This work proposes and analyzes a stochastic collocation method for solving elliptic partial differential equations with random coefficients and forcing terms. These input data are assumed to depend ...on a finite number of random variables. The method consists of a Galerkin approximation in space and a collocation in the zeros of suitable tensor product orthogonal polynomials (Gauss points) in the probability space, and naturally leads to the solution of uncoupled deterministic problems as in the Monte Carlo approach. It treats easily a wide range of situations, such as input data that depend nonlinearly on the random variables, diffusivity coefficients with unbounded second moments, and random variables that are correlated or even unbounded. We provide a rigorous convergence analysis and demonstrate exponential convergence of the "probability error" with respect to the number of Gauss points in each direction of the probability space, under some regularity assumptions on the random input data. Numerical examples show the effectiveness of the method. Finally, we include a section with developments posterior to the original publication of this work. There we review sparse grid stochastic collocation methods, which are effective collocation strategies for problems that depend on a moderately large number of random variables.
Calculating the expected information gain in optimal Bayesian experimental design typically relies on nested Monte Carlo sampling. When the model also contains nuisance parameters, which are ...parameters that contribute to the overall uncertainty of the system but are of no interest in the Bayesian design framework, this introduces a second inner loop. We propose and derive a small-noise approximation for this additional inner loop. The computational cost of our method can be further reduced by applying a Laplace approximation to the remaining inner loop. Thus, we present two methods, the small-noise double-loop Monte Carlo and small-noise Monte Carlo Laplace methods. Moreover, we demonstrate that the total complexity of these two approaches remains comparable to the case without nuisance uncertainty. To assess the efficiency of these methods, we present three examples, and the last example includes the partial differential equation for the electrical impedance tomography experiment for composite laminate materials.
We propose and analyze a novel multi-index Monte Carlo (MIMC) method for weak approximation of stochastic models that are described in terms of differential equations either driven by random measures ...or with random coefficients. The MIMC method is both a stochastic version of the combination technique introduced by Zenger, Griebel and collaborators and an extension of the multilevel Monte Carlo (MLMC) method first described by Heinrich and Giles. Inspired by Giles’s seminal work, we use in MIMC high-order mixed differences instead of using first-order differences as in MLMC to reduce the variance of the hierarchical differences dramatically. This in turn yields new and improved complexity results, which are natural generalizations of Giles’s MLMC analysis and which increase the domain of the problem parameters for which we achieve the optimal convergence,
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Moreover, in MIMC, the rate of increase of required memory with respect to
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is independent of the number of directions up to a logarithmic term which allows far more accurate solutions to be calculated for higher dimensions than what is possible when using MLMC. We motivate the setting of MIMC by first focusing on a simple full tensor index set. We then propose a systematic construction of optimal sets of indices for MIMC based on properly defined profits that in turn depend on the average cost per sample and the corresponding weak error and variance. Under standard assumptions on the convergence rates of the weak error, variance and work per sample, the optimal index set turns out to be the total degree type. In some cases, using optimal index sets, MIMC achieves a better rate for the computational complexity than the corresponding rate when using full tensor index sets. We also show the asymptotic normality of the statistical error in the resulting MIMC estimator and justify in this way our error estimate, which allows both the required accuracy and the confidence level in our computational results to be prescribed. Finally, we include numerical experiments involving a partial differential equation posed in three spatial dimensions and with random coefficients to substantiate the analysis and illustrate the corresponding computational savings of MIMC.
Shannon-type expected information gain can be used to evaluate the relevance of a proposed experiment subjected to uncertainty. The estimation of such gain, however, relies on a double-loop ...integration. Moreover, its numerical integration in multi-dimensional cases, e.g., when using Monte Carlo sampling methods, is therefore computationally too expensive for realistic physical models, especially for those involving the solution of partial differential equations. In this work, we present a new methodology, based on the Laplace approximation for the integration of the posterior probability density function (pdf), to accelerate the estimation of the expected information gains in the model parameters and predictive quantities of interest. We obtain a closed-form approximation of the inner integral and the corresponding dominant error term in the cases where parameters are determined by the experiment, such that only a single-loop integration is needed to carry out the estimation of the expected information gain. To deal with the issue of dimensionality in a complex problem, we use a sparse quadrature for the integration over the prior pdf. We demonstrate the accuracy, efficiency and robustness of the proposed method via several nonlinear numerical examples, including the designs of the scalar parameter in a one-dimensional cubic polynomial function, the design of the same scalar in a modified function with two indistinguishable parameters, the resolution width and measurement time for a blurred single peak spectrum, and the boundary source locations for impedance tomography in a square domain.
We provide an overview of the methods that can be used for prediction under uncertainty and data fitting of dynamical systems, and of the fundamental challenges that arise in this context. The focus ...is on SIR-like models, that are being commonly used when attempting to predict the trend of the COVID-19 pandemic. In particular, we raise a warning flag about identifiability of the parameters of SIR-like models; often, it might be hard to infer the correct values of the parameters from data, even for very simple models, making it non-trivial to use these models for meaningful predictions. Most of the points that we touch upon are actually generally valid for inverse problems in more general setups.
•We discuss predictions by dynamical systems with uncertain parameters.•We present a bayesian framework to reduce such uncertainty.•We review the issue of non-identifiability of dynamical systems and its pitfalls.
This paper proposes an extension of the Multi-Index Stochastic Collocation (MISC) method for forward uncertainty quantification (UQ) problems in computational domains of shape other than a square or ...cube, by exploiting isogeometric analysis (IGA) techniques. Introducing IGA solvers to the MISC algorithm is very natural since they are tensor-based PDE solvers, which are precisely what is required by the MISC machinery. Moreover, the combination-technique formulation of MISC allows the straightforward reuse of existing implementations of IGA solvers. We present numerical results to showcase the effectiveness of the proposed approach.
•Isogeometric solvers used in a MISC framework for forward UQ problems.•The combination-technique formulation of the method allows straightforward reuse of legacy IGA solvers.•We show advantages of MISC over multi-level/multi-index Monte Carlo methods.
We develop a fast method for optimally designing experiments in the context of statistical seismic source inversion. In particular, we efficiently compute the optimal number and locations of the ...receivers or seismographs. The seismic source is modeled by a point moment tensor multiplied by a time-dependent function. The parameters include the source location, moment tensor components, and start time and frequency in the time function. The forward problem is modeled by elastodynamic wave equations. We show that the Hessian of the cost functional, which is usually defined as the square of the weighted L2 norm of the difference between the experimental data and the simulated data, is proportional to the measurement time and the number of receivers. Consequently, the posterior distribution of the parameters, in a Bayesian setting, concentrates around the “true” parameters, and we can employ Laplace approximation and speed up the estimation of the expected Kullback–Leibler divergence (expected information gain), the optimality criterion in the experimental design procedure. Since the source parameters span several magnitudes, we use a scaling matrix for efficient control of the condition number of the original Hessian matrix. We use a second-order accurate finite difference method to compute the Hessian matrix and either sparse quadrature or Monte Carlo sampling to carry out numerical integration. We demonstrate the efficiency, accuracy, and applicability of our method on a two-dimensional seismic source inversion problem.
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