Surrogate-Based Ensemble Grouping Strategies for Embedded Sampling-Based Uncertainty Quantification

DOI10.1007/978-3-030-48721-8_3zbMATH Open1455.62158arXiv1705.02003OpenAlexW2612797582MaRDI QIDQ5141287FDOQ5141287

Marta D'Elia, Eric T. Phipps, Ahmad A. Rushdi, Mohamed S. Ebeida

Publication date: 18 December 2020

Published in: Lecture Notes in Computational Science and Engineering (Search for Journal in Brave)

Abstract: The embedded ensemble propagation approach introduced in [49] has been demonstrated to be a powerful means of reducing the computational cost of sampling-based uncertainty quantification methods, particularly on emerging computational architectures. A substantial challenge with this method however is ensemble-divergence, whereby different samples within an ensemble choose different code paths. This can reduce the effectiveness of the method and increase computational cost. Therefore grouping samples together to minimize this divergence is paramount in making the method effective for challenging computational simulations. In this work, a new grouping approach based on a surrogate for computational cost built up during the uncertainty propagation is developed and applied to model diffusion problems where computational cost is driven by the number of (preconditioned) linear solver iterations. The approach is developed within the context of locally adaptive stochastic collocation methods, where a surrogate for the number of linear solver iterations, generated from previous levels of the adaptive grid generation, is used to predict iterations for subsequent samples, and group them based on similar numbers of iterations. The effectiveness of the method is demonstrated by applying it to highly anisotropic diffusion problems with a wide variation in solver iterations from sample to sample. It extends the parameter-based grouping approach developed in [17] to more general problems without requiring detailed knowledge of how the uncertain parameters affect the simulation's cost, and is also less intrusive to the simulation code.

Full work available at URL: https://arxiv.org/abs/1705.02003

zbMATH Keywords

partial differential equationssparse grid approximationsadvection-dominated diffusion problemsadaptive stochastic collocation methodsembedded ensemble propagation approachuncertainty quantification methods

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic approximation (62L20) PDEs with randomness, stochastic partial differential equations (35R60) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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Cited In (1)

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Uses Software

• Trilinos
• Tpetra
• Belos
• Amesos2
• Kokkos
• Stokhos
• MueLu

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