Bayesian Framework for Forecasting Dynamical Systems in the Presence of Corrupted Data
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Computer Physics Communications
Computational singular perturbation (CSP) is a method to analyze dynamical systems. It targets the decoupling of fast and slow dynamics using an alternate linear expansion of the right-hand side of the governing equations based on eigenanalysis of the associated Jacobian matrix. This representation facilitates diagnostic analysis, detection and control of stiffness, and the development of simplified models. We have implemented CSP in a C++ open-source library CSPlib1 using the Kokkos2 parallel programming model to address portability across diverse heterogeneous computing platforms, i.e., multi/many-core CPUs and GPUs. We describe the CSPlib implementation and present its computational performance across different computing platforms using several test problems. Specifically, we test the CSPlib performance for a constant pressure ignition reactor model on different architectures, including IBM Power 9, Intel Xeon Skylake, and NVIDIA V100 GPU. The size of the chemical kinetic mechanism is varied in these tests. As expected, the Jacobian matrix evaluation, the eigensolution of the Jacobian matrix, and matrix inversion are the most expensive computational tasks. When considering the higher throughput characteristic of GPUs, GPUs performs better for small matrices with higher occupancy rate. CPUs gain more advantages from the higher performance of well-tuned and optimized linear algebra libraries such as OpenBLAS. Program summary: Program Title: CSPlib CPC Library link to program files: https://doi.org/10.17632/p9gb7z54sp.1 Developer's repository link: https://github.com/sandialabs/csplib Licensing provisions: BSD 2-clause Programming language: C++ Nature of problem: Dynamical systems can involve coupled processes with a wide range of time scales. The computational singular perturbation (CSP) method offers a reformulation of these systems which enables the use of dynamically-based diagnostic tools to better comprehend the dynamics by decoupling fast and slow processes. CSPlib is an open-source software library for analyzing general ordinary differential equation (ODE) and differential algebraic equation (DAE) systems, with specialized implementations for detailed chemical kinetic ODE/DAE systems. It relies on CSP for the analysis of these systems. CSPlib has been used in gas kinetic and heterogeneous catalytic kinetic models. Solution method: CSP analysis seeks a set of basis vectors to linearly decompose the right-hand side (RHS) of a dynamical system in a manner that decouples fast and slow processes. The CSP basis vectors are often well approximated with the right eigenvectors of the RHS Jacobian. And the left basis vectors are found by the inversion of the matrix, whose columns are the CSP basis vectors. Accordingly, the right and left CSP basis vectors are orthonormal. CSP defines mode amplitudes as the projections of the left basis vectors on the RHS; the time scales as the reciprocals of the RHS Jacobian eigenvalue magnitudes; and the CSP pointers, which are the element-wise multiplication of the transpose of the right CSP basis vectors with the left CSP basis vectors. For kinetic models that can be cast as the product of a generalized stoichiometric matrix and a rate of progress vector, CSP defines the participation index, which represents the contribution of a chemical reaction to each mode. Further, it defines the slow and fast importance indices, which describe the contribution of a chemical reaction to the slow and fast dynamics of a state variable, respectively. These indices are useful in diagnostic studies of dynamical systems and the construction of simplified models. Additional comments including restrictions and unusual features: CSPlib is a portable library that carries out many CSP analyses in parallel and can be used in modern high-performance platforms.
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Sensors
A multiple input multiple output (MIMO) power line communication (PLC) model for industrial facilities was developed that uses the physics of a bottom-up model but can be calibrated like top-down models. The PLC model considers 4-conductor cables (three-phase conductors and a ground conductor) and has several load types, including motor loads. The model is calibrated to data using mean field variational inference with a sensitivity analysis to reduce the parameter space. The results show that the inference method can accurately identify many of the model parameters, and the model is accurate even when the network is modified.
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Data-Centric Engineering
This article illustrates the use of unsupervised probabilistic learning techniques for the analysis of planetary reentry trajectories. A three-degree-of-freedom model was employed to generate optimal trajectories that comprise the training datasets. The algorithm first extracts the intrinsic structure in the data via a diffusion map approach. We find that data resides on manifolds of much lower dimensionality compared to the high-dimensional state space that describes each trajectory. Using the diffusion coordinates on the graph of training samples, the probabilistic framework subsequently augments the original data with samples that are statistically consistent with the original set. The augmented samples are then used to construct conditional statistics that are ultimately assembled in a path planning algorithm. In this framework, the controls are determined stage by stage during the flight to adapt to changing mission objectives in real-Time.
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The UQ Toolkit (UQTk) is a collection of libraries and tools for the quantification of uncertainty in numerical model predictions. Version 3.1.2 offers intrusive and non-intrusive methods for propagating input uncertainties through computational models, tools for sensitivity analysis, methods for sparse surrogate construction, and Bayesian inference tools for inferring parameters from experimental data. This manual discusses the download and installation process for UQTk, provides pointers to the UQ methods used in the toolkit, and describes some of the examples provided with the toolkit.
Journal of Machine Learning Research
This paper describes an efficient reverse-mode differentiation algorithm for contraction operations for arbitrary and unconventional tensor network topologies. The approach leverages the tensor contraction tree of Evenbly and Pfeifer (2014), which provides an instruction set for the contraction sequence of a network. We show that this tree can be efficiently leveraged for differentiation of a full tensor network contraction using a recursive scheme that exploits (1) the bilinear property of contraction and (2) the property that trees have a single path from root to leaves. While differentiation of tensor-tensor contraction is already possible in most automatic differentiation packages, we show that exploiting these two additional properties in the specific context of contraction sequences can improve eficiency. Following a description of the algorithm and computational complexity analysis, we investigate its utility for gradient-based supervised learning for low-rank function recovery and for fitting real-world unstructured datasets. We demonstrate improved performance over alternating least-squares optimization approaches and the capability to handle heterogeneous and arbitrary tensor network formats. When compared to alternating minimization algorithms, we find that the gradient-based approach requires a smaller oversampling ratio (number of samples compared to number model parameters) for recovery. This increased efficiency extends to fitting unstructured data of varying dimensionality and when employing a variety of tensor network formats. Here, we show improved learning using the hierarchical Tucker method over the tensor-train in high-dimensional settings on a number of benchmark problems.
Combustion Theory and Modelling
We have extended the computational singular perturbation (CSP) method to differential algebraic equation (DAE) systems and demonstrated its application in a heterogeneous-catalysis problem. The extended method obtains the CSP basis vectors for DAEs from a reduced Jacobian matrix that takes the algebraic constraints into account. We use a canonical problem in heterogeneous catalysis, the transient continuous stirred tank reactor (T-CSTR), for illustration. The T-CSTR problem is modelled fundamentally as an ordinary differential equation (ODE) system, but it can be transformed to a DAE system if one approximates typically fast surface processes using algebraic constraints for the surface species. We demonstrate the application of CSP analysis for both ODE and DAE constructions of a T-CSTR problem, illustrating the dynamical response of the system in each case. We also highlight the utility of the analysis in commenting on the quality of any particular DAE approximation built using the quasi-steady state approximation (QSSA), relative to the ODE reference case.
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CSPlib is an open source software library for analyzing general ordinary differential equation (ODE) systems and detailed chemical kinetic ODE/DAE systems. It relies on the computational singular perturbation (CSP) method for the analysis of these systems.
The TChem open-source software is a toolkit for computing thermodynamic properties, source term, and source term’s Jacobian matrix for chemical kinetic models that involve gas and surface reactions.
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Archives of Computational Methods in Engineering
We present a simple, near-real-time Bayesian method to infer and forecast a multiwave outbreak, and demonstrate it on the COVID-19 pandemic. The approach uses timely epidemiological data that has been widely available for COVID-19. It provides short-term forecasts of the outbreak’s evolution, which can then be used for medical resource planning. The method postulates one- and multiwave infection models, which are convolved with the incubation-period distribution to yield competing disease models. The disease models’ parameters are estimated via Markov chain Monte Carlo sampling and information-theoretic criteria are used to select between them for use in forecasting. The method is demonstrated on two- and three-wave COVID-19 outbreaks in California, New Mexico and Florida, as observed during Summer-Winter 2020. We find that the method is robust to noise, provides useful forecasts (along with uncertainty bounds) and that it reliably detected when the initial single-wave COVID-19 outbreaks transformed into successive surges as containment efforts in these states failed by the end of Spring 2020.
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