In this paper, we are concerned with the quantification of uncertainties that arise from intra-day oscillations in the demand for natural gas transported through large-scale networks. The short-term transient dynamics of the gas flow is modelled by a hierarchy of hyperbolic systems of balance laws based on the isentropic Euler equations. We extend a novel adaptive strategy for solving elliptic PDEs with random data, recently proposed and analysed by Lang, Scheichl, and Silvester [J. Comput. Phys., 419:109692, 2020], to uncertain gas transport problems. Sample-dependent adaptive meshes and a model refinement in the physical space is combined with adaptive anisotropic sparse Smolyak grids in the stochastic space. A single-level approach which balances the discretization errors of the physical and stochastic approximations and a multilevel approach which additionally minimizes the computational costs are considered. Two examples taken from a public gas library demonstrate the reliability of the error control of expectations calculated from random quantities of interest, and the further use of stochastic interpolants to, e.g., approximate probability density functions of minimum and maximum pressure values at the exits of the network.
We propose and analyse a fully adaptive strategy for solving elliptic PDEs with random data in this work. A hierarchical sequence of adaptive mesh refinements for the spatial approximation is combined with adaptive anisotropic sparse Smolyak grids in the stochastic space in such a way as to minimize the computational cost. The novel aspect of our strategy is that the hierarchy of spatial approximations is sample dependent so that the computational effort at each collocation point can be optimised individually. We outline a rigorous analysis for the convergence and computational complexity of t…
A multilevel adaptive refinement strategy for solving linear elliptic partial differential equations with random data is recalled in this work. The strategy extends the a posteriori error estimation framework introduced by Guignard and Nobile in 2018 (SIAM J. Numer. Anal, 56, 3121--3143) to cover problems with a nonaffine parametric coefficient dependence. A suboptimal, but nonetheless reliable and convenient implementation of the strategy involves approximation of the decoupled PDE problems with a common finite element approximation space. Computational results obtained using such a single-le…
An optimal experimental set-up maximizes the value of data for statistical inferences and predictions. The efficiency of strategies for finding optimal experimental set-ups is particularly important for experiments that are time-consuming or expensive to perform. For instance, in the situation when the experiments are modeled by Partial Differential Equations (PDEs), multilevel methods have been proven to dramatically reduce the computational complexity of their single-level counterparts when estimating expected values. For a setting where PDEs can model experiments, we propose two multilevel …
High Dimensional Uncertainty Quantification for an Electrothermal Field Problem using Stochastic Collocation on Sparse Grids and Tensor Train Decompositions
A general adaptive refinement strategy for solving linear elliptic partial differential equation with random data is proposed and analysed herein. The adaptive strategy extends the a posteriori error estimation framework introduced by Guignard and Nobile in 2018 (SIAM J. Numer. Anal., 56, 3121--3143) to cover problems with a nonaffine parametric coefficient dependence. A suboptimal, but nonetheless reliable and convenient implementation of the strategy involves approximation of the decoupled PDE problems with a common finite element approximation space. Computational results obtained using suc…
We consider the problem of quantifying uncertainty regarding the output of an electromagnetic field problem in the presence of a large number of uncertain input parameters. In order to reduce the growth in complexity with the number of dimensions, we employ a dimension-adaptive stochastic collocation method based on nested univariate nodes. We examine the accuracy and performance of collocation schemes based on Clenshaw-Curtis and Leja rules, for the cases of uniform and bounded, non-uniform random inputs, respectively. Based on numerical experiments with an academic electromagnetic field mode…
In this paper, we address the problem of predicting complex, nonlinear spatiotemporal dynamics when available data is recorded at irregularly-spaced sparse spatial locations. Most of the existing deep learning models for modeling spatiotemporal dynamics are either designed for data in a regular grid or struggle to uncover the spatial relations from sparse and irregularly-spaced data sites. We propose a deep learning model that learns to predict unknown spatiotemporal dynamics using data from sparsely-distributed data sites. We base our approach on Radial Basis Function (RBF) collocation method…
In this paper, we present an adaptive algorithm to construct response surface approximations of high-fidelity models using a hierarchy of lower fidelity models. Our algorithm is based on multi-index stochastic collocation and automatically balances physical discretization error and response surface error to construct an approximation of model outputs. This surrogate can be used for uncertainty quantification (UQ) and sensitivity analysis (SA) at a fraction of the cost of a purely high-fidelity approach. We demonstrate the effectiveness of our algorithm on a canonical test problem from the UQ l…
Efficient uncertainty quantification algorithms are key to understand the propagation of uncertainty -- from uncertain input parameters to uncertain output quantities -- in high resolution mathematical models of brain physiology. Advanced Monte Carlo methods such as quasi Monte Carlo (QMC) and multilevel Monte Carlo (MLMC) have the potential to dramatically improve upon standard Monte Carlo (MC) methods, but their applicability and performance in biomedical applications is underexplored. In this paper, we design and apply QMC and MLMC methods to quantify uncertainty in a convection-diffusion m…
This paper presents a comparison of two methods for the forward uncertainty quantification (UQ) of complex industrial problems. Specifically, the performance of Multi-Index Stochastic Collocation (MISC) and adaptive multi-fidelity Stochastic Radial Basis Functions (SRBF) surrogates is assessed for the UQ of a roll-on/roll-off passengers ferry advancing in calm water and subject to two operational uncertainties, namely the ship speed and draught. The estimation of expected value, standard deviation, and probability density function of the (model-scale) resistance is presented and discussed; the…
This paper presents a comparison of two multi-fidelity methods for the forward uncertainty quantification of a naval engineering problem. Specifically, we consider the problem of quantifying the uncertainty of the hydrodynamic resistance of a roll-on/roll-off passengers ferry advancing in calm water and subject to two operational uncertainties (ship speed and payload). The first four statistical moments (mean, variance, skewness, kurtosis), and the probability density function for such quantity of interest (QoI) are computed with two multi-fidelity methods, i.e., the Multi-Index Stochastic Col…
Uncertainty in data is certainly one of the main problems in epidemiology, as shown by the recent COVID-19 pandemic. The need for efficient methods capable of quantifying uncertainty in the mathematical model is essential in order to produce realistic scenarios of the spread of infection. In this paper, we introduce a bi-fidelity approach to quantify uncertainty in spatially dependent epidemic models. The approach is based on evaluating a high-fidelity model on a small number of samples properly selected from a large number of evaluations of a low-fidelity model. In particular, we will conside…
This paper constructs adaptive sparse grid collocation method onto arbitrary order piecewise polynomial space. The sparse grid method is a popular technique for high dimensional problems, and the associated collocation method has been well studied in the literature. The contribution of this work is the introduction of a systematic framework for collocation onto high-order piecewise polynomial space that is allowed to be discontinuous. We consider both Lagrange and Hermite interpolation methods on nested collocation points. Our construction includes a wide range of function space, including tho…
Practical structural engineering problems are often characterized by significant uncertainties. Historically, one of the prevalent methods to account for this uncertainty has been the standard Monte Carlo (MC) method. Recently, improved sampling methods have been proposed, based on the idea of variance reduction by employing a hierarchy of mesh refinements. We combine an h- and p-refinement hierarchy with the Multilevel Monte Carlo (MLMC) and Multilevel Quasi-Monte Carlo (MLQMC) method. We investigate the applicability of these novel combination methods on three structural engineering problems…
Computation of Electromagnetic Fields Scattered From Objects With Uncertain Shapes Using Multilevel Monte Carlo Method
King Abdullah University of Science and Technology (KAUST)（阿卜杜拉国王科技大学）；Nanyang Technological University（南洋理工大学）；KTH Royal Institute of Technology（皇家理工学院）；University of Michigan（密歇根大学）
Stochastic collocation on unstructured multivariate meshes
University of Massachusetts Dartmouth（马萨诸塞大学达特茅斯分校）；Institute of Computational Mathematics and Scientific/Engineering Computing, AMSS, the Chinese Academy of Sciences（中国科学院数学与系统科学研究院计算数学与科学工程计算研究所）
By adopting a Multilevel Monte Carlo (MLMC) framework, we show that only a handful of costly fine scale computations are needed to accurately estimate statistics of the failure of a composite structure, as opposed to the thousands typically needed in classical Monte Carlo analyses. We introduce the MLMC method, compare its theoretical complexity with classical Monte Carlo, and give a simple-to-implement algorithm which includes a simple extension called MLMC with selective refinement to efficiently calculated structural failure probabilities. To demonstrate the huge computational gains we pres…
Kernel-based stochastic collocation for the random two-phase Navier-Stokes equations
University of Basel（巴塞尔大学）；Institute for Numerical Simulation, Bonn University（波恩大学数值模拟研究所）；Fraunhofer Institute for Algorithms and Scientific Computing SCAI（弗劳恩霍夫算法与科学计算研究所）；RWTH Aachen University（亚琛工业大学）
We consider a class of density-driven flow problems. We are particularly interested in the problem of the salinization of coastal aquifers. We consider the Henry saltwater intrusion problem with uncertain porosity, permeability, and recharge parameters as a test case. The reason for the presence of uncertainties is the lack of knowledge, inaccurate measurements, and inability to measure parameters at each spatial or time location. This problem is nonlinear and time-dependent. The solution is the salt mass fraction, which is uncertain and changes in time. Uncertainties in porosity, permeability…
We present a novel approach which aims at high-performance uncertainty quantification for cardiac electrophysiology simulations. Employing the monodomain equation to model the transmembrane potential inside the cardiac cells, we evaluate the effect of spatially correlated perturbations of the heart fibers on the statistics of the resulting quantities of interest. Our methodology relies on a close integration of multilevel quadrature methods, parallel iterative solvers and space-time finite element discretizations, allowing for a fully parallelized framework in space, time and stochastics. Exte…
The multilevel Monte Carlo (MLMC) method has proven to be an effective variance-reduction statistical method for Uncertainty quantification in PDE models. It combines approximations at different levels of accuracy using a hierarchy of meshes in a similar way as multigrid. The generation of body-fitted mesh hierarchies is only possible for simple geometries. On top of that, MLMC for random domains involves the generation of a mesh for every sample. Instead, here we consider the use of embedded methods which make use of simple background meshes of an artificial domain (a bounding-box) for which …
In this paper, we evaluate the performance of the multilevel Monte Carlo method (MLMC) for deterministic and uncertain hyperbolic systems, where randomness is introduced either in the modeling parameters or in the approximation algorithms. MLMC is a well known variance reduction method widely used to accelerate Monte Carlo (MC) sampling. However, we demonstrate in this paper that for hyperbolic systems, whether MLMC can achieve a real boost turns out to be delicate. The computational costs of MLMC and MC depend on the interplay among the accuracy (bias) and the computational cost of the numeri…
We present a novel approach aimed at high-performance uncertainty quantification for time-dependent problems governed by partial differential equations. In particular, we consider input uncertainties described by a Karhunen-Loeeve expansion and compute statistics of high-dimensional quantities-of-interest, such as the cardiac activation potential. Our methodology relies on a close integration of multilevel Monte Carlo methods, parallel iterative solvers, and a space-time discretization. This combination allows for space-time adaptivity, time-changing domains, and to take advantage of past samp…
In this paper, we consider the development of efficient numerical methods for linear transport equations with random parameters and under the diffusive scaling. We extend to the present case the bi-fidelity stochastic collocation method introduced in [33,50,51]. For the high-fidelity transport model, the asymptotic-preserving scheme [29] is used for each stochastic sample. We employ the simple two-velocity Goldstein-Taylor equation as low-fidelity model to accelerate the convergence of the uncertainty quantification process. The choice is motivated by the fact that both models, high fidelity a…
IGA-based Multi-Index Stochastic Collocation for random PDEs on arbitrary domains
King Abdullah University of Science and Technology (KAUST)（阿卜杜拉国王科技大学）；Consiglio Nazionale delle Ricerche - Istituto di Matematica Applicata e Tecnologie Informatiche “E. Magenes” (CNR-IMATI)（意大利国家研究委员会应用数学与信息技术研究所）；RWTH Aachen University（亚琛工业大学）
The paper considers a class of parametric elliptic partial differential equations (PDEs), where the coefficients and the right-hand side function depend on infinitely many (uncertain) parameters. We introduce a two-level a posteriori estimator to control the energy error in multilevel stochastic Galerkin approximations for this class of PDE problems. We prove that the two-level estimator always provides a lower bound for the unknown approximation error, while the upper bound is equivalent to a saturation assumption. We propose and empirically compare three adaptive algorithms, where the struct…
In magnetic confinement fusion devices, the equilibrium configuration of a plasma is determined by the balance between the hydrostatic pressure in the fluid and the magnetic forces generated by an array of external coils and the plasma itself. The location of the plasma is not known a priori and must be obtained as the solution to a free boundary problem. The partial differential equation that determines the behavior of the combined magnetic field depends on a set of physical parameters (location of the coils, intensity of the electric currents going through them, magnetic permeability, etc.) …
We interpret uncertainty in a model for seismic wave propagation by treating the model parameters as random variables, and apply the Multilevel Monte Carlo (MLMC) method to reduce the cost of approximating expected values of selected, physically relevant, quantities of interest (QoI) with respect to the random variables. Targeting source inversion problems, where the source of an earthquake is inferred from ground motion recordings on the Earth's surface, we consider two QoI that measure the discrepancies between computed seismic signals and given reference signals: one QoI, $\hbox{QoI}_E$, is…
We consider conservation laws with discontinuous flux where the initial datum, the flux function, and the discontinuous spatial dependency coefficient are subject to randomness. We establish a notion of random adapted entropy solutions to these equations and prove well-posedness provided that the spatial dependency coefficient is piecewise constant with finitely many discontinuities. In particular, the setting under consideration allows the flux to change across finitely many points in space whose positions are uncertain. We propose a single- and multilevel Monte Carlo method based on a finite…
In this work we develop a new hierarchical multilevel approach to generate Gaussian random field realizations in an algorithmically scalable manner that is well-suited to incorporate into multilevel Markov chain Monte Carlo (MCMC) algorithms. This approach builds off of other partial differential equation (PDE) approaches for generating Gaussian random field realizations; in particular, a single field realization may be formed by solving a reaction-diffusion PDE with a spatial white noise source function as the righthand side. While these approaches have been explored to accelerate forward unc…
Stochastic collocation methods via $L_1$ minimization using randomized quadratures
Shanghai Normal University（上海师范大学）；University of Utah（犹他大学）；Institute of Computational Mathematics and Scientific/Engineering Computing, AMSS, Chinese Academy of Sciences（中国科学院数学与系统科学研究院计算数学与科学工程计算研究所）
Stochastic PDE eigenvalue problems often arise in the field of uncertainty quantification, whereby one seeks to quantify the uncertainty in an eigenvalue, or its eigenfunction. In this paper we present an efficient multilevel quasi-Monte Carlo (MLQMC) algorithm for computing the expectation of the smallest eigenvalue of an elliptic eigenvalue problem with stochastic coefficients. Each sample evaluation requires the solution of a PDE eigenvalue problem, and so tackling this problem in practice is notoriously computationally difficult. We speed up the approximation of this expectation in four wa…
