Bayesian analysis of hierarchical multi-fidelity codes.

This paper deals with the Gaussian process based approximation of a code which can be run at different levels of accuracy. This method, which is a particular case of co-kriging, allows us to improve a surrogate model of a complex computer code using fast approximations of it. In particular, we focus on the case of a large number of code levels on the one hand and on a Bayesian approach when we have two levels on the other hand. The main results of this paper are a new approach to estimate the mo