Numerical studies of the metamodel fitting and validation processes

Complex computer codes, for instance simulating physical phenomena, are often too time expensive to be directly used to perform uncertainty, sensitivity, optimization and robustness analyses. A widely accepted method to circumvent this problem consists in replacing cpu time expensive computer models by cpu inexpensive mathematical functions, called metamodels. In this paper, we focus on the Gaussian process metamodel and two essential steps of its definition phase. First, the initial design of the computer code input variables (which allows to fit the metamodel) has to honor adequate space filling properties. We adopt a numerical approach to compare the performance of different types of space filling designs, in the class of the optimal Latin hypercube samples, in terms of the predictivity of the subsequent fitted metamodel. We conclude that such samples with minimal wrap-around discrepancy are particularly well-suited for the Gaussian process metamodel fitting. Second, the metamodel validation process consists in evaluating the metamodel predictivity with respect to the initial computer code. We propose and test an algorithm which optimizes the distance between the validation points and the metamodel learning points in order to estimate the true metamodel predictivity with a minimum number of validation points. Comparisons with classical validation algorithms and application to a nuclear safety computer code show the relevance of this new sequential validation design.