A surrogate accelerated multicanonical Monte Carlo method for uncertainty quantification

In this work we consider a class of uncertainty quantification problems where the system performance or reliability is characterized by a scalar parameter $y$. The performance parameter $y$ is random due to the presence of various sources of uncertainty in the system, and our goal is to estimate the probability density function (PDF) of $y$. We propose to use the multicanonical Monte Carlo (MMC) method, a special type of adaptive importance sampling algorithm, to compute the PDF of interest. Moreover, we develop an adaptive algorithm to construct local Gaussian process surrogates to further accelerate the MMC iterations. With numerical examples we demonstrate that the proposed method can achieve several orders of magnitudes of speedup over the standard Monte Carlo method

Multilevel Delayed Acceptance MCMC with Applications to Hydrogeological Inverse Problems

Quantifying the uncertainty of model predictions is a critical task for engineering decision support systems. This is a particularly challenging effort in the context of statistical inverse problems, where the model parameters are unknown or poorly constrained, and where the data is often scarce. Many such problems emerge in the fields of hydrology and hydro--environmental engineering in general, and in hydrogeology in particular. While methods for rigorously quantifying the uncertainty of such problems exist, they are often prohibitively computationally expensive, particularly when the forward model is high--dimensional and expensive to evaluate. In this thesis, I present a Metropolis--Hastings algorithm, namely the Multilevel Delayed Acceptance (MLDA) algorithm, which exploits a hierarchy of forward models of increasing computational cost to significantly reduce the total cost of quantifying the uncertainty of high--dimensional, expensive forward models. The algorithm is shown to be in detailed balance with the posterior distribution of parameters, and the computational gains of the algorithm is demonstrated on multiple examples. Additionally, I present an approach for exploiting a deep neural network as an ultra--fast model approximation in an MLDA model hierarchy. This method is demonstrated in the context of both 2D and 3D groundwater flow modelling. Finally, I present a novel approach to adaptive optimal design of groundwater surveying, in which MLDA is employed to construct the posterior Monte Carlo estimates. This method utilises the posterior uncertainty of the primary problem in conjunction with the expected solution to an adjoint problem to sequentially determine the optimal location of the next datapoint.Engineering and Physical Sciences Research Council (EPSRC)Alan Turing InstituteEngineering and Physical Sciences Research Council (EPSRC