Surrogate Models for Oscillatory Systems Using Sparse Polynomial Chaos Expansions and Stochastic Time Warping

DOI10.1137/16M1083621zbMATH Open1375.65005OpenAlexW2949917305MaRDI QIDQ5269875FDOQ5269875

Authors: Chu V. Mai, Bruno Sudret 

Publication date: 28 June 2017

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Abstract: Polynomial chaos expansions (PCE) have proven efficiency in a number of fields for propagating parametric uncertainties through computational models of complex systems, namely structural and fluid mechanics, chemical reactions and electromagnetism, etc. For problems involving oscillatory, time-dependent output quantities of interest, it is well-known that reasonable accuracy of PCE-based approaches is difficult to reach in the long term. In this paper, we propose a fully non-intrusive approach based on stochastic time warping to address this issue: each realization (trajectory) of the model response is first rescaled to its own time scale so as to put all sampled trajectories in phase in a common virtual time line. Principal component analysis is introduced to compress the information contained in these transformed trajectories and sparse PCE representations using least angle regression are finally used to approximate the components. The approach shows remarkably small prediction error for particular trajectories as well as for second-order statistics of the latter. It is illustrated on different benchmark problems well known in the literature on time-dependent PCE problems, ranging from rigid body dynamics, chemical reactions to forced oscillations of a non linear system.

Full work available at URL: https://arxiv.org/abs/1609.09286

Recommendations

• A novel sparse polynomial chaos expansion technique with high adaptiveness for surrogate modelling
• A fast time-stepping strategy for dynamical systems equipped with a surrogate model
• Surrogate modeling of high-dimensional problems via data-driven polynomial chaos expansions and sparse partial least square
• On the construction of uncertain time series surrogates using polynomial chaos and Gaussian processes
• A data-driven statistical-stochastic surrogate modeling strategy for complex nonlinear non-stationary dynamics
• Fitting model equations to time series using chaos synchronization
• Parameter and uncertainty estimation for dynamical systems using surrogate stochastic processes
• Identification and prediction of stochastic dynamical systems in a polynomial chaos basis
• A spectral surrogate model for stochastic simulators computed from trajectory samples
• scientific article; zbMATH DE number 2222860

zbMATH Keywords

principal component analysisdynamical systemssurrogate modelsleast angle regressionsecond-order statisticsstochastic ordinary differential equationssparse polynomial chaos expansionsstochastic time warping

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Order statistics; empirical distribution functions (62G30) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• A dynamically bi-orthogonal method for time-dependent stochastic partial differential equations. I: Derivation and algorithms
• Adaptive Generalized Polynomial Chaos for Nonlinear Random Oscillators
• Adaptive sparse polynomial chaos expansion based on least angle regression
• Alignment of curves by dynamic time warping
• An adaptive multi-element generalized polynomial chaos method for stochastic differential equations
• An alternative unsteady adaptive stochastic finite element formulation based on interpolation at constant phase
• Asynchronous time integration for polynomial chaos expansion of uncertain periodic dynamics
• Curve Registration
• Direct-Interaction Approximation for a System of Several Interacting Simple Shear Waves
• Dynamic programming algorithm optimization for spoken word recognition
• Dynamical Properties of Truncated Wiener-Hermite Expansions
• Dynamical polynomial chaos expansions and long time evolution of differential equations with random forcing
• Identification of multi-modal random variables through mixtures of polynomial chaos expansions
• Least angle regression. (With discussion)
• Long-term behavior of polynomial chaos in stochastic flow simulations
• Long-time uncertainty propagation using generalized polynomial chaos and flow map composition
• Minimal multi-element stochastic collocation for uncertainty quantification of discontinuous functions
• Multi-Element Generalized Polynomial Chaos for Arbitrary Probability Measures
• Multi-resolution analysis of Wiener-type uncertainty propagation schemes
• Multiscale stochastic preconditioners in non-intrusive spectral projection
• On the equivalence of dynamically orthogonal and bi-orthogonal methods: theory and numerical simulations
• Physical Systems with Random Uncertainties: Chaos Representations with Arbitrary Probability Measure
• Polynomial chaos expansion of a multimodal random vector
• Preconditioned Bayesian regression for stochastic chemical kinetics
• SURROGATE MODELING FOR STOCHASTIC DYNAMICAL SYSTEMS BY COMBINING NONLINEAR AUTOREGRESSIVE WITH EXOGENOUS INPUT MODELS AND POLYNOMIAL CHAOS EXPANSIONS
• Spectral Methods for Uncertainty Quantification
• Stochastic study of a non-linear self-excited system with friction
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
• Time-dependent generalized polynomial chaos
• Uncertainty quantification of limit-cycle oscillations

Cited In (11)

• Deterministic and stochastic surrogate models for a slowly driven fast oscillator
• Convergence Analysis and Adaptive Order Selection for the Polynomial Chaos Approach to Direct Optimal Control under Uncertainties
• Surrogate-based parameter inference in debris flow model
• Compressed principal component analysis of non-Gaussian vectors
• Long time prediction of uncertain systems using singular perturbation
• Intrusive generalized polynomial chaos with asynchronous time integration for the solution of the unsteady Navier-Stokes equations
• Probabilistic Analysis of Highly Nonlinear Models by Adaptive Sparse Polynomial Chaos: Transient Infiltration in Unsaturated Soil
• Stochastic dynamic analysis of composite plates in thermal environments using nonlinear autoregressive model with exogenous input in polynomial chaos expansion surrogate
• Analytical uncertainty quantification approach based on adaptive generalized <scp>co‐Gaussian</scp> process model
• On the construction of uncertain time series surrogates using polynomial chaos and Gaussian processes
• Surrogate combining harmonic decomposition and polynomial chaos for seismic shear waves in uncertain media

Uses Software

• UQLab
• OpenCourseWare

This page was built for publication: Surrogate Models for Oscillatory Systems Using Sparse Polynomial Chaos Expansions and Stochastic Time Warping

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5269875)