We propose a new multi-fidelity Gaussian process regression (GPR) approach for prediction of random fields based on observations of surrogate models or hierarchies of surrogate models. Our method builds upon recent work on recursive Bayesian techniques, in particular recursive co-kriging, and extends it to vector-valued fields and various types of covariances, including separable and non-separable ones. The framework we propose is general and can be used to perform uncertainty propagation and quantification in model-based simulations, multi-fidelity data fusion, and surrogate-based optimization. We demonstrate the effectiveness of the proposed recursive GPR techniques through various examples. Specifically, we study the stochastic Burgers equation and the stochastic Oberbeck–Boussinesq equations describing natural convection within a square enclosure. In both cases we find that the standard deviation of the Gaussian predictors as well as the absolute errors relative to benchmark stochastic solutions are very small, suggesting that the proposed multi-fidelity GPR approaches can yield highly accurate results.
