Surrogate-Based Ensemble Grouping Strategies for Embedded Sampling-Based Uncertainty Quantification
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adaptive stochastic collocation methodsadvection-dominated diffusion problemsembedded ensemble propagation approachpartial differential equationssparse grid approximationsuncertainty quantification methods
PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for problems pertaining to statistics (62-08) Stochastic approximation (62L20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
Abstract: The embedded ensemble propagation approach introduced in [49] has been demonstrated to be a powerful means of reducing the computational cost of sampling-based uncertainty quantification methods, particularly on emerging computational architectures. A substantial challenge with this method however is ensemble-divergence, whereby different samples within an ensemble choose different code paths. This can reduce the effectiveness of the method and increase computational cost. Therefore grouping samples together to minimize this divergence is paramount in making the method effective for challenging computational simulations. In this work, a new grouping approach based on a surrogate for computational cost built up during the uncertainty propagation is developed and applied to model diffusion problems where computational cost is driven by the number of (preconditioned) linear solver iterations. The approach is developed within the context of locally adaptive stochastic collocation methods, where a surrogate for the number of linear solver iterations, generated from previous levels of the adaptive grid generation, is used to predict iterations for subsequent samples, and group them based on similar numbers of iterations. The effectiveness of the method is demonstrated by applying it to highly anisotropic diffusion problems with a wide variation in solver iterations from sample to sample. It extends the parameter-based grouping approach developed in [17] to more general problems without requiring detailed knowledge of how the uncertain parameters affect the simulation's cost, and is also less intrusive to the simulation code.
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Cited in
(3)- GMRES with embedded ensemble propagation for the efficient solution of parametric linear systems in uncertainty quantification of computational models
- Ensemble grouping strategies for embedded stochastic collocation methods applied to anisotropic diffusion problems
- Embedded ensemble propagation for improving performance, portability, and scalability of uncertainty quantification on emerging computational architectures
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