A surrogate accelerated multicanonical Monte Carlo method for uncertainty quantification
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Publication:727018
DOI10.1016/J.JCP.2016.06.020zbMATH Open1349.65021arXiv1508.06700OpenAlexW1956334830MaRDI QIDQ727018FDOQ727018
Authors: Jinglai Li, Ke-yi Wu 
Publication date: 5 December 2016
Published in: Journal of Computational Physics (Search for Journal in Brave)
Abstract: In this work we consider a class of uncertainty quantification problems where the system performance or reliability is characterized by a scalar parameter . The performance parameter is random due to the presence of various sources of uncertainty in the system, and our goal is to estimate the probability density function (PDF) of . We propose to use the multicanonical Monte Carlo (MMC) method, a special type of adaptive importance sampling algorithm, to compute the PDF of interest. Moreover, we develop an adaptive algorithm to construct local Gaussian process surrogates to further accelerate the MMC iterations. With numerical examples we demonstrate that the proposed method can achieve several orders of magnitudes of speedup over the standard Monte Carlo method.
Full work available at URL: https://arxiv.org/abs/1508.06700
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