论文标题
控制变化多项式混乱:采样和替代物的最佳融合多因素不确定性定量
Control Variate Polynomial Chaos: Optimal Fusion of Sampling and Surrogates for Multifidelity Uncertainty Quantification
论文作者
论文摘要
我们提出了一种混合抽样 - 酸酯方法,用于减少非线性动力学系统中不确定性定量的计算费用。我们的动机是在复杂的机械系统(例如汽车推进系统)中快速不确定性定量。我们的方法是建立从多量不确定性量化的想法,以利用采样和替代建模的好处,同时减轻其缺陷。特别是,选择替代模型来利用问题结构,例如平滑度,并为原始非线性动力学系统提供了高度相关的信息源。我们使用侵入性的广义多项式替代物,因为它避免了其构建中的任何统计错误,并提供了对输出统计的分析估计。然后,我们利用一种基于蒙特卡洛的控制变量技术来纠正由替代近似误差引起的偏差。这项工作的主要理论贡献是对估算仪设计策略的分析和解决方案,该策略与对原始昂贵的非线性系统相比,可以最佳地平衡适应替代物所需的计算工作。尽管以前的作品类似地合并了代孕和抽样,但据我们所知,这项工作是第一个对估算器设计进行严格分析的作品。我们将方法部署在由机械汽车推进系统模型的模拟的多个示例中。我们表明,在某些情况下,估计器能够在纯粹的采样或纯粹的替代方法的相当成本下,在某些情况下,统计估计的平均平方误差降低了数量级。
We present a hybrid sampling-surrogate approach for reducing the computational expense of uncertainty quantification in nonlinear dynamical systems. Our motivation is to enable rapid uncertainty quantification in complex mechanical systems such as automotive propulsion systems. Our approach is to build upon ideas from multifidelity uncertainty quantification to leverage the benefits of both sampling and surrogate modeling, while mitigating their downsides. In particular, the surrogate model is selected to exploit problem structure, such as smoothness, and offers a highly correlated information source to the original nonlinear dynamical system. We utilize an intrusive generalized Polynomial Chaos surrogate because it avoids any statistical errors in its construction and provides analytic estimates of output statistics. We then leverage a Monte Carlo-based Control Variate technique to correct the bias caused by the surrogate approximation error. The primary theoretical contribution of this work is the analysis and solution of an estimator design strategy that optimally balances the computational effort needed to adapt a surrogate compared with sampling the original expensive nonlinear system. While previous works have similarly combined surrogates and sampling, to our best knowledge this work is the first to provide rigorous analysis of estimator design. We deploy our approach on multiple examples stemming from the simulation of mechanical automotive propulsion system models. We show that the estimator is able to achieve orders of magnitude reduction in mean squared error of statistics estimation in some cases under comparable costs of purely sampling or purely surrogate approaches.