We extend stochastic basis adaptation and spatial domain decomposition methods to solve time varying stochastic partial differential equations (SPDEs) with a large number of input random parameters. Stochastic basis adaptation allows the determination of a low dimensional stochastic basis representation of a quantity of interest (QoI). Extending basis adaptation to time-dependent problems is challenging because small errors introduced in the previous time steps of the low dimensional approximate solution accumulate over time and cause divergence from the true solution. To address this issue we have introduced an approach where the basis adaptation varies at every time step so that the low dimensional basis is adapted to the QoI at that time step. We have coupled the time-dependent basis adaptation with domain decomposition to further increase the accuracy in the representation of the QoI. To illustrate the construction, we present numerical results for one-dimensional time varying linear and nonlinear diffusion equations with random space-dependent diffusion coefficients. Stochastic dimension reduction techniques proposed in the literature have mainly focused on quantifying the uncertainty in time independent and scalar QoI. To the best of our knowledge, this is the first attempt to extend dimensional reduction techniques to time varying and spatially dependent quantities such as the solution of SPDEs.
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…
Stochastic spectral methods are efficient techniques for uncertainty quantification. Recently they have shown excellent performance in the statistical analysis of integrated circuits. In stochastic spectral methods, one needs to determine a set of orthonormal polynomials and a proper numerical quadrature rule. The former are used as the basis functions in a generalized polynomial chaos expansion. The latter is used to compute the integrals involved in stochastic spectral methods. Obtaining such information requires knowing the density function of the random input {\it a-priori}. However, indiv…
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 quantification based on generalized polynomial chaos has been used in many applications. It has also achieved great success in variation-aware design automation. However, almost all existing techniques assume that the parameters are mutually independent or Gaussian correlated, which is rarely true in real applications. For instance, in chip manufacturing, many process variations are actually correlated. Recently, some techniques have been developed to handle non-Gaussian correlated random parameters, but they are time-consuming for high-dimensional problems. We present a new framew…
A ubiquitous challenge in design space exploration or uncertainty quantification of complex engineering problems is the minimization of computational cost. A useful tool to ease the burden of solving such systems is model reduction. This work considers a stochastic model reduction method (SMR), in the context of polynomial chaos (PC) expansions, where low-fidelity (LF) samples are leveraged to form a stochastic reduced basis. The reduced basis enables the construction of a bi-fidelity (BF) estimate of a quantity of interest from a small number of high-fidelity (HF) samples. A successful BF est…
The paper is concerned with classic kernel interpolation methods, in addition to approximation methods that are augmented by gradient measurements. To apply kernel interpolation using radial basis functions (RBFs) in a stable way, we propose a type of quasi-optimal interpolation points, searching from a large set of \textit{candidate} points, using a procedure similar to designing Fekete points or power function maximizing points that use pivot from a Cholesky decomposition. The proposed quasi-optimal points result in a smaller condition number, and thus mitigates the instability of the interp…
Uncertainty quantification (UQ) tasks, such as sensitivity analysis and parameter estimation, entail a huge computational complexity when dealing with input-output maps involving the solution of nonlinear differential problems, because of the need to query expensive numerical solvers repeatedly. Projection-based reduced order models (ROMs), such as the Galerkin-reduced basis (RB) method, have been extensively developed in the last decades to overcome the computational complexity of high fidelity full order models (FOMs), providing remarkable speedups when addressing UQ tasks related with param…
Despite the ubiquity of the Gaussian process regression model, few theoretical results are available that account for the fact that parameters of the covariance kernel typically need to be estimated from the dataset. This article provides one of the first theoretical analyses in the context of Gaussian process regression with a noiseless dataset. Specifically, we consider the scenario where the scale parameter of a Sobolev kernel (such as a Matérn kernel) is estimated by maximum likelihood. We show that the maximum likelihood estimation of the scale parameter alone provides significant adaptat…
The present work addresses the issue of accurate stochastic approximations in high-dimensional parametric space using tools from uncertainty quantification (UQ). The basis adaptation method and its accelerated algorithm in polynomial chaos expansions (PCE) were recently proposed to construct low-dimensional approximations adapted to specific quantities of interest (QoI). The present paper addresses one difficulty with these adaptations, namely their reliance on quadrature point sampling, which limits the reusability of potentially expensive samples. Projection pursuit (PP) is a statistical too…
Probabilistic operator learning: generative modeling and uncertainty quantification for foundation models of differential equations
Division of Applied Mathematics, Brown University（布朗大学应用数学系）；Department of Mathematics, University of California, Riverside（加州大学河滨分校数学系）；Department of Mathematics, University of California, Los Angeles（加州大学洛杉矶分校数学系）；Department of Mathematics and Statistics, University of Massachusetts Amherst（马萨诸塞大学阿默斯特分校数学与统计学系）
Partial differential equations (PDEs) are fundamental for theoretically describing numerous physical processes that are based on some input fields in spatial configurations. Understanding the physical process, in general, requires computational modeling of the PDE. Uncertainty in the computational model manifests through lack of precise knowledge of the input field or configuration. Uncertainty quantification (UQ) in the output physical process is typically carried out by modeling the uncertainty using a random field, governed by an appropriate covariance function. This leads to solving high-d…
We present a new approach for predictive modeling and its uncertainty quantification for mechanical systems, where coarse-grained models such as constitutive relations are derived directly from observation data. We explore the use of a neural network to represent the unknown constitutive relations, compare the neural networks with piecewise linear functions, radial basis functions, and radial basis function networks, and show that the neural network outperforms the others in certain cases. We analyze the approximation error of the neural networks using a scaling argument. The training and pred…
A second-order face-centred finite volume strategy on general meshes is proposed. The method uses a mixed formulation in which a constant approximation of the unknown is computed on the faces of the mesh. Such information is then used to solve a set of problems, independent cell-by-cell, to retrieve the local values of the solution and its gradient. The main novelty of this approach is the introduction of a new basis function, utilised for the linear approximation of the primal variable in each cell. Contrary to the commonly used nodal basis, the proposed basis is suitable for computations on …
Efficient forward and inverse uncertainty quantification for dynamical systems based on dimension reduction and Kriging surrogate modeling in functional space
Enabling High-Dimensional Hierarchical Uncertainty Quantification by ANOVA and Tensor-Train Decomposition
Massachusetts Institute of Technology (MIT)（麻省理工学院）；Brown University（布朗大学）；Pacific Northwest National Laboratory（太平洋西北国家实验室）；Skolkovo Institute of Science and Technology（斯科尔科沃科学技术研究所）
This study focuses on open quasispecies systems with competition and death flow, described by modified Eigen and Crow-Kimura models. We examine the evolutionary adaptation process as a reaction to changes in rates. One of the fundamental assumptions, which forms the basis of our mathematical model, is the existence of two different timescales: internal dynamics time and evolutionary time. The latter is much slower and exhibits significant adaptation events. These conditions allow us to represent the whole evolutionary process through a series of steady-state equations, where all the elements c…
The probability density function (PDF) associated with a given set of samples is approximated by a piecewise-linear polynomial constructed with respect to a binning of the sample space. The kernel functions are a compactly supported basis for the space of such polynomials, i.e. finite element hat functions, that are centered at the bin nodes rather than at the samples, as is the case for the standard kernel density estimation approach. This feature naturally provides an approximation that is scalable with respect to the sample size. On the other hand, unlike other strategies that use a finite …
This study debuts a new spline dimensional decomposition (SDD) for uncertainty quantification analysis of high-dimensional functions, including those endowed with high nonlinearity and nonsmoothness, if they exist, in a proficient manner. The decomposition creates an hierarchical expansion for an output random variable of interest with respect to measure-consistent orthonormalized basis splines (B-splines) in independent input random variables. A dimensionwise decomposition of a spline space into orthogonal subspaces, each spanned by a reduced set of such orthonormal splines, results in SDD. E…
