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1. Scalable Adaptive Batch Sampling in Simulation-Based Design With Heteroscedastic Noise

   https://doi.org/10.1115/1.4049134  

   van Beek, Anton ; Ghumman, Umar Farooq ; Munshi, Joydeep ; Tao, Siyu ; Chien, TeYu ; Balasubramanian, Ganesh ; Plumlee, Matthew ; Apley, Daniel ; Chen, Wei ( March 2021 , Journal of Mechanical Design)

   null (Ed.)

   Abstract In this study, we propose a scalable batch sampling scheme for optimization of simulation models with spatially varying noise. The proposed scheme has two primary advantages: (i) reduced simulation cost by recommending batches of samples at carefully selected spatial locations and (ii) improved scalability by actively considering replicating at previously observed sampling locations. Replication improves the scalability of the proposed sampling scheme as the computational cost of adaptive sampling schemes grow cubicly with the number of unique sampling locations. Our main consideration for the allocation of computational resources is the minimization of the uncertainty in the optimal design. We analytically derive the relationship between the “exploration versus replication decision” and the posterior variance of the spatial random process used to approximate the simulation model’s mean response. Leveraging this reformulation in a novel objective-driven adaptive sampling scheme, we show that we can identify batches of samples that minimize the prediction uncertainty only in the regions of the design space expected to contain the global optimum. Finally, the proposed sampling scheme adopts a modified preposterior analysis that uses a zeroth-order interpolation of the spatially varying simulation noise to identify sampling batches. Through the optimization of three numerical test functions and one engineering problem, we demonstrate (i) the efficacy and of the proposed sampling scheme to deal with a wide array of stochastic functions, (ii) the superior performance of the proposed method on all test functions compared to existing methods, (iii) the empirical validity of using a zeroth-order approximation for the allocation of sampling batches, and (iv) its applicability to molecular dynamics simulations by optimizing the performance of an organic photovoltaic cell as a function of its processing settings. 

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2. ISALT: Inference-based schemes adaptive to large time-stepping for locally Lipschitz ergodic systems

   https://doi.org/10.3934/dcdss.2021103  

   Li, Xingjie Helen ; Lu, Fei ; Ye, Felix X.-F. ( January 2022 , Discrete & Continuous Dynamical Systems - S)

   Efficient simulation of SDEs is essential in many applications, particularly for ergodic systems that demand efficient simulation of both short-time dynamics and large-time statistics. However, locally Lipschitz SDEs often require special treatments such as implicit schemes with small time-steps to accurately simulate the ergodic measures. We introduce a framework to construct inference-based schemes adaptive to large time-steps (ISALT) from data, achieving a reduction in time by several orders of magnitudes. The key is the statistical learning of an approximation to the infinite-dimensional discrete-time flow map. We explore the use of numerical schemes (such as the Euler-Maruyama, the hybrid RK4, and an implicit scheme) to derive informed basis functions, leading to a parameter inference problem. We introduce a scalable algorithm to estimate the parameters by least squares, and we prove the convergence of the estimators as data size increases.

   We test the ISALT on three non-globally Lipschitz SDEs: the 1D double-well potential, a 2D multiscale gradient system, and the 3D stochastic Lorenz equation with a degenerate noise. Numerical results show that ISALT can tolerate time-step magnitudes larger than plain numerical schemes. It reaches optimal accuracy in reproducing the invariant measure when the time-step is medium-large.

    

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3. Single Observation Adaptive Search for Continuous Simulation

   Kiatsupaibul, Seksan ; Smith, Robert L ; and Zabinsky, Zelda B. ( January 2018 , Operations research)

   Optimizing the performance of complex systems modeled by stochastic computer simulations is a challenging task, partly because of the lack of structural properties (e.g., convexity). This challenge is magnified by the presence of random error whereby an adaptive algorithm searching for better designs can at times mistakenly accept an inferior design. In contrast to performing multiple simulations at a design point to estimate the performance of the design, we propose a framework for adaptive search algorithms that executes a single simulation for each design point encountered. Here the estimation errors are reduced by averaging the performances from previously evaluated designs drawn from a shrinking ball around the current design point. We show under mild regularity conditions for continuous design spaces that the accumulated errors, although dependent, form a martingale process, and hence, by the strong law of large numbers for martingales, the average errors converge to zero as the algorithm proceeds. This class of algorithms is shown to converge to a global optimum with probability one. By employing a shrinking ball approach with single observations, an adaptive search algorithm can simultaneously improve the estimates of performance while exploring new and potentially better design points. Numerical experiments offer empirical support for this paradigm of single observation simulation optimization. 

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4. Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models

   https://doi.org/10.1002/nav.21938  

   Pan, Qiyun ; Byon, Eunshin ; Ko, Young Myoung ; Lam, Henry ( August 2020 , Naval Research Logistics (NRL))

   Quantile is an important quantity in reliability analysis, as it is related to the resistance level for defining failure events. This study develops a computationally efficient sampling method for estimating extreme quantiles using stochastic black box computer models. Importance sampling has been widely employed as a powerful variance reduction technique to reduce estimation uncertainty and improve computational efficiency in many reliability studies. However, when applied to quantile estimation, importance sampling faces challenges, because a good choice of the importance sampling density relies on information about the unknown quantile. We propose an adaptive method that refines the importance sampling density parameter toward the unknown target quantile value along the iterations. The proposed adaptive scheme allows us to use the simulation outcomes obtained in previous iterations for steering the simulation process to focus on important input areas. We prove some convergence properties of the proposed method and show that our approach can achieve variance reduction over crude Monte Carlo sampling. We demonstrate its estimation efficiency through numerical examples and wind turbine case study.

    

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5. Neural sampling machine with stochastic synapse allows brain-like learning and inference

   https://doi.org/10.1038/s41467-022-30305-8  

   Dutta, Sourav ; Detorakis, Georgios ; Khanna, Abhishek ; Grisafe, Benjamin ; Neftci, Emre ; Datta, Suman ( May 2022 , Nature Communications)

   Many real-world mission-critical applications require continual online learning from noisy data and real-time decision making with a defined confidence level. Brain-inspired probabilistic models of neural network can explicitly handle the uncertainty in data and allow adaptive learning on the fly. However, their implementation in a compact, low-power hardware remains a challenge. In this work, we introduce a novel hardware fabric that can implement a new class of stochastic neural network called Neural Sampling Machine (NSM) by exploiting the stochasticity in the synaptic connections for approximate Bayesian inference. We experimentally demonstrate an in silico hybrid stochastic synapse by pairing a ferroelectric field-effect transistor (FeFET)-based analog weight cell with a two-terminal stochastic selector element. We show that the stochastic switching characteristic of the selector between the insulator and the metallic states resembles the multiplicative synaptic noise of the NSM. We perform network-level simulations to highlight the salient features offered by the stochastic NSM such as performing autonomous weight normalization for continual online learning and Bayesian inferencing. We show that the stochastic NSM can not only perform highly accurate image classification with 98.25% accuracy on standard MNIST dataset, but also estimate the uncertainty in prediction (measured in terms of the entropy of prediction) when the digits of the MNIST dataset are rotated. Building such a probabilistic hardware platform that can support neuroscience inspired models can enhance the learning and inference capability of the current artificial intelligence (AI).

    

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