Cutting-Edge Stochastic Approach: Efficient Monte Carlo Algorithms with Applications to Sensitivity Analysis

Studying the sensitivity of pollutants’ concentrations caused by variations of chemical rates

The present study is based on The Unified Danish Eulerian Model (UNI-DEM) as one of the most advanced large- scale mathematical models that describes adequately all physical and chemical processes. One of the most attractive features of UNI-DEM is its advanced chemical scheme the Condensed CBM IV, which consider a large number of chemical species and numerous reactions between them, of which the ozone is one of the most important pollutants for its central role in many practical applications of the results. The calculations are done in a large spatial domain, which covers completely the European region and the Mediterranean, for certain time period. A comprehensive experimental study of Monte Carlo algorithm based on modifications of the Latin Hypercube Sampling Edge and Random Algorithms for multidimensional numerical integration has been done. Samplings with different seeds has been analyzed. This comparison has been made for the first time for sensitivity analysis of UNI-DEM. The algorithms have been successfully applied to compute global Sobol sensitivity measures corresponding to the six chemical reactions rates and four different groups of pollutants.

An important issue when large-scale mathematical models are used to support decision makers is their reliability. Sensitivity analysis of model outputs to variation or natural uncertainties of model inputs is very significant for improving the reliability of these models. A comprehensive experimental study of Monte Carlo algorithm based on adaptive Monte Carlo approach for multidimensional numerical integration has been done. A comparison with Latin Hypercube Sampling and a particular quasi-Monte Carlo lattice rule based on generalized Fibonacci numbers has been presented. Such comparison has been made for the first time and this motivates the present study. The concentration values have been generated by the specialized modification SA-DEM of the Unified Danish Eulerian Model. Its parallel efficiency and scalability will be demonstrated by experiments on some of the most powerful supercomputers in Europe. The algorithms have been successfully applied to compute global Sobol sensitivity measures corresponding to the influence of six chemical reaction rates and four different groups of pollutants on the concentrations of important air pollutants.

Global sensitivity analysis (GSA) is useful to recognize important inputs for assigning priority and unimportant inputs for simplifying models by exploring whole distribution ranges. Meanwhile, regional sensitivity analysis (RSA) is also studied for finding the contribution of the critical region of an input, which can be viewed as the complementary of GSA. However, there is a lack of GSA and RSA research in presence of fuzzy uncertainty. Thus, a new global sensitivity index (GSI) under the fuzzy uncertainty is devoted on the credibility distribution function (CrDF), a comprehensive distribution description under the fuzzy uncertainty. The CrDF-based GSI is defined by the fuzzy expectation of the difference between the CrDF and the conditional CrDF of the output on fixing the fuzzy input over its whole distribution range, which can quantify the contribution of the fuzzy input to the output CrDF. Then, a new fuzzy RSA technique, the contribution to this CrDF based index (shortened by CCI) plot, is also proposed, and it can assess the effect of given regions of important inputs on output CrDF. Besides, mathematical properties of the CrDF based GSI and the CCI plot are discussed, and their solution are established by use of the fuzzy simulation with the same set of samples. After the accuracy of established fuzzy simulation solution for the CrDF based GSI and the CCI plot are verified by an analytical example, other examples are used to demonstrate the reasonability and applicability of proposed CrDF based GSI and CCI plot under fuzzy uncertainty.

Sensitivity analysis is a powerful tool for studying and improving the reliability of mathematical models. Air pollution and meteorological models are in front places among the examples of mathematical models with a lot of natural uncertainties in their input data sets and parameters. In this work some results of the global sensitivity study of the Unified Danish Eulerian Model (UNI-DEM) have been presented. One of the most attractive features of UNI-DEM is its advanced chemical scheme – the Condensed CBM IV, which consider a large number of chemical species and numerous reactions between them, of which the ozone is one of the most important pollutants for its central role in many practical applications of the results. A comprehensive experimental study of quasi-Monte Carlo algorithms based on lattice sequences with different generating vectors for multidimensional numerical integration has been done. The Fibonacci based lattice rule is compared with other types of lattice rules. The performance of a lattice rule depends on the choice of the generator vectors. When the integrand is sufficiently regular the lattice rules outperform not only the standard Monte Carlo methods, but also other types of methods using low discrepancy sequences.

Large-scale models are mathematical models with a lot of natural uncertainties in their input data sets and parameters. Sensitivity analysis (SA) is a powerful tool for studying the impact of these uncertainties on the output results and helps to improve the reliability of these models. In this article we present some results of a global sensitivity study of the Unified Danish Eulerian Model (UNI-DEM). A large number of heavy numerical experiments must be carried out in order to collect the necessary data for such comprehensive sensitivity study. One of the largest supercomputers in Europe and the most powerful in Bulgaria, the petascale EuroHPC supercomputer Discoverer is used to perform efficiently this huge amount of computations. One of the most important features of UNI-DEM is its advanced chemical scheme, called Condensed CBM IV, which considers a large number of chemical species and all significant reactions between them. The ozone is one of the most harmful pollutants, that is why it is important for many practical applications to study it precisely. Stochastic methods based on Adaptive approach and Sobol sequences are used for computing the corresponding sensitivity measures. We show by experiments that the stochastic algorithms for calculating the multidimensional integrals under consideration are one of the best stochastic techniques for computing the small in value sensitivity indices.

The aim of this article is to study the reliability analysis, parametric reliability sensitivity analysis and global reliability sensitivity analysis of structures with extremely rare failure events. First, the global reliability sensitivity indices are restudied, and we show that the total effect index can also be interpreted as the effect of randomly copying each individual input variable on the failure surface. Second, a new method, denoted as Active learning Kriging Markov Chain Monte Carlo (AK-MCMC), is developed for adaptively approximating the failure surface with active learning Kriging surrogate model as well as dynamically updated Monte Carlo or Markov chain Monte Carlo populations. Third, the AK-MCMC procedure combined with the quasi-optimal importance sampling procedure is extended for estimating the failure probability and the parametric reliability sensitivity and global reliability sensitivity indices. For estimating the global reliability sensitivity indices, two new importance sampling estimators are derived. The AK-MCMC procedure can be regarded as a combination of the classical Monte Carlo Simulation (AK-MCS) and subset simulation procedures, but it is much more effective when applied to extremely rare failure events. Results of test examples show that the proposed method can accurately and robustly estimate the extremely small failure probability (e.g. 1e–9) as well as the related parametric reliability sensitivity and global reliability sensitivity indices with several dozens of function calls.

Despite being a common procedure, abdominal hernia treatments still require improvement due to the number of relapses and other postoperative issues. In silico testing can be employed to predict the behavior of the complex abdominal wall and implant systems. Here, uncertainty quantification and sensitivity analysis are required in order to optimize the parameters of hernia repair models. This paper concerns the modeling of an abdominal wall and implant using the finite element method. A Gasser-Ogden-Holzapfel (GOH) material model is used for the abdominal wall and an orthotropic material model for the implant. The parameters of the GOH model and the orientation of the implant are assumed to be uncertain. Regression-based polynomial chaos expansion is used as a meta-modeling method for uncertainty propagation and global sensitivity analysis. The maximum force in the connection between the implant and native tissue is considered as the quantity of interest. A failure risk criterion is also defined and presented. It has been found that the significance of the material parameters depends on the type of implant that is analyzed. Likewise, the risk of connection failure varies considerably depending on the implant used. Models with different types of implant produce very diverse results. Moreover, these differences also appear in the global sensitivity index and the risk of connection failure. This would indicate that specific implant designs and material properties are crucial to the success of hernia repair surgery.

The importance sampling method is an extensively used numerical simulation method in reliability analysis. In this paper, a modification to the importance sampling method (ISM) is proposed, and the modified ISM divides the sample set of input variables into different subsets based on the contributive weight of the importance sample defined in this paper and the maximum super-sphere denoted by β-sphere in the safe domain defined by the truncated ISM. By this proposed modification, only samples with large contributive weight and locating outside of the β-sphere need to call the limit state function. This amelioration remarkably reduces the number of limit state function evaluations required in the simulation procedure, and it doesn’t sacrifice the precision of the results by controlling the level of relative error. Based on this modified ISM and the space-partition idea in variance-based sensitivity analysis, the global reliability sensitivity indices can be estimated as byproducts, which is especially useful for reliability-based design optimization. This process of estimating the global reliability sensitivity indices only needs the sample points used in reliability analysis and is independent of the dimensionality of input variables. A roof truss structure and a composite cantilever beam structure are analyzed by the modified ISM. The results demonstrate the efficiency, accuracy, and robustness of the proposed method.

Seismic fragility curves have been introduced as key components of seismic probabilistic risk assessment studies. They express the probability of failure of mechanical structures conditional to a seismic intensity measure and must take into account various sources of uncertainties, the so-called epistemic uncertainties (i.e., coming from the uncertainty on the mechanical parameters of the structure) and the aleatory uncertainties (i.e., coming from the randomness of the seismic ground motions). For simulation-based approaches we propose a methodology to build and calibrate a Gaussian process surrogate model to estimate a family of nonparametric seismic fragility curves for a mechanical structure by propagating both the surrogate model uncertainty and the epistemic ones. Gaussian processes have indeed the main advantage to propose both a predictor and an assessment of the uncertainty of its predictions. In addition, we extend this methodology to sensitivity analysis. Global sensitivity indices such as aggregated Sobol' indices and kernel-based indices are proposed to know how the uncertainty on the seismic fragility curves is apportioned according to each uncertain mechanical parameter. This comprehensive uncertainty quantification framework is finally applied to an industrial test case consisting of a part of a piping system of a pressurized water reactor.

A quasi-Monte Carlo solver for thermal radiation in participating media

We develop a convergence analysis of a multilevel algorithm combining higher order quasi--Monte Carlo (QMC) quadratures with general Petrov--Galerkin discretizations of countably affine parametric operator equations of elliptic and parabolic types, extending both the multilevel first order analysis in [F. Y. Kuo, Ch. Schwab, and I. H. Sloan, Found. Comput. Math., 15 (2015), pp. 411--449] and the single level higher order analysis in [J. Dick et al., SIAM J. Numer. Anal., 52 (2014), pp. 2676--2702]. We cover, in particular, both definite as well as indefinite strongly elliptic systems of partial differential equations (PDEs) in nonsmooth domains, and we discuss in detail the impact of higher order derivatives of Karhunen--Loève eigenfunctions in the parametrization of random PDE inputs on the convergence results. Based on our a priori error bounds, concrete choices of algorithm parameters are proposed in order to achieve a prescribed accuracy under minimal computational work. Problem classes and sufficient conditions on data are identified where multilevel higher order QMC Petrov--Galerkin algorithms outperform the corresponding single level versions of these algorithms. Numerical experiments confirm the theoretical results.

In this article, we evaluate a quasi-Monte Carlo (QMC) method with various low-discrepancy sequences (LDS) in illumination optical systems which are adopted in some commercial products, and clarify the method's effectiveness quantitatively. We assumed the evaluated systems were an illumination optical system with a perfectly diffusing surface, and we compared them against the theoretical irradiance distribution. The evaluation results indicate that the QMC method delivers higher asymptotic convergence rate than the MC method does, and there is little difference between each LDS. In evaluation of simple optical systems that can be boiled down to low-dimensional numerical integration problems, the QMC method was found to be extremely effective.

This paper presents an application of the Global Sensitivity Analysis (GSA) method in evaluating performance of impedance measurement algorithms implemented in modern Intelligent Electronic Devices (IEDs) when affected by uncertainty. To be specific, the GSA is applied in testing an algorithm for distance protection of a single transmission line in a system with two lines on the same towers. Factors contributing to uncertainty are discussed in the paper. The GSA method decomposes variance of the estimation error according to the factors and their interactions, and in this way identifies the factors that have the highest impact on the estimation error. Computation of the GSA sensitivity indices relies on the Quasi-Monte Carlo (QMC) technique with Sobol's quasi-random sampling. This is time-consuming for large number of factors therefore, fast pre-screening process based on the Morris method is implemented to remove non-influential parameters and reduce the factor space before running the QMC. The methodology is implemented using fault simulation software DIgSILENT PowerFactory to calculate fault impedance as a function of uncertain parameters (i.e. factors) as well as voltage and current signals that are inputs to an IED under test. In this simulation, factor space is sampled using Sobol's quasi-random sequence generated with the standard GSA software tool called SIMLAB. All simulations of the transmission line faults for various parameter values and calculation of the performance indices (i.e. sensitivities) is automated using the program developed in DIgSILENT Programming Language (DPL). This testing technique is applied to study the fault impedance measurement implemented in SEL-421. (6 pages)

The large number of input factors involved in a sophisticated geotechnical computational model is a challenge in the concept of probabilistic analysis. In the context of model calibration and validation, conducting a sensitivity analysis is substantial as a first step. Sensitivity analysis techniques can determine the key factors which govern the system responses. In this paper, three commonly used sensitivity analysis methods are implemented on a sophisticated geotechnical problem. The computational model of a compressed air energy storage, mined in a rock salt formation, includes many input parameters, each with large amount of uncertainties. Sensitivity measures of different variables involved in the mechanical response of the cavern are computed by different global sensitivity methods, namely, Sobol/Saltelli, Random Balance Design, and Elementary Effect method. Since performing sensitivity analysis requires a large number of model evaluations, the concept of surrogate modelling is utilised to decrease the computational burden. In the following, the accuracy levels of various surrogate techniques are compared. In addition, a comparative study on the applied sensitivity analysis methods shows that the applied sensitivity analysis techniques provide identical parameter importance rankings, although some may also give more information about the system behaviour.