Optimization of Gaussian random fields

DOI10.1137/140992187zbMATH Open1319.49024arXiv1407.1857OpenAlexW1500354320MaRDI QIDQ5264151FDOQ5264151

Authors: Eric Dow, Qiqi Wang 

Publication date: 20 July 2015

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Abstract: Many engineering systems are subject to spatially distributed uncertainty, i.e. uncertainty that can be modeled as a random field. Altering the mean or covariance of this uncertainty will in general change the statistical distribution of the system outputs. We present an approach for computing the sensitivity of the statistics of system outputs with respect to the parameters describing the mean and covariance of the distributed uncertainty. This sensitivity information is then incorporated into a gradient-based optimizer to optimize the structure of the distributed uncertainty to achieve desired output statistics. This framework is applied to perform variance optimization for a model problem and to optimize the manufacturing tolerances of a gas turbine compressor blade.

Full work available at URL: https://arxiv.org/abs/1407.1857

Recommendations

• Probabilistic optimal design in the presence of random fields
• scientific article; zbMATH DE number 1827863
• An efficient reliability-based optimization scheme for uncertain linear systems subject to general Gaussian excitation
• On the treatment of distributed uncertainties in PDE-constrained optimization
• Level set based robust shape and topology optimization under random field uncertainties

zbMATH Keywords

optimizationGaussian random fieldspathwise sensitivity method

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Existence of optimal solutions to problems involving randomness (49J55) Inverse problems in optimal control (49N45) Applications of optimal control and differential games (49N90)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Numerical integration using sparse grids
• Title not available (Why is that?)
• Singular Perturbations in Option Pricing
• Spectral Methods for Uncertainty Quantification
• An introduction to the adjoint approach to design
• Robust optimization - a comprehensive survey
• On the treatment of distributed uncertainties in PDE-constrained optimization
• Title not available (Why is that?)
• Level set based robust shape and topology optimization under random field uncertainties
• Efficient shape optimization for certain and uncertain aerodynamic design
• Estimating Security Price Derivatives Using Simulation
• Viscous-inviscid analysis of transonic and low Reynolds number airfoils
• Title not available (Why is that?)

Cited In (4)

• Augmented Gaussian random field: theory and computation
• Global optimization for first order Markov random fields with submodular priors
• Convex relaxation for IMSE optimal design in random-field models
• Data-driven neighborhood selection of a Gaussian field

Uses Software

• NLopt

This page was built for publication: Optimization of Gaussian random fields

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5264151)