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Dakota Reference Manual
Version 6.15
Explore and Predict with Confidence
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Multifidelity uncertainty quantification using polynomial chaos expansions
Alias: none
Argument(s): none
Child Keywords:
Required/Optional | Description of Group | Dakota Keyword | Dakota Keyword Description | |
---|---|---|---|---|
Optional | p_refinement | Automatic polynomial order refinement | ||
Optional | max_refinement_iterations | Maximum number of expansion refinement iterations | ||
Optional | convergence_tolerance | Stopping criterion based on objective function or statistics convergence | ||
Optional | metric_scale | define scaling of statistical metrics when adapting UQ surrogates | ||
Optional | statistics_mode | type of statistical metric roll-up for multifidelity UQ methods | ||
Optional | allocation_control | Sample allocation approach for multifidelity expansions | ||
Optional | discrepancy_emulation | Formulation for emulation of model discrepancies. | ||
Required (Choose One) | Chaos Coefficient Estimation Approach (Group 1) | quadrature_order_sequence | Sequence of quadrature orders used in a multi-stage expansion | |
sparse_grid_level_sequence | Sequence of sparse grid levels used in a multi-stage expansion | |||
expansion_order_sequence | Sequence of expansion orders used in a multi-stage expansion | |||
orthogonal_least_interpolation | Build a polynomial chaos expansion from simulation samples using orthogonal least interpolation. | |||
Optional (Choose One) | Basis Polynomial Family (Group 2) | askey | Select the standardized random variables (and associated basis polynomials) from the Askey family that best match the user-specified random variables. | |
wiener | Use standard normal random variables (along with Hermite orthogonal basis polynomials) when transforming to a standardized probability space. | |||
Optional | normalized | The normalized specification requests output of PCE coefficients that correspond to normalized orthogonal basis polynomials | ||
Optional | export_expansion_file | Export the coefficients and multi-index of a Polynomial Chaos Expansion (PCE) to a file | ||
Optional | samples_on_emulator | Number of samples at which to evaluate an emulator (surrogate) | ||
Optional | sample_type | Selection of sampling strategy | ||
Optional | rng | Selection of a random number generator | ||
Optional | probability_refinement | Allow refinement of probability and generalized reliability results using importance sampling | ||
Optional | final_moments | Output moments of the specified type and include them within the set of final statistics. | ||
Optional | response_levels | Values at which to estimate desired statistics for each response | ||
Optional | probability_levels | Specify probability levels at which to estimate the corresponding response value | ||
Optional | reliability_levels | Specify reliability levels at which the response values will be estimated | ||
Optional | gen_reliability_levels | Specify generalized relability levels at which to estimate the corresponding response value | ||
Optional | distribution | Selection of cumulative or complementary cumulative functions | ||
Optional | variance_based_decomp | Activates global sensitivity analysis based on decomposition of response variance into main, interaction, and total effects | ||
Optional (Choose One) | Covariance Type (Group 3) | diagonal_covariance | Display only the diagonal terms of the covariance matrix | |
full_covariance | Display the full covariance matrix | |||
Optional | import_approx_points_file | Filename for points at which to evaluate the PCE/SC surrogate | ||
Optional | export_approx_points_file | Output file for surrogate model value evaluations | ||
Optional | seed_sequence | Sequence of seed values for multi-stage random sampling | ||
Optional | fixed_seed | Reuses the same seed value for multiple random sampling sets | ||
Optional | model_pointer | Identifier for model block to be used by a method |
As described in polynomial_chaos, the polynomial chaos expansion (PCE) is a general framework for the approximate representation of random response functions in terms of series expansions in standardized random variables:
where is a deterministic coefficient,
is a multidimensional orthogonal polynomial and
is a vector of standardized random variables.
In the multilevel and multifidelity cases, we decompose this expansion into several constituent expansions, one per model form or solution control level. In a bi-fidelity case with low-fidelity (LF) and high-fidelity (HF) models and an additive discrepancy approach, we have:
where is a coefficient for the discrepancy expansion.
The same specification options are available as described in polynomial_chaos with one key difference: many of the coefficient estimation inputs change from a scalar input for a single expansion to a sequence specification for a low-fidelity expansion followed by multiple discrepancy expansions.
To obtain the coefficients and
for each of the expansions, the following options are provided:
quadrature_order_sequence
, and, optionally, dimension_preference
). sparse_grid_level_sequence
and, optionally, dimension_preference
) expansion_order_sequence
and expansion_samples_sequence
). expansion_order_sequence
and either collocation_points_sequence
or collocation_ratio
), using either over-determined (least squares) or under-determined (compressed sensing) approaches. orthogonal least interpolation (specified with orthogonal_least_interpolation
and collocation_points_sequence
)
It is important to note that, while quadrature_order_sequence
, sparse_grid_level_sequence
, expansion_order_sequence
, expansion_samples_sequence
, and collocation_points_sequence
are array inputs, only one scalar from these arrays is active at a time for a particular expansion estimation. In order to specify anisotropy in resolution across the random variable set, a dimension_preference
specification can be used to augment scalar specifications for quadrature order, sparse grid level, and expansion order.
Multifidelity UQ using PCE requires that the model selected for iteration by the method specification is a multifidelity surrogate model (see hierarchical), which defines an ordered_model_sequence
(see hierarchical). Two types of hierarchies are supported: (i) a hierarchy of model forms composed from more than one model within the ordered_model_sequence
, or (ii) a hierarchy of discretization levels comprised from a single model within the ordered_model_sequence
which in turn specifies a solution_level_control
(see solution_level_control).
In both cases, an expansion will first be formed for the low fidelity model or coarse discretization, using the first value within the coefficient estimation sequence, along with any specified refinement strategy. Second, expansions are formed for one or more model discrepancies (the difference between response results if additive
correction
or the ratio of results if multiplicative
correction
), using all subsequent values in the coefficient estimation sequence (if the sequence does not provide a new value, then the previous value is reused) along with any specified refinement strategy. The number of discrepancy expansions is determined by the number of model forms or discretization levels in the hierarchy.
After formation and refinement of the constituent expansions, each of the expansions is combined (added or multiplied) into an expansion that approximates the high fidelity model, from which the final set of statistics are generated. For polynomial chaos expansions, this high fidelity expansion can differ significantly in form from the low fidelity and discrepancy expansions, particularly in the multiplicative
case where it is expanded to include all of the basis products.
Additional Resources
Dakota provides access to multifidelity PCE methods through the NonDMultilevelPolynomialChaos class. Refer to the Stochastic Expansion Methods chapter of the Theory Manual[15] for additional information on the Multifidelity PCE algorithm.
Expected HDF5 Output
If Dakota was built with HDF5 support and run with the hdf5 keyword, this method writes the following results to HDF5:
In addition, the execution group has the attribute equiv_hf_evals
, which records the equivalent number of high-fidelity evaluations.
method, multifidelity_polynomial_chaos model_pointer = 'HIERARCH' sparse_grid_level_sequence = 4 3 2 model, id_model = 'HIERARCH' surrogate hierarchical ordered_model_fidelities = 'LF' 'MF' 'HF' correction additive zeroth_order
These keywords may also be of interest: