DOE OSTI2013
The scale and complexity of problems such as designing power grids or planning for climate change is growing rapidly, driving the development of complicated computer models. More complex models have longer run times and incorporate larger numbers of inputs, both continuous and discrete. For example, a detailed physics model may have continuous variables such as temperature, height or pressure along with discrete variables that indicate the choice of a material for a particular piece or the model to be used to calculate air flow. A power grid design model may have continuous variables such as generation capacity, power flow or demand along with discrete variables such as number of generators, number of transmission lines or binary variables to indicate whether or not a node is chosen for generation expansion. A growing awareness of uncertainty and the desire to make risk-informed decisions is causing uncertainty quantification (UQ) to be more routine and often required. UQ provides the underpinnings necessary to establish confidence in models and their use; therefore, much time and effort is being invested in creating efficient approaches for UQ. However, these efforts have been focused on models that take continuous variables as inputs. When discrete inputs are thrown into the mix, the basic approach is to repeat the UQ analysis for each combination of discrete inputs or some subset thereof; this rapidly becomes intractable. Because of the computational complexity inherent in mixed discrete-continuous models, researchers will focus on the uncertainty in their particular problem finding ways to take advantage of symmetries, simplifications or structures. For example, uncertainty propagation in certain dynamical systems can be efficiently carried out after various decomposition steps or uncertainty propagation in stochastic programming is confined to scenario generation. Unfortunately models are not always available for such machinations: models may be embedded in legacy codes, may utilize commercial off the shelf codes or may be created by stringing a series of codes together. It is also time consuming to start each problem from scratch; worse there may not be any simplifications or symmetries to take advantage of. For these situations a UQ method developed for any black box function is necessary. This report documents a new conceptual model for performing UQ for mixed discrete-continuous models which not only applies to any simulator function, but allows the use of the efficient UQ methods that have been developed for continuous inputs only. The conceptual model is presented and an estimation procedure is fleshed out for one class of problems. This is applied to variations of a mixed discrete-continuous optimization test problem. This procedure provides comparable results to a benchmark solution with fewer function evaluations.