报告题目：Penalized Projected Kernel Calibration for Computer Models

报告所属学科：管理科学与工程

报告人：王彦（北京工业大学）

报告时间：2021年3月30日 10:00

报告地点：经管学院707室

报告摘要：

Projected kernel calibration is known to be theoretically superior, its loss function is abbreviated as PK loss function. In this work, we prove the uniform convergence of PK loss function and show that (1) when the sample size is large, any local minimum point and local maximum point of the $L_2$ loss between the true process and the computer models is a local minimum point of the PK loss function; (2) all the local minimum values of the PK loss function converge to the same value. These theoretical results imply that it is extremely hard for the projected kernel calibration to identify the global minimum point of the $L_2$ loss which is defined as the optimal value of the calibration parameters. To solve this problem, a frequentist method, called the penalized projected kernel calibration method is proposed. As a frequentist method, the proposed method is proved to be semi-parametric efficient. On the other hand, the proposed method has a natural bayesian version, which allows users to calculate the credible region of the calibration parameters without using a large sample approximation. Through extensive simulation studies and a real-world case study, we show that the proposed calibration can accurately estimate the calibration parameters, and compare favorably to alternative calibration methods regardless of the sample size.

报告人简介：

王彦博士现为北京工业大学统计与数据科学学院助理教授。2018年在中国科学院数学与系统科学研究院获得博士学位。2017年应吴建福教授邀请访问佐治亚理工学院工业工程系。2018年应Prof Tan Matthias Hwai-yong邀请访问香港城市大学系统与管理工程系。研究方向包括：计算机模型校准与纠偏；计算机模型全局最优化；非参数统计；不确定性量化等方向。