A Stochastic Gradient Method with Mesh Refinement for PDE Constrained Optimization under Uncertainty

Models incorporating uncertain inputs, such as random forces or material parameters, have been of increasing interest in PDE-constrained optimization. In this paper, we focus on the efficient numerical minimization of a convex and smooth tracking-type functional subject to a linear partial differential equation with random coefficients and box constraints. The approach we take is based on stochastic approximation where, in place of a true gradient, a stochastic gradient is chosen using one sample from a known probability distribution. Feasibility is maintained by performing a projection at each iteration. In the application of this method to PDE-constrained optimization under uncertainty, new challenges arise. We observe the discretization error made by approximating the stochastic gradient using finite elements. Analyzing the interplay between PDE discretization and stochastic error, we develop a mesh refinement strategy coupled with decreasing step sizes. Additionally, we develop a mesh refinement strategy for the modified algorithm using iterate averaging and larger step sizes. The effectiveness of the approach is demonstrated numerically for different random field choices

Adaptive finite element method assisted by stochastic simulation of chemical systems

Stochastic models of chemical systems are often analysed by solving the corresponding\ud Fokker-Planck equation which is a drift-diffusion partial differential equation for the probability\ud distribution function. Efficient numerical solution of the Fokker-Planck equation requires adaptive mesh refinements. In this paper, we present a mesh refinement approach which makes use of a stochastic simulation of the underlying chemical system. By observing the stochastic trajectory for a relatively short amount of time, the areas of the state space with non-negligible probability density are identified. By refining the finite element mesh in these areas, and coarsening elsewhere, a suitable mesh is constructed and used for the computation of the probability density

A posteriori error analysis and adaptive non-intrusive numerical schemes for systems of random conservation laws

In this article we consider one-dimensional random systems of hyperbolic conservation laws. We first establish existence and uniqueness of random entropy admissible solutions for initial value problems of conservation laws which involve random initial data and random flux functions. Based on these results we present an a posteriori error analysis for a numerical approximation of the random entropy admissible solution. For the stochastic discretization, we consider a non-intrusive approach, the Stochastic Collocation method. The spatio-temporal discretization relies on the Runge--Kutta Discontinuous Galerkin method. We derive the a posteriori estimator using continuous reconstructions of the discrete solution. Combined with the relative entropy stability framework this yields computable error bounds for the entire space-stochastic discretization error. The estimator admits a splitting into a stochastic and a deterministic (space-time) part, allowing for a novel residual-based space-stochastic adaptive mesh refinement algorithm. We conclude with various numerical examples investigating the scaling properties of the residuals and illustrating the efficiency of the proposed adaptive algorithm

Stochastic calculus over symmetric Markov processes without time reversal

We refine stochastic calculus for symmetric Markov processes without using time reverse operators. Under some conditions on the jump functions of locally square integrable martingale additive functionals, we extend Nakao's divergence-like continuous additive functional of zero energy and the stochastic integral with respect to it under the law for quasi-everywhere starting points, which are refinements of the previous results under the law for almost everywhere starting points. This refinement of stochastic calculus enables us to establish a generalized Fukushima decomposition for a certain class of functions locally in the domain of Dirichlet form and a generalized It\^{o} formula. (With Errata.)Comment: Published in at http://dx.doi.org/10.1214/09-AOP516 and Errata at http://dx.doi.org/10.1214/11-AOP700 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org

Logic-based machine learning using a bounded hypothesis space: the lattice structure, refinement operators and a genetic algorithm approach

Rich representation inherited from computational logic makes logic-based machine learning a competent method for application domains involving relational background knowledge and structured data. There is however a trade-off between the expressive power of the representation and the computational costs. Inductive Logic Programming (ILP) systems employ different kind of biases and heuristics to cope with the complexity of the search, which otherwise is intractable. Searching the hypothesis space bounded below by a bottom clause is the basis of several state-of-the-art ILP systems (e.g. Progol and Aleph). However, the structure of the search space and the properties of the refinement operators for theses systems have not been previously characterised. The contributions of this thesis can be summarised as follows: (i) characterising the properties, structure and morphisms of bounded subsumption lattice (ii) analysis of bounded refinement operators and stochastic refinement and (iii) implementation and empirical evaluation of stochastic search algorithms and in particular a Genetic Algorithm (GA) approach for bounded subsumption. In this thesis we introduce the concept of bounded subsumption and study the lattice and cover structure of bounded subsumption. We show the morphisms between the lattice of bounded subsumption, an atomic lattice and the lattice of partitions. We also show that ideal refinement operators exist for bounded subsumption and that, by contrast with general subsumption, efficient least and minimal generalisation operators can be designed for bounded subsumption. In this thesis we also show how refinement operators can be adapted for a stochastic search and give an analysis of refinement operators within the framework of stochastic refinement search. We also discuss genetic search for learning first-order clauses and describe a framework for genetic and stochastic refinement search for bounded subsumption. on. Finally, ILP algorithms and implementations which are based on this framework are described and evaluated.Open Acces

Level Set Methods for Stochastic Discontinuity Detection in Nonlinear Problems

Stochastic physical problems governed by nonlinear conservation laws are challenging due to solution discontinuities in stochastic and physical space. In this paper, we present a level set method to track discontinuities in stochastic space by solving a Hamilton-Jacobi equation. By introducing a speed function that vanishes at discontinuities, the iso-zero of the level set problem coincide with the discontinuities of the conservation law. The level set problem is solved on a sequence of successively finer grids in stochastic space. The method is adaptive in the sense that costly evaluations of the conservation law of interest are only performed in the vicinity of the discontinuities during the refinement stage. In regions of stochastic space where the solution is smooth, a surrogate method replaces expensive evaluations of the conservation law. The proposed method is tested in conjunction with different sets of localized orthogonal basis functions on simplex elements, as well as frames based on piecewise polynomials conforming to the level set function. The performance of the proposed method is compared to existing adaptive multi-element generalized polynomial chaos methods