Inverse problems and uncertainty quantification

In a Bayesian setting, inverse problems and uncertainty quantification (UQ) - the propagation of uncertainty through a computational (forward) model - are strongly connected. In the form of conditional expectation the Bayesian update becomes computationally attractive. This is especially the case as together with a functional or spectral approach for the forward UQ there is no need for time-consuming and slowly convergent Monte Carlo sampling. The developed sampling-free non-linear Bayesian update is derived from the variational problem associated with conditional expectation. This formulation in general calls for further discretisation to make the computation possible, and we choose a polynomial approximation. After giving details on the actual computation in the framework of functional or spectral approximations, we demonstrate the workings of the algorithm on a number of examples of increasing complexity. At last, we compare the linear and quadratic Bayesian update on the small but taxing example of the chaotic Lorenz 84 model, where we experiment with the influence of different observation or measurement operators on the update.Comment: 25 pages, 17 figures. arXiv admin note: text overlap with arXiv:1201.404

Quantification of airfoil geometry-induced aerodynamic uncertainties - comparison of approaches

Uncertainty quantification in aerodynamic simulations calls for efficient numerical methods since it is computationally expensive, especially for the uncertainties caused by random geometry variations which involve a large number of variables. This paper compares five methods, including quasi-Monte Carlo quadrature, polynomial chaos with coefficients determined by sparse quadrature and gradient-enhanced version of Kriging, radial basis functions and point collocation polynomial chaos, in their efficiency in estimating statistics of aerodynamic performance upon random perturbation to the airfoil geometry which is parameterized by 9 independent Gaussian variables. The results show that gradient-enhanced surrogate methods achieve better accuracy than direct integration methods with the same computational cost

Parameter Estimation via Conditional Expectation --- A Bayesian Inversion

When a mathematical or computational model is used to analyse some system, it is usual that some parameters resp.\ functions or fields in the model are not known, and hence uncertain. These parametric quantities are then identified by actual observations of the response of the real system. In a probabilistic setting, Bayes's theory is the proper mathematical background for this identification process. The possibility of being able to compute a conditional expectation turns out to be crucial for this purpose. We show how this theoretical background can be used in an actual numerical procedure, and shortly discuss various numerical approximations

GENERACJE W SIECIACH BAYESOWSKICH

This paper focuses on the study of some aspects of the theory of oriented graphs in Bayesian networks. In some papers on the theory of Bayesian networks, the concept of “Generation of vertices” denotes a certain set of vertices with many parents belonging to previous generations. Terminology for this concept, in our opinion, has not yet fully developed. The concept of “Generation” in some cases makes it easier to solve some problems in Bayesian networks and to build simpler algorithms.  In this paper we will consider the well-known example “Asia”, described in many articles and books, as well as in the technical documentation for various toolboxes. For the construction of this example, we have used evaluation versions of AgenaRisk.Niniejszy artykuł koncentruje się na badaniu pewnych aspektów teorii zorientowanych grafów w sieciach bayesowskich. W niektórych artykułach na temat teorii sieci bayesowskich pojęcie „generacji wierzchołków” oznacza pewien zestaw wierzchołków z wieloma rodzicami należącymi do poprzednich generacji. Terminologia tego pojęcia, naszym zdaniem, nie została jeszcze w pełni rozwinięta. Koncepcja „Generacji” w niektórych przypadkach ułatwia rozwiązywanie niektórych problemów w sieciach bayesowskich i budowanie prostszych algorytmów. W tym artykule rozważymy dobrze znany przykład „Azja”, opisany w wielu artykułach i książkach, a także w dokumentacji technicznej różnych zestawów narzędzi. Do budowy tego przykładu wykorzystaliśmy wersje testowe AgenaRisk