Quantifying Simulator Discrepancy in Discrete-Time Dynamical Simulators

  • Richard D. Wilkinson
  • Michail Vrettas
  • Dan Cornford
  • Jeremy E. Oakley
Article

Abstract

When making predictions with complex simulators it can be important to quantify the various sources of uncertainty. Errors in the structural specification of the simulator, for example due to missing processes or incorrect mathematical specification, can be a major source of uncertainty, but are often ignored. We introduce a methodology for inferring the discrepancy between the simulator and the system in discrete-time dynamical simulators. We assume a structural form for the discrepancy function, and show how to infer the maximum-likelihood parameter estimates using a particle filter embedded within a Monte Carlo expectation maximization (MCEM) algorithm. We illustrate the method on a conceptual rainfall-runoff simulator (logSPM) used to model the Abercrombie catchment in Australia. We assess the simulator and discrepancy model on the basis of their predictive performance using proper scoring rules. This article has supplementary material online.

Key Words

Model error Rainfall-runoff model Monte Carlo EM algorithm 

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Copyright information

© International Biometric Society 2011

Authors and Affiliations

  • Richard D. Wilkinson
    • 1
  • Michail Vrettas
    • 1
  • Dan Cornford
    • 2
  • Jeremy E. Oakley
    • 3
  1. 1.School of Mathematical SciencesUniversity of NottinghamNottinghamUK
  2. 2.Department of Engineering and Applied ScienceAston UniversityBirminghamUK
  3. 3.School of Mathematics and StatisticsUniversity of SheffieldSheffieldUK

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