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At least 19 records

Bayesian Adaptive Polynomial Chaos Expansions

Polynomial chaos expansions (PCEs) are widely used for uncertainty quantification (UQ) tasks, particularly in the applied mathematics community. However, PCE has received comparatively less attention in the statistics literature, and fully Bayesian formulations remain rare—especially with implementations in R. Motivated by the success of adaptive Bayesian machine learning models such as BART, BASS and BPPR, we develop a new fully Bayesian adaptive PCE method with an efficient and accessible R implementation: khaos. Our approach includes a novel proposal distribution that enables data-driven interaction selection and supports a modified g-prior tailored to PCE structure. Through simulation studies and real-world UQ applications, we demonstrate that the Bayesian adaptive PCE provides competitive performance for surrogate modeling, global sensitivity analysis and ordinal regression tasks.

97 MATHEMATICS AND COMPUTING↗

A robust and efficient stepwise regression method for building sparse polynomial chaos expansions

Polynomial Chaos (PC) expansions are widely used in various engineering fields for quantifying uncertainties arising from uncertain parameters. The computational cost of classical PC solution schemes is unaffordable as the number of deterministic simulations to be calculated grows dramatically with the number of stochastic dimension. This considerably restricts the practical use of PC at the industrial level. A common approach to address such problems is to make use of sparse PC expansions. This paper presents a non-intrusive regression-based method for building sparse PC expansions. The most important PC contributions are detected sequentially through an automatic search procedure. The variable selection criterion is based on efficient tools relevant to probabilistic method. Two benchmark analytical functions are used to validate the proposed algorithm. The computational efficiency of the method is then illustrated by a more realistic CFD application, consisting of the non-deterministic flow around a transonic airfoil subject to geometrical uncertainties. To assess the performance of the developed methodology, a detailed comparison is made with the well established LAR-based selection technique. The results show that the developed sparse regression technique is able to identify the most significant PC contributions describing the problem. Moreover, the most important stochastic features are captured at a reduced computational cost compared to the LAR method. The results also demonstrate the superior robustness of the method by repeating the analyses using random experimental designs.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗

Limitations of polynomial chaos expansions in the Bayesian solution of inverse problems

Polynomial chaos expansions are used to reduce the computational cost in the Bayesian solutions of inverse problems by creating a surrogate posterior that can be evaluated inexpensively. We show, by analysis and example, that when the data contain significant information beyond what is assumed in the prior, the surrogate posterior can be very different from the posterior, and the resulting estimates become inaccurate. One can improve the accuracy by adaptively increasing the order of the polynomial chaos, but the cost may increase too fast for this to be cost effective compared to Monte Carlo sampling without a surrogate posterior.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗

Compressive sampling of polynomial chaos expansions: Convergence analysis and sampling strategies

Sampling orthogonal polynomial bases via Monte Carlo is of interest for uncertainty quantification of models with random inputs, using Polynomial Chaos (PC) expansions. It is known that bounding a probabilistic parameter, referred to as coherence, yields a bound on the number of samples necessary to identify coefficients in a sparse PC expansion via solution to an ℓ{sub 1}-minimization problem. Utilizing results for orthogonal polynomials, we bound the coherence parameter for polynomials of Hermite and Legendre type under their respective natural sampling distribution. In both polynomial bases we identify an importance sampling distribution which yields a bound with weaker dependence on the order of the approximation. For more general orthonormal bases, we propose the coherence-optimal sampling: a Markov Chain Monte Carlo sampling, which directly uses the basis functions under consideration to achieve a statistical optimality among all sampling schemes with identical support. We demonstrate these different sampling strategies numerically in both high-order and high-dimensional, manufactured PC expansions. In addition, the quality of each sampling method is compared in the identification of solutions to two differential equations, one with a high-dimensional random input and the other with a high-order PC expansion. In both cases, the coherence-optimal sampling scheme leads to similar or considerably improved accuracy.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗

Compressive Sensing with Cross-Validation and Stop-Sampling for Sparse Polynomial Chaos Expansions

Here, compressive sensing is a powerful technique for recovering sparse solutions of underdetermined linear systems, which is often encountered in uncertainty quantification analysis of expensive and high-dimensional physical models. We perform numerical investigations employing several compressive sensing solvers that target the unconstrained LASSO formulation, with a focus on linear systems that arise in the construction of polynomial chaos expansions. With core solvers l1_ls, SpaRSA, CGIST, FPC_AS, and ADMM, we develop techniques to mitigate overfitting through an automated selection of regularization constant based on cross-validation, and a heuristic strategy to guide the stop-sampling decision. Practical recommendations on parameter settings for these techniques are provided and discussed. The overall method is applied to a series of numerical examples of increasing complexity, including large eddy simulations of supersonic turbulent jet-in-crossflow involving a 24-dimensional input. Through empirical phase-transition diagrams and convergence plots, we illustrate sparse recovery performance under structures induced by polynomial chaos, accuracy, and computational trade-offs between polynomial bases of different degrees, and practicability of conducting compressive sensing for a realistic, high-dimensional physical application. Across test cases studied in this paper, we find ADMM to have demonstrated empirical advantages through consistent lower errors and faster computational times.

97 MATHEMATICS AND COMPUTING↗

Polynomial chaos expansions for dependent random variables

Polynomial chaos expansions (PCE) are well-suited to quantifying uncertainty in models parameterized by independent random variables. The assumption of independence leads to simple strategies for building multivariate orthonormal bases and for sampling strategies to evaluate PCE coefficients. In contrast, the application of PCE to models of dependent variables is much more challenging. Three approaches can be used to construct PCE of models of dependent variables. The first approach uses mapping methods where measure transformations, such as the Nataf and Rosenblatt transformation, can be used to map dependent random variables to independent ones; however we show that this can significantly degrade performance since the Jacobian of the map must be approximated. A second strategy is the class of dominating support methods. In these approaches a PCE is built using independent random variables whose distributional support dominates the support of the true dependent joint density; we provide evidence that this approach appears to produce approximations with suboptimal accuracy. A third approach, the novel method proposed here, uses Gram-Schmidt orthogonalization (GSO) to numerically compute orthonormal polynomials for the dependent random variables. This approach has been used successfully when solving differential equations using the intrusive stochastic Galerkin method, and in this paper we use GSO to build PCE using a non-intrusive stochastic collocation method. The stochastic collocation method treats the model as a black box and builds approximations of the input-output map from a set of samples. Building PCE from samples can introduce ill-conditioning which does not plague stochastic Galerkin methods. To mitigate this ill-conditioning we generate weighted Leja sequences, which are nested sample sets, to build accurate polynomial interpolants. We show that our proposed approach, GSO with weighted Leja sequences, produces PCE which are orders of magnitude more accurate than PCE constructed using mapping or dominating support methods.

97 MATHEMATICS AND COMPUTING↗

Topology optimization under uncertainty via non-intrusive polynomial chaos expansion

This paper presents a systematic approach for topology optimization under uncertainty that integrates non-intrusive polynomial chaos expansion with design sensitivity analysis for reliability-based and robust topology optimization. Uncertainty is introduced in loading and in geometry to address the manufacturing variability. The manufacturing variability is modeled via a thresholding technique in which the threshold field is represented by a reduced dimensional random field. Response metrics such as compliance and volume are characterized as polynomial chaos expansions of the underlying uncertain parameters thus allowing accurate and efficient estimation of statistical moments, failure probabilities and their sensitivities. The number of simulations is reduced for linear structures under loading uncertainty by means of superposition. Efficiency of the non-intrusive polynomial chaos approach is highlighted by comparison with the Monte Carlo method in terms of the number of simulations. To demonstrate the effect of uncertainty, optimized designs that consider uncertainty are compared to those that do not. Finally, comparisons of polynomial chaos expansion to existing analytical methods on a benchmark numerical example are also provided for reliability-based and worst case designs.

42 ENGINEERING↗

Application of polynomial chaos expansion in inverse transport problems with neutron multiplication measurements and multiple unknowns - 25623

The polynomial chaos expansion technique is used to build surrogate models of the dependences of gamma-ray fluxes and neutron multiplication to unknown physical parameters in radiological source/shield systems. These surrogate models are used with the Differential Evolution Adaptive Metropolis (DREAM), a method to solve and quantify uncertainty in inverse transport problems. Measured data in the inverse problems includes both passive gamma rays and neutron multiplication. The polynomial chaos expansion approach is shown to increase the speed of DREAM by factors of greater than 60 while not degrading the accuracy of the solution. (authors)

61 RADIATION PROTECTION AND DOSIMETRY↗

Uncertainty Quantification in CO 2 Sequestration Using Surrogate Models from Polynomial Chaos Expansion

In this paper, surrogate models are iteratively built using polynomial chaos expansion (PCE) and detailed numerical simulations of a carbon sequestration system. Output variables from a numerical simulator are approximated as polynomial functions of uncertain parameters. Once generated, PCE representations can be used in place of the numerical simulator and often decrease simulation times by several orders of magnitude. However, PCE models are expensive to derive unless the number of terms in the expansion is moderate, which requires a relatively small number of uncertain variables and a low degree of expansion. To cope with this limitation, instead of using a classical full expansion at each step of an iterative PCE construction method, we introduce a mixed-integer programming (MIP) formulation to identify the best subset of basis terms in the expansion. This approach makes it possible to keep the number of terms small in the expansion. Monte Carlo (MC) simulation is then performed by substituting the values of the uncertain parameters into the closed-form polynomial functions. Based on the results of MC simulation, the uncertainties of injecting CO{sub 2} underground are quantified for a saline aquifer. Moreover, based on the PCE model, we formulate an optimization problem to determine the optimal CO{sub 2} injection rate so as to maximize the gas saturation (residual trapping) during injection, and thereby minimize the chance of leakage.

54 ENVIRONMENTAL SCIENCES↗

An extended polynomial chaos expansion for PDF characterization and variation with aleatory and epistemic uncertainties

This paper presents an extended polynomial chaos formalism for epistemic uncertainties and a new framework for evaluating sensitivities and variations of output probability density functions (PDF) to uncertainty in probabilistic models of input variables. An ”extended” polynomial chaos expansion (PCE) approach is developed that accounts for both aleatory and epistemic uncertainties, modeled as random variables, thus allowing a unified treatment of both types of uncertainty. We explore in particular epistemic uncertainty associated with the choice of prior probabilistic models for input parameters. A PCE-based Kernel Density (KDE) construction provides a composite map from the PCE coefficients and germ to the PDF of quantities of interest (QoI). Here, the sensitivities of these PDF with respect to the input parameters are then evaluated. Input parameters of the probabilistic models are considered. By sampling over the epistemic random variable, a family of PDFs is generated and the failure probability is itself estimated as a random variable with its own PCE. Integrating epistemic uncertainties within the PCE framework results in a computationally efficient paradigm for propagation and sensitivity evaluation. Two typical illustrative examples are used to demonstrate the proposed approach.

Aleatory uncertainty↗

Application of Polynomial Chaos Expansion in Inverse Transport Problems with Neutron Multiplication Measurements and Multiple Unknowns

The polynomial chaos expansion (PCE) technique is used to build surrogate models of the dependences of gamma-ray fluxes and neutron multiplication to unknown physical parameters in radiological source/shield systems. These surrogate models are used with the DiffeRential Evolution Adaptive Metropolis (DREAM) method to solve and quantify uncertainty in inverse transport problems. Measured data in the inverse problems includes both passive gamma rays and neutron multiplication. The PCE approach is shown to increase the speed of DREAM by factors of greater than 80 while not degrading the accuracy of the solution.

Bledsoe, Keith↗

Local polynomial chaos expansion for linear differential equations with high dimensional random inputs

In this paper we present a localized polynomial chaos expansion for partial differential equations (PDE) with random inputs. In particular, we focus on time independent linear stochastic problems with high dimensional random inputs, where the traditional polynomial chaos methods, and most of the existing methods, incur prohibitively high simulation cost. Furthermore, the local polynomial chaos method employs a domain decomposition technique to approximate the stochastic solution locally. In each subdomain, a subdomain problem is solved independently and, more importantly, in a much lower dimensional random space. In a postprocesing stage, accurate samples of the original stochastic problems are obtained from the samples of the local solutions by enforcing the correct stochastic structure of the random inputs and the coupling conditions at the interfaces of the subdomains. Overall, the method is able to solve stochastic PDEs in very large dimensions by solving a collection of low dimensional local problems and can be highly efficient. In our paper we present the general mathematical framework of the methodology and use numerical examples to demonstrate the properties of the method.

97 MATHEMATICS AND COMPUTING↗

A new surrogate modeling technique combining Kriging and polynomial chaos expansions – Application to uncertainty analysis in computational dosimetry

In numerical dosimetry, the recent advances in high performance computing led to a strong reduction of the required computational time to assess the specific absorption rate (SAR) characterizing the human exposure to electromagnetic waves. However, this procedure remains time-consuming and a single simulation can request several hours. As a consequence, the influence of uncertain input parameters on the SAR cannot be analyzed using crude Monte Carlo simulation. The solution presented here to perform such an analysis is surrogate modeling. This paper proposes a novel approach to build such a surrogate model from a design of experiments. Considering a sparse representation of the polynomial chaos expansions using least-angle regression as a selection algorithm to retain the most influential polynomials, this paper proposes to use the selected polynomials as regression functions for the universal Kriging model. The leave-one-out cross validation is used to select the optimal number of polynomials in the deterministic part of the Kriging model. The proposed approach, called LARS-Kriging-PC modeling, is applied to three benchmark examples and then to a full-scale metamodeling problem involving the exposure of a numerical fetus model to a femtocell device. The performances of the LARS-Kriging-PC are compared to an ordinary Kriging model and to a classical sparse polynomial chaos expansion. The LARS-Kriging-PC appears to have better performances than the two other approaches. A significant accuracy improvement is observed compared to the ordinary Kriging or to the sparse polynomial chaos depending on the studied case. This approach seems to be an optimal solution between the two other classical approaches. A global sensitivity analysis is finally performed on the LARS-Kriging-PC model of the fetus exposure problem.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗

A Generalized Copula-Polynomial Chaos Expansion for Probabilistic Power Flow Considering Nonlinear Correlations of PV Injections

This paper develops a generalized Copula-polynomial chaos expansion (PCE) framework for power system probabilistic power flow that can handle both linear and nonlinear correlations of uncertain power injections, such as wind and PVs. A data-driven Copula statistical model is used to capture the correlations of uncertain power injections. This allows us to resort to the Rosenblatt transformation to transform correlated variables into independent ones while preserving the dependence structure. This paves the way of leveraging the PCE for surrogate modeling and uncertainty quantification of power flow results, i.e., achieving the probabilistic distributions of power flows. Simulations carried out on the IEEE 57-bus system show that the proposed framework can get much more accurate results than other alternatives with different linear and nonlinear power injection correlations.

copula↗

Quantifying the Uncertainty in Deterministic Phonon Transport Calculations of Thermal Conductivity using Polynomial Chaos Expansions

The nature of computational simulations requires the inclusion of an uncertainty analysis, as we have limited knowledge of all physically determined input parameters for a computationally simulated problem. We rely on uncertainty quantification (UQ) to characterize our confidence in the outcomes. Quantifying uncertainty can provide a basis for certifications in high-consequence decisions, such as nuclear reactor design, and is a fundamental component of model validation. We employ a previously developed method of uncertainty quantification, polynomial chaos expansion with stochastic collocation (PCE-SC), applied to deterministic phonon transport simulations. In these simulations, we use the neutron transport code Rattlesnake, which solves the Self-Adjoint Angular Flux (SAAF) formulation of the transport equation with a continuous finite element (CFEM) spatial discretization and discrete ordinates, spherical harmonics angular discretizations. Rattlesnake was developed in the multi-physics object oriented simulation environment (MOOSE) framework. We have previously shown Rattlesnake to be effective in simulating phonon transport. We aim to provide a deterministic phonon transport framework for heterogeneous nuclear fuel with fission product defects to predict thermal conductivity (?). A first principles, physics-based calculation of thermal conductivity must involve factors such as the microstructure of nuclear fuel, which constantly changes during the fission process through the formation of isotopic decay products. Heat transport in oxide nuclear fuels is dominated by phonon transport. Impurities in the bulk material influence the transport of energy at the fundamental level, altering the scattering behavior of phonons and electrons. Conventionally, heat transport follows classical physics based on the heat equation derived from Fourier's law q = -k∇T, where q is heat flux, k is thermal conductivity and ∇T is a temperature gradient. However, Fourier's law is a macroscopic empirical law in which the thermal conductivity? does not have a mechanistic connection to the underpinning heat transport processes. Thermal conductivity of a material depends both on the material's intrinsic ability to transport heat and a variety of resistive effects caused by defects in the material. Thus ab initio prediction of the macroscopic conductivity - the property of interest for safe reactor operation - requires simulating detailed processes of heat transport, and then determining the effective thermal conductivity of the simulated material from the resulting heat flux under the imposed temperature difference. The thermal conductivity of a bulk, homogeneous, dielectric material can be well estimated by the mechanistically derived expression: k{sub bulk} = 1/3 C{sub ν}νgλ (2), where C{sub ν}, νg, and λ are the volumetric specific heat, phonon speed, and phonon mean free path, respectively. In these problems the relevant parameter is the material's acoustic thickness, its characteristic distance L relative to the phonon mean free path λ. In Eq. (2) the largest source of uncertainty is λ. While propagating uncertainty in λ to uncertainty in k through Eq. (2) is trivial, systems with extrinsic scattering require more sophisticated approaches. At the microscopic level, uncertainty in λ changes both a material's intrinsic thermal conductivity. Our goal is to propagate the uncertainty in λ through the deterministic transport computation of k. Because there are a small number of uncertain input quantities, we use the method of polynomial chaos expansion (PCE), which expresses solutions in the form of spectral expansions of an uncertain variable. This approach combines both intrusive and nonintrusive methods of uncertainty propagation techniques and results in a unique formulation which is very effective and efficient for problems with few uncertain parameters. Uncertainty Quantification and Sensitivity Analysis We use PCE-SC to measure propagation of uncertainty in a 3-D phonon transport problem of homogeneous silicon, to compute the mean and variance in temperature, heat flux and thermal conductivity. (authors)

11 NUCLEAR FUEL CYCLE AND FUEL MATERIALS↗