On Uncertainty Quantification for Systems of Computer Models

Scientific inquiry about natural phenomena and processes are increasingly relying on the use of computer models as simulators of such processes. The challenge of using computer models for scientific investigation is that they are expensive in terms of computational cost and resources. However, the core methodology of fast statistical emulation (approximation) of a computer model overcomes this computational problem.

Complex phenomena and processes are often described not by a single computer model, but by a system of computer models or simulators. Direct emulation of a system of simulators may be infeasible for computational and logistical reasons.

This thesis proposes a statistical framework for fast emulation of systems of computer models and demonstrates its potential for inferential and predictive scientific goals.

The first chapter of the thesis introduces the Gaussian stochastic process (GaSP) emulator of a single simulator and summarizes ideas and findings in the rest of the thesis. The second chapter investigates the possibility of using independent GaSP emulators of computer models for fast construction of emulators of systems of computer models. The resulting approximation to a system of computer models is called the linked emulator. The third chapter discusses the irrelevance of attempting to model multivariate output of a computer model, for the purpose of emulation of that model. The linear model of coregionalization (LMC) is used to demonstrate this irrelevance, from both a theoretical perspective and from simulation studies. The fourth chapter introduces a framework for calibration of a system of computer models, using its linked emulator. The linked emulator allows for development of independent emulators of submodels on their own separately constructed design spaces, thus leading to effective dimension reduction in explored parameter space. The fifth chapter addresses the use of some non-Gaussian emulators, in particular censored and truncated GaSP emulators. The censored emulator is constructed to appropriately account for zero-inflated output of a computer model, arising when there are large regions of the input space for which the computer model output is zero. The truncated GaSP accommodates computer model output that is constrained to appear in a certain region. The linked emulator, for systems of computer models whose individual subemulators are either censored or truncated, is also presented. The last chapter concludes with an exposition of further research directions based on the ideas explored in the thesis.

The methodology developed in this thesis is illustrated by an application to quantification of the hazard from pyroclastic flow from the Soufri\`{e}re Hills Volcano on the island of Montserrat; a case study on prediction of volcanic ash transport and dispersal from the Eyjafjallaj{\"o}kull volcano, Iceland in April 14-16, 2010; and calibration of a vapour-liquid equilibrium model, a submodel of the Aspen Plus \textcopyright~chemical process software for design and deployment of amine-based $\mathrm{CO_2}$ capture systems.