skip to main content
US FlagAn official website of the United States government
dot gov icon
Official websites use .gov
A .gov website belongs to an official government organization in the United States.
https lock icon
Secure .gov websites use HTTPS
A lock ( lock ) or https:// means you've safely connected to the .gov website. Share sensitive information only on official, secure websites.


Title: Efficient Propagation of Uncertainty via Reordering Monte Carlo Samples
Uncertainty analysis in the outcomes of model predictions is a key element in decision-based material design to establish confidence in the models and evaluate the fidelity of models. Uncertainty Propagation (UP) is a technique to determine model output uncertainties based on the uncertainty in its input variables. The most common and simplest approach to propagate the uncertainty from a model inputs to its outputs is by feeding a large number of samples to the model, known as Monte Carlo (MC) simulation which requires exhaustive sampling from the input variable distributions. However, MC simulations are impractical when models are computationally expensive. In this work, we investigate the hypothesis that while all samples are useful on average, some samples must be more useful than others. Thus, reordering MC samples and propagating more useful samples can lead to enhanced convergence in statistics of interest earlier and thus, reducing the computational burden of UP process. Here, we introduce a methodology to adaptively reorder MC samples and show how it results in reduction of computational expense of UP processes.  more » « less
Award ID(s):
2001333
PAR ID:
10476121
Author(s) / Creator(s):
Publisher / Repository:
ArXiv
Date Published:
Journal Name:
arXivorg
ISSN:
2331-8422
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
More Like this
  1. Abstract Estimating uncertainty in flood model predictions is important for many applications, including risk assessment and flood forecasting. We focus on uncertainty in physics‐based urban flooding models. We consider the effects of the model's complexity and uncertainty in key input parameters. The effect of rainfall intensity on the uncertainty in water depth predictions is also studied. As a test study, we choose the Interconnected Channel and Pond Routing (ICPR) model of a part of the city of Minneapolis. The uncertainty in the ICPR model's predictions of the floodwater depth is quantified in terms of the ensemble variance using the multilevel Monte Carlo (MC) simulation method. Our results show that uncertainties in the studied domain are highly localized. Model simplifications, such as disregarding the groundwater flow, lead to overly confident predictions, that is, predictions that are both less accurate and uncertain than those of the more complex model. We find that for the same number of uncertain parameters, increasing the model resolution reduces uncertainty in the model predictions (and increases the MC method's computational cost). We employ the multilevel MC method to reduce the cost of estimating uncertainty in a high‐resolution ICPR model. Finally, we use the ensemble estimates of the mean and covariance of the flood depth for real‐time flood depth forecasting using the physics‐informed Gaussian process regression method. We show that even with few measurements, the proposed framework results in a more accurate forecast than that provided by the mean prediction of the ICPR model. 
    more » « less
  2. Yamashita, Y.; Kano, M. (Ed.)
    Bayesian hybrid models (BHMs) fuse physics-based insights with machine learning constructs to correct for systematic bias. In this paper, we demonstrate a scalable computational strategy to embed BHMs in an equation-oriented modelling environment. Thus, this paper generalizes stochastic programming, which traditionally focuses on aleatoric uncertainty (as characterized by a probability distribution for uncertainty model parameters) to also consider epistemic uncertainty, i.e., mode-form uncertainty or systematic bias as modelled by the Gaussian process in the BHM. As an illustrative example, we consider ballistic firing using a BHM that includes a simplified glass-box (i.e., equation-oriented) model that neglects air resistance and a Gaussian process model to account for systematic bias (i.e., epistemic or model-form uncertainty) induced from the model simplification. The gravity parameter and the GP hypermeters are inferred from data in a Bayesian framework, yielding a posterior distribution. A novel single-stage stochastic program formulation using the posterior samples and Gaussian quadrature rules is proposed to compute the optimal decisions (e.g., firing angle and velocity) that minimize the expected value of an objective (e.g., distance from a stationary target). PySMO is used to generate expressions for the GP prediction mean and uncertainty in Pyomo, enabling efficient optimization with gradient-based solvers such as Ipopt. A scaling study characterizes the solver time and number of iterations for up to 2,000 samples from the posterior. 
    more » « less
  3. Multiscale systems biology is having an increasingly powerful impact on our understanding of the interconnected molecular, cellular, and microenvironmental drivers of tumor growth and the effects of novel drugs and drug combinations for cancer therapy. Agent-based models (ABMs) that treat cells as autonomous decision-makers, each with their own intrinsic characteristics, are a natural platform for capturing intratumoral heterogeneity. Agent-based models are also useful for integrating the multiple time and spatial scales associated with vascular tumor growth and response to treatment. Despite all their benefits, the computational costs of solving agent-based models escalate and become prohibitive when simulating millions of cells, making parameter exploration and model parameterization from experimental data very challenging. Moreover, such data are typically limited, coarse-grained and may lack any spatial resolution, compounding these challenges. We address these issues by developing a first-of-its-kind method that leverages explicitly formulated surrogate models (SMs) to bridge the current computational divide between agent-based models and experimental data. In our approach, Surrogate Modeling for Reconstructing Parameter Surfaces (SMoRe ParS), we quantify the uncertainty in the relationship between agent-based model inputs and surrogate model parameters, and between surrogate model parameters and experimental data. In this way, surrogate model parameters serve as intermediaries between agent-based model input and data, making it possible to use them for calibration and uncertainty quantification of agent-based model parameters that map directly onto an experimental data set. We illustrate the functionality and novelty of Surrogate Modeling for Reconstructing Parameter Surfaces by applying it to an agent-based model of 3D vascular tumor growth, and experimental data in the form of tumor volume time-courses. Our method is broadly applicable to situations where preserving underlying mechanistic information is of interest, and where computational complexity and sparse, noisy calibration data hinder model parameterization. 
    more » « less
  4. Abstract. Monte Carlo (MC) methods have been widely used in uncertainty analysis and parameter identification for hydrological models. The main challenge with these approaches is, however, the prohibitive number of model runs required to acquire an adequate sample size, which may take from days to months – especially when the simulations are run in distributed mode. In the past, emulators have been used to minimize the computational burden of the MC simulation through direct estimation of the residual-based response surfaces. Here, we apply emulators of an MC simulation in parameter identification for a distributed conceptual hydrological model using two likelihood measures, i.e. the absolute bias of model predictions (Score) and another based on the time-relaxed limits of acceptability concept (pLoA). Three machine-learning models (MLMs) were built using model parameter sets and response surfaces with a limited number of model realizations (4000). The developed MLMs were applied to predict pLoA and Score for a large set of model parameters (95 000). The behavioural parameter sets were identified using a time-relaxed limits of acceptability approach, based on the predicted pLoA values, and applied to estimate the quantile streamflow predictions weighted by their respective Score. The three MLMs were able to adequately mimic the response surfaces directly estimated from MC simulations with an R2 value of 0.7 to 0.92. Similarly, the models identified using the coupled machine-learning (ML) emulators and limits of acceptability approach have performed very well in reproducing the median streamflow prediction during the calibration and validation periods, with an average Nash–Sutcliffe efficiency value of 0.89 and 0.83, respectively. 
    more » « less
  5. Facing stochastic variations of the loads due to an increasing penetration of renewable energy generation, online decision making under uncertainty in modern power systems is capturing power researchers' attention in recent years. To address this issue while achieving a good balance between system security and economic objectives, we propose a surrogate-enhanced scheme under a joint chance-constrained (JCC) optimal power-flow (OPF) framework. Starting from a stochastic-sampling procedure, we first utilize the copula theory to simulate the dependence among multivariate uncertain inputs. Then, to reduce the prohibitive computational time required in the traditional Monte-Carlo (MC) method, we propose to use a polynomial-chaos-based surrogate that allows us to efficiently evaluate the power-system model at non-Gaussian distributed sampled values with a negligible computing cost. Learning from the MC simulated samples, we further proposed a hybrid adaptive approach to overcome the conservativeness of the JCC-OPF by utilizing correlation of the system states, which is ignored in the traditional Boole's inequality. The simulations conducted on the modified Illinois test system demonstrate the excellent performance of the proposed method. 
    more » « less