An adaptive strategy for sequential designs of multilevel computer experiments

Investigating uncertainties in computer simulations can be prohibitive in terms of computational costs, since the simulator needs to be run over a large number of input values. Building an emulator, i.e. a statistical surrogate model of the simulator, using a small design of experiments, greatly alleviates the computational burden to carry out such investigations. Nevertheless, this can still be above the computational budget for many studies. Two major approaches have been used are to reduce the budget needed to build the emulator: efficient design of experiments, such as sequential designs, and combining training data of different degrees of sophistication in a so-called multi-fidelity method, or multilevel in case these fidelities are ordered typically for increasing resolutions. We present here a novel method that combines both approaches, the multilevel adaptive sequential design of computer experiments (MLASCE) in the framework of Gaussian process (GP) emulators. We make use of reproducing kernel Hilbert spaces as a new tool for our GP approximations of the increments across levels. This dual strategy allows us to allocate efficiently limited computational resource over simulations of different levels of fidelity and build the GP emulator. The allocation of computational resources is shown to be the solution of a simple optimization problem in a special case where we theoretically prove the validity of our approach. Our proposed method is compared with other existing models of multi-fidelity Gaussian process emulation. Gains of orders of magnitudes in accuracy for medium-size computing budgets are demonstrated in numerical examples.