Bayesian forecasting for complex systems using computer simulators

Craig, P.S.; Goldstein, M.; Rougier, J.C.; Seheult, A.H.

Abstract

Although computer models are often used for forecasting future outcomes of complex systems, the uncertainties in such forecasts are not usually treated formally. We describe a general Bayesian approach for using a computer model or simulator of a complex system to forecast system outcomes. The approach is based on constructing beliefs derived from a combination of expert judgments and experiments on the computer model. These beliefs, which are systematically updated as we make runs of the computer model, are used for either Bayesian or Bayes linear forecasting for the system. Issues of design and diagnostics are described in the context of forecasting. The methodology is applied to forecasting for an active hydrocarbon reservoir.

Citation

Craig, P., Goldstein, M., Rougier, J., & Seheult, A. (2001). Bayesian forecasting for complex systems using computer simulators. Journal of the American Statistical Association, 96(454), 717-729. https://doi.org/10.1198/016214501753168370

• Journal Article Type: Article
• Publication Date: Jun 1, 2001
• Deposit Date: Apr 25, 2007
• Journal: Journal of the American Statistical Association
• Print ISSN: 0162-1459
• Electronic ISSN: 1537-274X
• Publisher: Taylor and Francis Group
• Peer Reviewed: Peer Reviewed
• Volume: 96
• Issue: 454
• Pages: 717-729
• DOI: https://doi.org/10.1198/016214501753168370
• Public URL: https://durham-repository.worktribe.com/output/1598919