Sequential sampling strategy for extreme event statistics in nonlinear dynamical systems

DOI10.1073/PNAS.1813263115zbMATH Open1416.62279arXiv1804.07240OpenAlexW2963202249WikidataQ57460050 ScholiaQ57460050MaRDI QIDQ5222818FDOQ5222818

Authors: T. P. Sapsis, Mustafa A. Mohamad 

Publication date: 3 July 2019

Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1804.07240

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Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Statistics of extreme values; tail inference (62G32) Sequential statistical design (62L05) Generation, random and stochastic difference and differential equations (37H10)

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