11,828 research outputs found
Inverse Uncertainty Quantification using the Modular Bayesian Approach based on Gaussian Process, Part 2: Application to TRACE
Inverse Uncertainty Quantification (UQ) is a process to quantify the
uncertainties in random input parameters while achieving consistency between
code simulations and physical observations. In this paper, we performed inverse
UQ using an improved modular Bayesian approach based on Gaussian Process (GP)
for TRACE physical model parameters using the BWR Full-size Fine-Mesh Bundle
Tests (BFBT) benchmark steady-state void fraction data. The model discrepancy
is described with a GP emulator. Numerical tests have demonstrated that such
treatment of model discrepancy can avoid over-fitting. Furthermore, we
constructed a fast-running and accurate GP emulator to replace TRACE full model
during Markov Chain Monte Carlo (MCMC) sampling. The computational cost was
demonstrated to be reduced by several orders of magnitude.
A sequential approach was also developed for efficient test source allocation
(TSA) for inverse UQ and validation. This sequential TSA methodology first
selects experimental tests for validation that has a full coverage of the test
domain to avoid extrapolation of model discrepancy term when evaluated at input
setting of tests for inverse UQ. Then it selects tests that tend to reside in
the unfilled zones of the test domain for inverse UQ, so that one can extract
the most information for posterior probability distributions of calibration
parameters using only a relatively small number of tests. This research
addresses the "lack of input uncertainty information" issue for TRACE physical
input parameters, which was usually ignored or described using expert opinion
or user self-assessment in previous work. The resulting posterior probability
distributions of TRACE parameters can be used in future uncertainty,
sensitivity and validation studies of TRACE code for nuclear reactor system
design and safety analysis
The role of learning on industrial simulation design and analysis
The capability of modeling real-world system operations has turned simulation into an indispensable problemsolving methodology for business system design and analysis. Today, simulation supports decisions ranging
from sourcing to operations to finance, starting at the strategic level and proceeding towards tactical and
operational levels of decision-making. In such a dynamic setting, the practice of simulation goes beyond
being a static problem-solving exercise and requires integration with learning. This article discusses the role
of learning in simulation design and analysis motivated by the needs of industrial problems and describes
how selected tools of statistical learning can be utilized for this purpose
Replication or exploration? Sequential design for stochastic simulation experiments
We investigate the merits of replication, and provide methods for optimal
design (including replicates), with the goal of obtaining globally accurate
emulation of noisy computer simulation experiments. We first show that
replication can be beneficial from both design and computational perspectives,
in the context of Gaussian process surrogate modeling. We then develop a
lookahead based sequential design scheme that can determine if a new run should
be at an existing input location (i.e., replicate) or at a new one (explore).
When paired with a newly developed heteroskedastic Gaussian process model, our
dynamic design scheme facilitates learning of signal and noise relationships
which can vary throughout the input space. We show that it does so efficiently,
on both computational and statistical grounds. In addition to illustrative
synthetic examples, we demonstrate performance on two challenging real-data
simulation experiments, from inventory management and epidemiology.Comment: 34 pages, 9 figure
Sequential Design for Optimal Stopping Problems
We propose a new approach to solve optimal stopping problems via simulation.
Working within the backward dynamic programming/Snell envelope framework, we
augment the methodology of Longstaff-Schwartz that focuses on approximating the
stopping strategy. Namely, we introduce adaptive generation of the stochastic
grids anchoring the simulated sample paths of the underlying state process.
This allows for active learning of the classifiers partitioning the state space
into the continuation and stopping regions. To this end, we examine sequential
design schemes that adaptively place new design points close to the stopping
boundaries. We then discuss dynamic regression algorithms that can implement
such recursive estimation and local refinement of the classifiers. The new
algorithm is illustrated with a variety of numerical experiments, showing that
an order of magnitude savings in terms of design size can be achieved. We also
compare with existing benchmarks in the context of pricing multi-dimensional
Bermudan options.Comment: 24 page
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