Sequential sampling strategy for extreme event statistics in nonlinear dynamical systems
From MaRDI portal
Publication:5222818
Abstract: We develop a method for the evaluation of extreme event statistics associated with nonlinear dynamical systems, using a small number of samples. From an initial dataset of design points, we formulate a sequential strategy that provides the 'next-best' data point (set of parameters) that when evaluated results in improved estimates of the probability density function (pdf) for a scalar quantity of interest. The approach utilizes Gaussian process regression to perform Bayesian inference on the parameter-to-observation map describing the quantity of interest. We then approximate the desired pdf along with uncertainty bounds utilizing the posterior distribution of the inferred map. The 'next-best' design point is sequentially determined through an optimization procedure that selects the point in parameter space that maximally reduces uncertainty between the estimated bounds of the pdf prediction. Since the optimization process utilizes only information from the inferred map it has minimal computational cost. Moreover, the special form of the metric emphasizes the tails of the pdf. The method is practical for systems where the dimensionality of the parameter space is of moderate size, i.e. order O(10). We apply the method to estimate the extreme event statistics for a very high-dimensional system with millions of degrees of freedom: an offshore platform subjected to three-dimensional irregular waves. It is demonstrated that the developed approach can accurately determine the extreme event statistics using limited number of samples.
Recommendations
- Sequential Bayesian experimental design for estimation of extreme-event probability in stochastic input-to-response systems
- Low-dimensional offshore wave input for extreme event quantification
- Efficient Computation of Extreme Excursion Probabilities for Dynamical Systems through Rice's Formula
- Statistics of extreme events in fluid flows and waves
- Data-based importance sampling estimates for extreme events
Cited in
(19)- Scalable methods for computing sharp extreme event probabilities in infinite-dimensional stochastic systems
- Bayesian optimization with output-weighted optimal sampling
- Low-dimensional offshore wave input for extreme event quantification
- Quality measures for the evaluation of machine learning architectures on the quantification of epistemic and aleatoric uncertainties in complex dynamical systems
- Sequential Bayesian experimental design for estimation of extreme-event probability in stochastic input-to-response systems
- Statistical phase transitions and extreme events in shallow water waves with an abrupt depth change
- Efficient Computation of Extreme Excursion Probabilities for Dynamical Systems through Rice's Formula
- Using machine learning to predict extreme events in complex systems
- Statistics of extreme events in fluid flows and waves
- Output-weighted optimal sampling for Bayesian regression and rare event statistics using few samples
- Numerical study of extreme mechanical force exerted by a turbulent flow on a bluff body by direct and rare-event sampling techniques
- Sampling local properties of attractors via extreme value theory
- A probabilistic decomposition-synthesis method for the quantification of rare events due to internal instabilities
- Generative stochastic modeling of strongly nonlinear flows with non-Gaussian statistics
- Extreme event probability estimation using PDE-constrained optimization and large deviation theory, with application to tsunamis
- Multifidelity Bayesian Experimental Design to Quantify Rare-Event Statistics
- Output-weighted and relative entropy loss functions for deep learning precursors of extreme events
- Molecular discovery by optimal sequential search
- Output-Weighted Optimal Sampling for Bayesian Experimental Design and Uncertainty Quantification
This page was built for publication: Sequential sampling strategy for extreme event statistics in nonlinear dynamical systems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5222818)
