output using basis methods (1906.05758v1)

Abstract: Calibration of expensive computer models with high-dimensional output fields can be approached via history matching. If the entire output field is matched, with patterns or correlations between locations or time points represented, calculating the distance metric between observational data and model output for a single input setting requires a time intensive inversion of a high-dimensional matrix. By using a low-dimensional basis representation rather than emulating each output individually, we define a metric in the reduced space that allows the implausibility for the field to be calculated efficiently, with only small matrix inversions required, using projection that is consistent with the variance specifications in the implausibility. We show that projection using the $L_2$ norm can result in different conclusions, with the ordering of points not maintained on the basis, with implications for both history matching and probabilistic methods. We demonstrate the scalability of our method through history matching of the Canadian atmosphere model, CanAM4, comparing basis methods to emulation of each output individually, showing that the basis approach can be more accurate, whilst also being more efficient.