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Utilizing Adjoint-Based Error Estimates for Surrogate Models to Accurately Predict Probabilities of Events

Journal Article · · International Journal for Uncertainty Quantification
 [1];  [2]
  1. Univ. of Colorado, Denver, CO (United States). Department of Mathematical and Statistical Sciences
  2. Sandia National Lab. (SNL-NM), Albuquerque, NM (United States). Optimization and Uncertainty Quantification Department
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In thist study, we develop a procedure to utilize error estimates for samples of a surrogate model to compute robust upper and lower bounds on estimates of probabilities of events. We show that these error estimates can also be used in an adaptive algorithm to simultaneously reduce the computational cost and increase the accuracy in estimating probabilities of events using computationally expensive high-fidelity models. Specifically, we introduce the notion of reliability of a sample of a surrogate model, and we prove that utilizing the surrogate model for the reliable samples and the high-fidelity model for the unreliable samples gives precisely the same estimate of the probability of the output event as would be obtained by evaluation of the original model for each sample. The adaptive algorithm uses the additional evaluations of the high-fidelity model for the unreliable samples to locally improve the surrogate model near the limit state, which significantly reduces the number of high-fidelity model evaluations as the limit state is resolved. Numerical results based on a recently developed adjoint-based approach for estimating the error in samples of a surrogate are provided to demonstrate (1) the robustness of the bounds on the probability of an event, and (2) that the adaptive enhancement algorithm provides a more accurate estimate of the probability of the QoI event than standard response surface approximation methods at a lower computational cost.
Research Organization:
Sandia National Laboratories (SNL-NM), Albuquerque, NM (United States)
Sponsoring Organization:
USDOE National Nuclear Security Administration (NNSA); USDOE Office of Science (SC), Advanced Scientific Computing Research (ASCR) (SC-21)
Grant/Contract Number:
AC04-94AL85000
OSTI ID:
1429672
Report Number(s):
SAND--2017-11665J; 658229
Journal Information:
International Journal for Uncertainty Quantification, Journal Name: International Journal for Uncertainty Quantification Journal Issue: 2 Vol. 8; ISSN 2152-5080
Publisher:
Begell HouseCopyright Statement
Country of Publication:
United States
Language:
English

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Related Subjects

97 MATHEMATICS AND COMPUTING
a posteriori error analysis
adjoint problem
rare events
surrogate models