Expectation-Maximization Algorithm for the Calibration of Complex Simulator Using a Gaussian Process Emulator

Abstract

The approximated non-linear least squares (ALS) tunes or calibrates the computer model by minimizing the squared error between the computer output and real observations by using an emulator such as a Gaussian process (GP) model. A potential defect of the ALS method is that the emulator is constructed once and it is no longer re-built. An iterative method is proposed in this study to address this difficulty. In the proposed method, the tuning parameters of the simulation model are calculated by the conditional expectation (E-step), whereas the GP parameters are updated by the maximum likelihood estimation (M-step). These EM-steps are alternately repeated until convergence by using both computer and experimental data. For comparative purposes, another iterative method (the max-min algorithm) and a likelihood-based method are considered. Five toy models are tested for a comparative analysis of these methods. According to the toy model study, both the variance and bias of the estimates obtained from the proposed EM algorithm are smaller than those from the existing calibration methods. Finally, the application to a nuclear fusion simulator is demonstrated.