Optimization of Gaussian random fields

DOI10.1137/140992187MaRDI QIDQ5264151zbMATH OpenOpenAlexFDO

Authors Eric Dow, Qiqi Wang

Publication date 20 July 2015

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

Full work available at URL https://arxiv.org/abs/1407.1857, http://hdl.handle.net/1721.1/100548

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)

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.

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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

Describes a project that uses

Uses Software

• NLopt

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