First order k-th moment finite element analysis of nonlinear operator equations with stochastic data

We develop and analyze a class of efficient Galerkin approximation methods for uncertainty quantification of nonlinear operator equations. The algorithms are based on sparse Galerkin discretizations of tensorized linearizations at nominal parameters. Specifically, we consider abstract, nonlinear, parametric operator equations J(\alpha ,u)=0 for random input \alpha (\omega ) with almost sure realizations in a neighborhood of a nominal input parameter \alpha _0. Under some structural assumptions on the parameter dependence, we prove existence and uniqueness of a random solution, u(\omega ) = S(\alpha (\omega )). We derive a multilinear, tensorized operator equation for the deterministic computation of k-th order statistical moments of the random solution's fluctuations u(\omega ) - S(\alpha _0). We introduce and analyse sparse tensor Galerkin discretization schemes for the efficient, deterministic computation of the k-th statistical moment equation. We prove a shift theorem for the k-point correlation equation in anisotropic smoothness scales and deduce that sparse tensor Galerkin discretizations of this equation converge in accuracy vs. complexity which equals, up to logarithmic terms, that of the Galerkin discretization of a single instance of the mean field problem. We illustrate the abstract theory for nonstationary diffusion problems in random domains.

Stochastic climate theory and modeling

Stochastic methods are a crucial area in contemporary climate research and are increasingly being used in comprehensive weather and climate prediction models as well as reduced order climate models. Stochastic methods are used as subgrid-scale parameterizations (SSPs) as well as for model error representation, uncertainty quantification, data assimilation, and ensemble prediction. The need to use stochastic approaches in weather and climate models arises because we still cannot resolve all necessary processes and scales in comprehensive numerical weather and climate prediction models. In many practical applications one is mainly interested in the largest and potentially predictable scales and not necessarily in the small and fast scales. For instance, reduced order models can simulate and predict large-scale modes. Statistical mechanics and dynamical systems theory suggest that in reduced order models the impact of unresolved degrees of freedom can be represented by suitable combinations of deterministic and stochastic components and non-Markovian (memory) terms. Stochastic approaches in numerical weather and climate prediction models also lead to the reduction of model biases. Hence, there is a clear need for systematic stochastic approaches in weather and climate modeling. In this review, we present evidence for stochastic effects in laboratory experiments. Then we provide an overview of stochastic climate theory from an applied mathematics perspective. We also survey the current use of stochastic methods in comprehensive weather and climate prediction models and show that stochastic parameterizations have the potential to remedy many of the current biases in these comprehensive models.

Towards a typology for constrained climate model forecasts

In recent years several methodologies have been developed to combine and interpret ensembles of climate models with the aim of quantifying uncertainties in climate projections. Constrained climate model forecasts have been generated by combining various choices of metrics used to weight individual ensemble members, with diverse approaches to sampling the ensemble. The forecasts obtained are often significantly different, even when based on the same model output. Therefore, a climate model forecast classification system can serve two roles: to provide a way for forecast producers to self-classify their forecasts; and to provide information on the methodological assumptions underlying the forecast generation and its uncertainty when forecasts are used for impacts studies. In this review we propose a possible classification system based on choices of metrics and sampling strategies. We illustrate the impact of some of the possible choices in the uncertainty quantification of large scale projections of temperature and precipitation changes, and briefly discuss possible connections between climate forecast uncertainty quantification and decision making approaches in the climate change context.

Reducing The Risk Of Floods In Urban Areas With Combined Inland-River System

With the change of the water environment in accordance with climate change, the loss of lives and properties has increased due to urban flood. Although the importance of urban floods has been highlighted quickly, the construction of advancement technology of an urban drainage system combined with inland-river water and its relevant research has not been emphasized in Korea. In addition, without operation in consideration of combined inland-river water, it is difficult to prevent urban flooding effectively. This study, therefore, develops the uncertainty quantification technology of the risk-based water level and the assessment technology of a flood-risk region through a flooding analysis of the combination of inland-river. The study is also conducted to develop forecast technology of change in the water level of an urban region through the construction of very short-term/short-term flood forecast systems. This study is expected to be able to build an urban flood forecast system which makes it possible to support decision making for systematic disaster prevention which can cope actively with climate change.

Detection of Internal Defects in Concrete Members Using Global Vibration Characteristics

Rock-pocket and honeycomb defects impair overall stiffness, accelerate aging, reduce service life, and cause structural problems in hardened concrete members. Traditional methods for detecting such deficient volumes involve visual observations or localized nondestructive methods, which are labor-intensive, time-consuming, highly sensitive to test conditions, and require knowledge of and accessibility to defect locations. The authors propose a vibration response-based nondestructive technique that combines experimental and numerical methodologies for use in identifying the location and severity of internal defects of concrete members. The experimental component entails collecting mode shape curvatures from laboratory beam specimens with size-controlled rock pocket and honeycomb defects, and the numerical component entails simulating beam vibration response through a finite element (FE) model parameterized with three defect-identifying variables indicating location (x, coordinate along the beam length) and severity of damage (alpha, stiffness reduction and beta, mass reduction). Defects are detected by comparing the FE model predictions to experimental measurements and inferring the low number of defect-identifying variables. This method is particularly well-suited for rapid and cost-effective quality assurance for precast concrete members and for inspecting concrete members with simple geometric forms.

A Nonstationary Space-Time Gaussian Process Model for Partially Converged Simulations

In the context of expensive numerical experiments, a promising solution for alleviating the computational costs consists of using partially converged simulations instead of exact solutions. The gain in computational time is at the price of precision in the response. This work addresses the issue of fitting a Gaussian process model to partially converged simulation data for further use in prediction. The main challenge consists of the adequate approximation of the error due to partial convergence, which is correlated in both design variables and time directions. Here, we propose fitting a Gaussian process in the joint space of design parameters and computational time. The model is constructed by building a nonstationary covariance kernel that reflects accurately the actual structure of the error. Practical solutions are proposed for solving parameter estimation issues associated with the proposed model. The method is applied to a computational fluid dynamics test case and shows significant improvement in prediction compared to a classical kriging model.

Application of a Bayesian/Generalised Least-Squares method to generate correlations between independent neutron fission yield data

Fission product yields are fundamental parameters for several nuclear engineering calculations and in particular for burn-up/activation problems. The impact of their uncertainties was widely studied in the past and valuations were released, although still incomplete. Recently, the nuclear community expressed the need for full fission yield covariance matrices to produce inventory calculation results that take into account the complete uncertainty data. In this work, we studied and applied a Bayesian/generalised least-squares method for covariance generation, and compared the generated uncertainties to the original data stored in the JEFF-3.1.2 library. Then, we focused on the effect of fission yield covariance information on fission pulse decay heat results for thermal fission of 235U. Calculations were carried out using different codes (ACAB and ALEPH-2) after introducing the new covariance values. Results were compared with those obtained with the uncertainty data currently provided by the library. The uncertainty quantification was performed with the Monte Carlo sampling technique. Indeed, correlations between fission yields strongly affect the statistics of decay heat. Introduction Nowadays, any engineering calculation performed in the nuclear field should be accompanied by an uncertainty analysis. In such an analysis, different sources of uncertainties are taken into account. Works such as those performed under the UAM project (Ivanov, et al., 2013) treat nuclear data as a source of uncertainty, in particular cross-section data for which uncertainties given in the form of covariance matrices are already provided in the major nuclear data libraries. Meanwhile, fission yield uncertainties were often neglected or treated shallowly, because their effects were considered of second order compared to cross-sections (Garcia-Herranz, et al., 2010). However, the Working Party on International Nuclear Data Evaluation Co-operation (WPEC)

Impact of Nuclear Data Uncertainties on Advanced Fuel Cycles and Their Irradiated Fuel - A comparison between Libraries

The uncertainties on the isotopic composition throughout the burnup due to the nuclear data uncertainties are analysed. The different sources of uncertainties: decay data, fission yield and cross sections; are propagated individually, and their effect assessed. Two applications are studied: EFIT (an ADS-like reactor) and ESFR (Sodium Fast Reactor). The impact of the uncertainties on cross sections provided by the EAF-2010, SCALE6.1 and COMMARA-2.0 libraries are compared. These Uncertainty Quantification (UQ) studies have been carried out with a Monte Carlo sampling approach implemented in the depletion/activation code ACAB. Such implementation has been improved to overcome depletion/activation problems with variations of the neutron spectrum.

Alteration of natural ³⁷Ar activity concentration in the subsurface by gas transport and water infiltration

High ³⁷Ar activity concentration in soil gas is proposed as a key evidence for the detection of underground nuclear explosion by the Comprehensive Nuclear Test-Ban Treaty. However, such a detection is challenged by the natural background of ³⁷Ar in the subsurface, mainly due to Ca activation by cosmic rays. A better understanding and improved capability to predict ³⁷Ar activity concentration in the subsurface and its spatial and temporal variability is thus required. A numerical model integrating ³⁷Ar production and transport in the subsurface is developed, including variable soil water content and water infiltration at the surface. A parameterized equation for ³⁷Ar production in the first 15 m below the surface is studied, taking into account the major production reactions and the moderation effect of soil water content. Using sensitivity analysis and uncertainty quantification, a realistic and comprehensive probability distribution of natural ³⁷Ar activity concentrations in soil gas is proposed, including the effects of water infiltration. Site location and soil composition are identified as the parameters allowing for a most effective reduction of the possible range of ³⁷Ar activity concentrations. The influence of soil water content on ³⁷Ar production is shown to be negligible to first order, while ³⁷Ar activity concentration in soil gas and its temporal variability appear to be strongly influenced by transient water infiltration events. These results will be used as a basis for practical CTBTO concepts of operation during an OSI.

Uncertain natural frequency analysis of composite plates including effect of noise – A polynomial neural network approach

Acknowledgement SN and SS gratefully acknowledge the financial support from Lloyd’s Register Foundation Centre during this work.

Bayesian Inference in Large-scale Problems

Many modern applications fall into the category of "large-scale" statistical problems, in which both the number of observations n and the number of features or parameters p may be large. Many existing methods focus on point estimation, despite the continued relevance of uncertainty quantification in the sciences, where the number of parameters to estimate often exceeds the sample size, despite huge increases in the value of n typically seen in many fields. Thus, the tendency in some areas of industry to dispense with traditional statistical analysis on the basis that "n=all" is of little relevance outside of certain narrow applications. The main result of the Big Data revolution in most fields has instead been to make computation much harder without reducing the importance of uncertainty quantification. Bayesian methods excel at uncertainty quantification, but often scale poorly relative to alternatives. This conflict between the statistical advantages of Bayesian procedures and their substantial computational disadvantages is perhaps the greatest challenge facing modern Bayesian statistics, and is the primary motivation for the work presented here.

Two general strategies for scaling Bayesian inference are considered. The first is the development of methods that lend themselves to faster computation, and the second is design and characterization of computational algorithms that scale better in n or p. In the first instance, the focus is on joint inference outside of the standard problem of multivariate continuous data that has been a major focus of previous theoretical work in this area. In the second area, we pursue strategies for improving the speed of Markov chain Monte Carlo algorithms, and characterizing their performance in large-scale settings. Throughout, the focus is on rigorous theoretical evaluation combined with empirical demonstrations of performance and concordance with the theory.

One topic we consider is modeling the joint distribution of multivariate categorical data, often summarized in a contingency table. Contingency table analysis routinely relies on log-linear models, with latent structure analysis providing a common alternative. Latent structure models lead to a reduced rank tensor factorization of the probability mass function for multivariate categorical data, while log-linear models achieve dimensionality reduction through sparsity. Little is known about the relationship between these notions of dimensionality reduction in the two paradigms. In Chapter 2, we derive several results relating the support of a log-linear model to nonnegative ranks of the associated probability tensor. Motivated by these findings, we propose a new collapsed Tucker class of tensor decompositions, which bridge existing PARAFAC and Tucker decompositions, providing a more flexible framework for parsimoniously characterizing multivariate categorical data. Taking a Bayesian approach to inference, we illustrate empirical advantages of the new decompositions.

Latent class models for the joint distribution of multivariate categorical, such as the PARAFAC decomposition, data play an important role in the analysis of population structure. In this context, the number of latent classes is interpreted as the number of genetically distinct subpopulations of an organism, an important factor in the analysis of evolutionary processes and conservation status. Existing methods focus on point estimates of the number of subpopulations, and lack robust uncertainty quantification. Moreover, whether the number of latent classes in these models is even an identified parameter is an open question. In Chapter 3, we show that when the model is properly specified, the correct number of subpopulations can be recovered almost surely. We then propose an alternative method for estimating the number of latent subpopulations that provides good quantification of uncertainty, and provide a simple procedure for verifying that the proposed method is consistent for the number of subpopulations. The performance of the model in estimating the number of subpopulations and other common population structure inference problems is assessed in simulations and a real data application.

In contingency table analysis, sparse data is frequently encountered for even modest numbers of variables, resulting in non-existence of maximum likelihood estimates. A common solution is to obtain regularized estimates of the parameters of a log-linear model. Bayesian methods provide a coherent approach to regularization, but are often computationally intensive. Conjugate priors ease computational demands, but the conjugate Diaconis--Ylvisaker priors for the parameters of log-linear models do not give rise to closed form credible regions, complicating posterior inference. In Chapter 4 we derive the optimal Gaussian approximation to the posterior for log-linear models with Diaconis--Ylvisaker priors, and provide convergence rate and finite-sample bounds for the Kullback-Leibler divergence between the exact posterior and the optimal Gaussian approximation. We demonstrate empirically in simulations and a real data application that the approximation is highly accurate, even in relatively small samples. The proposed approximation provides a computationally scalable and principled approach to regularized estimation and approximate Bayesian inference for log-linear models.

Another challenging and somewhat non-standard joint modeling problem is inference on tail dependence in stochastic processes. In applications where extreme dependence is of interest, data are almost always time-indexed. Existing methods for inference and modeling in this setting often cluster extreme events or choose window sizes with the goal of preserving temporal information. In Chapter 5, we propose an alternative paradigm for inference on tail dependence in stochastic processes with arbitrary temporal dependence structure in the extremes, based on the idea that the information on strength of tail dependence and the temporal structure in this dependence are both encoded in waiting times between exceedances of high thresholds. We construct a class of time-indexed stochastic processes with tail dependence obtained by endowing the support points in de Haan's spectral representation of max-stable processes with velocities and lifetimes. We extend Smith's model to these max-stable velocity processes and obtain the distribution of waiting times between extreme events at multiple locations. Motivated by this result, a new definition of tail dependence is proposed that is a function of the distribution of waiting times between threshold exceedances, and an inferential framework is constructed for estimating the strength of extremal dependence and quantifying uncertainty in this paradigm. The method is applied to climatological, financial, and electrophysiology data.

The remainder of this thesis focuses on posterior computation by Markov chain Monte Carlo. The Markov Chain Monte Carlo method is the dominant paradigm for posterior computation in Bayesian analysis. It has long been common to control computation time by making approximations to the Markov transition kernel. Comparatively little attention has been paid to convergence and estimation error in these approximating Markov Chains. In Chapter 6, we propose a framework for assessing when to use approximations in MCMC algorithms, and how much error in the transition kernel should be tolerated to obtain optimal estimation performance with respect to a specified loss function and computational budget. The results require only ergodicity of the exact kernel and control of the kernel approximation accuracy. The theoretical framework is applied to approximations based on random subsets of data, low-rank approximations of Gaussian processes, and a novel approximating Markov chain for discrete mixture models.

Data augmentation Gibbs samplers are arguably the most popular class of algorithm for approximately sampling from the posterior distribution for the parameters of generalized linear models. The truncated Normal and Polya-Gamma data augmentation samplers are standard examples for probit and logit links, respectively. Motivated by an important problem in quantitative advertising, in Chapter 7 we consider the application of these algorithms to modeling rare events. We show that when the sample size is large but the observed number of successes is small, these data augmentation samplers mix very slowly, with a spectral gap that converges to zero at a rate at least proportional to the reciprocal of the square root of the sample size up to a log factor. In simulation studies, moderate sample sizes result in high autocorrelations and small effective sample sizes. Similar empirical results are observed for related data augmentation samplers for multinomial logit and probit models. When applied to a real quantitative advertising dataset, the data augmentation samplers mix very poorly. Conversely, Hamiltonian Monte Carlo and a type of independence chain Metropolis algorithm show good mixing on the same dataset.

Qualification of optical fiber sensors for the structural health monitoring of aerospace structures

In recent years, composite materials have revolutionized the design of many structures. Their superior mechanical properties and light weight make composites convenient over traditional metal structures for many applications. However, composite materials are susceptible to complex and challenging to predict damage behaviors due to their anisotropy nature. Therefore, structural Health Monitoring (SHM) can be a valuable tool to assess the damage and understand the physics underneath. Distributed Optical Fiber Sensors (DOFS) can be used to monitor several types of damage in composites. However, their implementation outside academia is still unsatisfactory. One of the hindrances is the lack of a rigorous methodology for uncertainty quantification, which is essential for the performance assessment of the monitoring system. The concept of Probability of Detection (POD) must function as the guiding light in this process. However, precautions must be taken since this tool was established for Non-Destructive Evaluation (NDE) rather than Structural Health Monitoring (SHM). In addition, although DOFS have been the object of numerous studies, a well-established POD methodology for their performance assessment is still missing. This thesis aims to develop a methodology to produce POD curves for DOFS in composite materials. The problem is analyzed considering several critical points, such as the strain transfer characterizing the DOFS and the development of an experimental and model-assisted methodology to understand the parameters that affect the DOFS performance.

Decoding complex flow phenomena via Dynamic Mode Decomposition

In this thesis, the viability of the Dynamic Mode Decomposition (DMD) as a technique to analyze and model complex dynamic real-world systems is presented. This method derives, directly from data, computationally efficient reduced-order models (ROMs) which can replace too onerous or unavailable high-fidelity physics-based models. Optimizations and extensions to the standard implementation of the methodology are proposed, investigating diverse case studies related to the decoding of complex flow phenomena. The flexibility of this data-driven technique allows its application to high-fidelity fluid dynamics simulations, as well as time series of real systems observations. The resulting ROMs are tested against two tasks: (i) reduction of the storage requirements of high-fidelity simulations or observations; (ii) interpolation and extrapolation of missing data. The capabilities of DMD can also be exploited to alleviate the cost of onerous studies that require many simulations, such as uncertainty quantification analysis, especially when dealing with complex high-dimensional systems. In this context, a novel approach to address parameter variability issues when modeling systems with space and time-variant response is proposed. Specifically, DMD is merged with another model-reduction technique, namely the Polynomial Chaos Expansion, for uncertainty quantification purposes. Useful guidelines for DMD deployment result from the study, together with the demonstration of its potential to ease diagnosis and scenario analysis when complex flow processes are involved.

Assessing model credibility of CT-Based finite element model to predict bone strength

Osteoporosis is one of the major causes of mortality among the elderly. Nowadays, areal bone mineral density (aBMD) is used as diagnostic criteria for osteoporosis; however, this is a moderate predictor of the femur fracture risk and does not capture the effect of some anatomical and physiological properties on the bone strength estimation. Data from past research suggest that most fragility femur fractures occur in patients with aBMD values outside the pathological range. Subject-specific finite element models derived from computed tomography data are considered better tools to non-invasively assess hip fracture risk. In particular, the Bologna Biomechanical Computed Tomography (BBCT) is an In Silico methodology that uses a subject specific FE model to predict bone strength. Different studies demonstrated that the modeling pipeline can increase predictive accuracy of osteoporosis detection and assess the efficacy of new antiresorptive drugs. However, one critical aspect that must be properly addressed before using the technology in the clinical practice, is the assessment of the model credibility. The aim of this study was to define and perform verification and uncertainty quantification analyses on the BBCT methodology following the risk-based credibility assessment framework recently proposed in the VV-40 standard. The analyses focused on the main verification tests used in computational solid mechanics: force and moment equilibrium check, mesh convergence analyses, mesh quality metrics study, evaluation of the uncertainties associated to the definition of the boundary conditions and material properties mapping. Results of these analyses showed that the FE model is correctly implemented and solved. The operation that mostly affect the model results is the material properties mapping step. This work represents an important step that, together with the ongoing clinical validation activities, will contribute to demonstrate the credibility of the BBCT methodology.