Implementation of the ideas of Oakley and O'Hagan 2002:
var.conditional()
calculates the conditional variancecovariance
matrix, and cond.sample()
samples from the appropriate
multivariate t distribution.
1 2 3 4  cond.sample(n = 1, x, xold, d, A, Ainv, scales = NULL, pos.def.matrix =
NULL, func = regressor.basis, ...)
var.conditional(x, xold, d, A, Ainv, scales = NULL, pos.def.matrix = NULL,
func = regressor.basis, distance.function = corr, ...)

n 
In function 
x 
Simulation design points 
xold 
Design points 
d 
Data vector 
A 
Correlation matrix 
Ainv 
Inverse of correlation matrix A 
scales 
Roughness lengths 
pos.def.matrix 
Positive definite matrix of correlations 
func 
Function to calculate H 
distance.function 
Distance function (defaulting to 
... 
Further arguments passed to the distance function, usually 
We wish to generate the distribution for the process at uncertain
point x
; uncertainty in x
is captured by assuming it to
be drawn from a pdf X
.
The basic idea is to estimate m* at simulated design
points using cond.sample()
, which samples from the multivariate
t distribution conditional on the data d
at the design points.
The random datavector of estimates m* is called ddash
.
We repeat this process many times, each time estimating
eta(.) using the augmented dataset
c(d,ddash)
as a training set.
For each estimated eta(.), we have a complete emulator that can be used to build up an ensemble of estimates.
Function cond.sample()
returns a n*p matrix
whose rows are independent samples from the appropriate multivariate
t distribution. Here, p is the number of rows of x
(ie the number of simulated design points). Consider a case where there
are just two simulated design points, close to each other but far from
any point of the original design points. Then function
cond.sample(n=4, ...)
will give four numbers which are close to
one another but have high (betweeninstantiation) variance.
Function var.conditional()
calculates the denominator of equation
3 of Oakley and OHagan 2002. This function is intended to be called by
cond.sample()
but might be interesting per se when
debugging or comparing different choices of simulated design points.
Function cond.sample()
and var.conditional()
together
are a superset of function interpolant()
because it accounts
for covariance between multiple observations. It is, however, much
slower.
Also note that these functions are used to good effect in the examples
section of oo2002.Rd
.
Robin K. S. Hankin
J. Oakley 2002. Bayesian inference for the uncertainty distribution of computer model outputs. Biometrika, 89(4):769–784
R. K. S. Hankin 2005. Introducing BACCO, an R bundle for Bayesian analysis of computer code output, Journal of Statistical Software, 14(16)
regressor.basis
, for a more visually informative
example of cond.sample()
et seq; and interpolant
for more examples
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91  # Now we use the functions. First we set up some design points:
# Suppose we are given the toy dataset and want to know the PDF of
# fourth power of the response at point x, where uncertainty in x
# may be represented as it being drawn from a normnl distribution
# with mean c(0.5,0.5,...,0.5) and a variance of 0.001.
data(toy)
val < toy
real.relation < function(x){sum( (0:6)*x )}
H < regressor.multi(val)
d < apply(H,1,real.relation)
# and some scales (which are assumed to be known):
fish < rep(1,6)
fish[6] < 4
# And determine A and Ainv:
A < corr.matrix(val,scales=fish)
Ainv < solve(A)
# and add some suitably correlated Gaussian noise:
d.noisy < as.vector(rmvnorm(n=1, mean=d, 0.1*A))
names(d.noisy) < names(d)
# Now some simulation design points. Choose n'=6:
xdash < matrix(runif(36),ncol=6)
# And just for fun, we insert a nearuseless seventh simulation
# design point (it is nearly useless because it is a near copy of
# the sixth). We do this in order to test the coding:
xdash < rbind(xdash,xdash[6,] + 1e4)
colnames(xdash) < colnames(val)
rownames(xdash) < c("alpha","beta","gamma","delta","epsilon","zeta","zeta.copy")
# Print the variance matrix:
(vm < var.conditional(x=xdash,xold=val,d=d.noisy,A=A,Ainv=Ainv,scales=fish))
# Note that the sixth and seventh columns are almost identical
# (and so, therefore, are the sixth and seventh rows) as
# expected.
# Also, the final eigenvalue of vm should be small:
eigen(vm)$values
# Now sample from the conditional tdistribution. Taking n=3 samples:
(cs < cond.sample(n=3, x=xdash, xold=val, d=d.noisy, A=A, Ainv=Ainv,
scales = fish, func = regressor.basis))
# Note the last two columns are nearly identical, as expected.
# Just as a test, what is the variance matrix at the design points?
(vc < var.conditional(x=val,xold=val,d=d.noisy,A=A,Ainv=Ainv,scales=fish))
# (This should be exactly zero);
max(eigen(vc)$values)
# should be small
# Next, we apply the methods of OO2002 using Monte Carlo techniques.
# We will generate 10 different versions of eta:
number.of.eta < 10
# And, for each eta, we will sample from the posterior t distribution 11 times:
number.of.X < 11
# create an augmented design matrix, of the design points plus the
# simulated design points:
design.augmented < rbind(val,xdash)
A.augmented < corr.matrix(design.augmented, scales=fish)
Ainv.augmented < solve(A.augmented)
out < NULL
for(i in seq_len(number.of.eta)){
# Create random data by sampling from the conditional
# multivariate t at the simulated design points xdash, from
# the tdistribution given the data d:
ddash < cond.sample(n=1, x=xdash, xold=val, d=d.noisy, Ainv=Ainv, scales=fish)
# Now use the emulator to calculate m^* at points chosen from
# the PDF of X:
jj <
interpolant.quick(x=rmvnorm(n=number.of.X,rep(0.5,6),diag(6)/1000),
d=c(d.noisy,ddash),
xold=design.augmented,
Ainv=Ainv.augmented,
scales=fish)
out < c(out,jj)
}
# histogram of the fourth power:
hist(out^4, col="gray")
# See oo2002 for another example of cond.sample() in use

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.
Please suggest features or report bugs with the GitHub issue tracker.
All documentation is copyright its authors; we didn't write any of that.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.