Generalized Integrated Brownian Fields for Simulation Metamodeling

We introduce a novel class of Gaussian random fields (GRFs), called generalized integrated Brownian fields (GIBFs), focusing on the use of GIBFs for Gaussian process regression in deterministic and stochastic simulation metamodeling. We build GIBFs from the well-known Brownian motion and discuss several of their properties, including differentiability that cart differ in each coordinate, no mean reversion, and the Markov property. We explain why we desire to use GRFs with these properties and provide formal definitions of mean reversion and the Markov property for real-valued, differentiable random fields. We show how to use GIBFs with stochastic kriging, covering trend modeling and parameter fitting, discuss their approximation capability, and show that the resulting metamodel also has differentiability that can differ in each coordinate. Last, we use several examples to demonstrate superior prediction capability as compared with the GRFs corresponding to the Gaussian and Matern covariance functions

Stochastic Intrinsic Kriging for Simulation Metamodelling

We derive intrinsic Kriging, using Matherons intrinsic random functions which eliminate the trend in classic Kriging. We formulate this intrinsic Kriging as a metamodel in deterministic and random simulation models. For random simulation we derive an experimental design that also specifies the number of replications that varies with the input combinations. We compare intrinsic Kriging and classic Kriging in several numerical experiments with deterministic and random simulations. These experiments suggest that intrinsic Kriging gives more accurate metamodel, in most experiments

Gaussian Markov random fields for discrete optimization via simulation:framework and algorithms

We consider optimizing the expected value of some performance measure of a dynamic stochastic simulation with a statistical guarantee for optimality when the decision variables are discrete, in particular, integer-ordered; the number of feasible solutions is large; and the model execution is too slow to simulate even a substantial fraction of them. Our goal is to create algorithms that stop searching when they can provide inference about the remaining optimality gap similar to the correct-selection guarantee of ranking and selection when it simulates all solutions. Further, our algorithm remains competitive with fixed-budget algorithms that search efficiently but do not provide such inference. To accomplish this we learn and exploit spatial relationships among the decision variables and objective function values using a Gaussian Markov random field (GMRF). Gaussian random fields on continuous domains are already used in deterministic and stochastic optimization because they facilitate the computation of measures, such as expected improvement, that balance exploration and exploitation. We show that GMRFs are particularly well suited to the discrete decision–variable problem, from both a modeling and a computational perspective. Specifically, GMRFs permit the definition of a sensible neighborhood structure, and they are defined by their precision matrices, which can be constructed to be sparse. Using this framework, we create both single and multiresolution algorithms, prove the asymptotic convergence of both, and evaluate their finite-time performance empirically

Real-Time Path Planning for Automating Optical Tweezers based Particle Transport Operations

Optical tweezers (OT) have been developed to successfully trap, orient, and transport micro and nano scale components of many different sizes and shapes in a fluid medium. They can be viewed as robots made out of light. Components can be simply released from optical traps by switching off laser beams. By utilizing the principle of time sharing or holograms, multiple optical traps can perform several operations in parallel. These characteristics make optical tweezers a very promising technology for creating directed micro and nano scale assemblies. In the infra-red regime, they are useful in a large number of biological applications as well. This dissertation explores the problem of real-time path planning for autonomous OT based transport operations. Such operations pose interesting challenges as the environment is uncertain and dynamic due to the random Brownian motion of the particles and noise in the imaging based measurements. Silica microspheres having diameters between (1-20) µm are selected as model components. Offline simulations are performed to gather trapping probability data that serves as a measure of trap strength and reliability as a function of relative position of the particle under consideration with respect to the trap focus, and trap velocity. Simplified models are generated using Gaussian Radial Basis Functions to represent the data in a compact form. These metamodels can be queried at run-time to obtain estimated probability values accurately and efficiently. Simple trapping probability models are then utilized in a stochastic dynamic programming framework to compute optimum trap locations and velocities that minimizes the total, expected transport time by incorporating collision avoidance and recovery steps. A discrete version of an approximate partially observable Markov decision process algorithm, called the QMDP_NLTDV algorithm, is developed. Real-time performance is ensured by pruning the search space and enhancing convergence rates by introducing a non-linear value function. The algorithm is validated both using a simulator as well as a physical holographic tweezer set-up. Successful runs show that the automated planner is flexible, works well in reasonably crowded scenes, and is capable of transporting a specific particle to a given goal location by avoiding collisions either by circumventing or by trapping other freely diffusing particles. This technique for transporting individual particles is utilized within a decoupled and prioritized approach to move multiple particles simultaneously. An iterative version of a bipartite graph matching algorithm is also used to assign goal locations to target objects optimally. As in the case of single particle transport, simulation and some physical experiments are performed to validate the multi-particle planning approach

Recent Advances in Uncertainty Quantification Methods for Engineering Problems

In the last few decades, uncertainty quantification (UQ) methods have been used widely to ensure the robustness of engineering designs. This chapter aims to detail recent advances in popular uncertainty quantification methods used in engineering applications. This chapter describes the two most popular meta-modeling methods for uncertainty quantification suitable for engineering applications (Polynomial Chaos Method and Gaussian Process). Further, the UQ methods are applied to an engineering test problem under multiple uncertainties. The test problem considered here is a supersonic nozzle under operational uncertainties. For the deterministic solution, an open-source computational fluid dynamics (CFD) solver SU2 is used. The UQ methods are developed in Matlab and are further combined with SU2 for the uncertainty and sensitivity estimates. The results are presented in terms of the mean and standard deviation of the output quantities

A Language-centered Approach to support environmental modeling with Cellular Automata

Die Anwendung von Methodiken und Technologien aus dem Bereich der Softwaretechnik auf den Bereich der Umweltmodellierung ist eine gemeinhin akzeptierte Vorgehensweise. Im Rahmen der "modellgetriebenen Entwicklung"(MDE, model-driven engineering) werden Technologien entwickelt, die darauf abzielen, Softwaresysteme vorwiegend auf Basis von im Vergleich zu Programmquelltexten relativ abstrakten Modellen zu entwickeln. Ein wesentlicher Bestandteil von MDE sind Techniken zur effizienten Entwicklung von "domänenspezifischen Sprachen"( DSL, domain-specific language), die auf Sprachmetamodellen beruhen. Die vorliegende Arbeit zeigt, wie modellgetriebene Entwicklung, und insbesondere die metamodellbasierte Beschreibung von DSLs, darüber hinaus Aspekte der Pragmatik unterstützen kann, deren Relevanz im erkenntnistheoretischen und kognitiven Hintergrund wissenschaftlichen Forschens begründet wird. Hierzu wird vor dem Hintergrund der Erkenntnisse des "modellbasierten Forschens"(model-based science und model-based reasoning) gezeigt, wie insbesondere durch Metamodelle beschriebene DSLs Möglichkeiten bieten, entsprechende pragmatische Aspekte besonders zu berücksichtigen, indem sie als Werkzeug zur Erkenntnisgewinnung aufgefasst werden. Dies ist v.a. im Kontext großer Unsicherheiten, wie sie für weite Teile der Umweltmodellierung charakterisierend sind, von grundsätzlicher Bedeutung. Die Formulierung eines sprachzentrierten Ansatzes (LCA, language-centered approach) für die Werkzeugunterstützung konkretisiert die genannten Aspekte und bildet die Basis für eine beispielhafte Implementierung eines Werkzeuges mit einer DSL für die Beschreibung von Zellulären Automaten (ZA) für die Umweltmodellierung. Anwendungsfälle belegen die Verwendbarkeit von ECAL und der entsprechenden metamodellbasierten Werkzeugimplementierung.The application of methods and technologies of software engineering to environmental modeling and simulation (EMS) is common, since both areas share basic issues of software development and digital simulation. Recent developments within the context of "Model-driven Engineering" (MDE) aim at supporting the development of software systems at the base of relatively abstract models as opposed to programming language code. A basic ingredient of MDE is the development of methods that allow the efficient development of "domain-specific languages" (DSL), in particular at the base of language metamodels. This thesis shows how MDE and language metamodeling in particular, may support pragmatic aspects that reflect epistemic and cognitive aspects of scientific investigations. For this, DSLs and language metamodeling in particular are set into the context of "model-based science" and "model-based reasoning". It is shown that the specific properties of metamodel-based DSLs may be used to support those properties, in particular transparency, which are of particular relevance against the background of uncertainty, that is a characterizing property of EMS. The findings are the base for the formulation of an corresponding specific metamodel- based approach for the provision of modeling tools for EMS (Language-centered Approach, LCA), which has been implemented (modeling tool ECA-EMS), including a new DSL for CA modeling for EMS (ECAL). At the base of this implementation, the applicability of this approach is shown

Computationally Efficient Reliability Evaluation With Stochastic Simulation Models.

Thanks to advanced computing and modeling technologies, computer simulations are becoming more widely used for the reliability evaluation of complex systems. Yet, as simulation models represent physical systems more accurately and utilize a large number of random variables to reflect various uncertainties, high computational costs remain a major challenge in analyzing the system reliability. The objective of this dissertation research is to provide new solutions for saving computational time of simulation-based reliability evaluation that considers large uncertainties within the simulation. This dissertation develops (a) a variance reduction technique for stochastic simulation models, (b) an uncertainty quantification method for the variance reduction technique, and (c) an adaptive approach of the variance reduction technique. First, among several variance reduction techniques, importance sampling has been widely used to improve the efficiency of simulation-based reliability evaluation using deterministic simulation models. In contrast to deterministic simulation models whose simulation output is uniquely determined given a fixed input, stochastic simulation models produce random outputs. We extend the theory of importance sampling to efficiently estimate a system's reliability with stochastic simulation models. Second, to quantify the uncertainty of the reliability estimation with stochastic simulation models, we can repeat the simulation experiment multiple times. It, however, multiplies computational burden. To overcome this, we establish the central limit theorem for the reliability estimator with stochastic simulation models, and construct an asymptotically valid confidence interval using data from a single simulation experiment. Lastly, theoretically optimal importance sampling densities require approximations in practice. As a candidate density to approximate the optimal density, a mixture of parametric densities can be used in the cross-entropy method that aims to minimize the cross-entropy between the optimal density and the candidate density. We propose an information criterion to identify an appropriate number of mixture densities. This criterion enables us to adaptively find the importance sampling density as we gather data through an iterative procedure. Case studies, using computationally intensive aeroelastic wind turbine simulators developed by the U.S. Department of Energy (DOE)'s National Renewable Energy Laboratory (NREL), demonstrate the superiority of the proposed approaches over alternative methods in estimating the system reliability using stochastic simulation models.PhDIndustrial and Operations EngineeringUniversity of Michigan, Horace H. Rackham School of Graduate Studieshttps://deepblue.lib.umich.edu/bitstream/2027.42/120894/1/yjchoe_1.pd