We present an approach for constructing a surrogate from ensembles of information sources of varying cost and accuracy. The multifidelity surrogate encodes connections between information sources as a directed acyclic graph, and is trained via gradient-based minimization of a nonlinear least squares objective. While the vast majority of state-of-the-art assumes hierarchical connections between information sources, our approach works with flexibly structured information sources that may not admit a strict hierarchy. The formulation has two advantages: (1) increased data efficiency due to parsimonious multifidelity networks that can be tailored to the application; and (2) no constraints on the training data—we can combine noisy, non-nested evaluations of the information sources. Finally, numerical examples ranging from synthetic to physics-based computational mechanics simulations indicate the error in our approach can be orders-of-magnitude smaller, particularly in the low-data regime, than single-fidelity and hierarchical multifidelity approaches.
The accurate construction of a surrogate model is an effective and efficient strategy for performing Uncertainty Quantification (UQ) analyses of expensive and complex engineering systems. Surrogate models are especially powerful whenever the UQ analysis requires the computation of statistics which are difficult and prohibitively expensive to obtain via a direct sampling of the model, e.g. high-order moments and probability density functions. In this paper, we discuss the construction of a polynomial chaos expansion (PCE) surrogate model for radiation transport problems for which quantities of interest are obtained via Monte Carlo simulations. In this context, it is imperative to account for the statistical variability of the simulator as well as the variability associated with the uncertain parameter inputs. More formally, in this paper we focus on understanding the impact of the Monte Carlo transport variability on the recovery of the PCE coefficients. We are able to identify the contribution of both the number of uncertain parameter samples and the number of particle histories simulated per sample in the PCE coefficient recovery. Our theoretical results indicate an accuracy improvement when using few Monte Carlo histories per random sample with respect to configurations with an equivalent computational cost. These theoretical results are numerically illustrated for a simple synthetic example and two configurations of a one-dimensional radiation transport problem in which a slab is represented by means of materials with uncertain cross sections.
Network modeling is a powerful tool to enable rapid analysis of complex systems that can be challenging to study directly using physical testing. Two approaches are considered: emulation and simulation. The former runs real software on virtualized hardware, while the latter mimics the behavior of network components and their interactions in software. Although emulation provides an accurate representation of physical networks, this approach alone cannot guarantee the characterization of the system under realistic operative conditions. Operative conditions for physical networks are often characterized by intrinsic variability (payload size, packet latency, etc.) or a lack of precise knowledge regarding the network configuration (bandwidth, delays, etc.); therefore uncertainty quantification (UQ) strategies should be also employed. UQ strategies require multiple evaluations of the system with a number of evaluation instances that roughly increases with the problem dimensionality, i.e., the number of uncertain parameters. It follows that a typical UQ workflow for network modeling based on emulation can easily become unattainable due to its prohibitive computational cost. In this paper, a multifidelity sampling approach is discussed and applied to network modeling problems. The main idea is to optimally fuse information coming from simulations, which are a low-fidelity version of the emulation problem of interest, in order to decrease the estimator variance. By reducing the estimator variance in a sampling approach it is usually possible to obtain more reliable statistics and therefore a more reliable system characterization. Several network problems of increasing difficulty are presented. For each of them, the performance of the multifidelity estimator is compared with respect to the single fidelity counterpart, namely, Monte Carlo sampling. For all the test problems studied in this work, the multifidelity estimator demonstrated an increased efficiency with respect to MC.
This paper presents a multifidelity uncertainty quantification framework called MFNets. We seek to address three existing challenges that arise when experimental and simulation data from different sources are used to enhance statistical estimation and prediction with quantified uncertainty. Specifically, we demonstrate that MFNets can (1) fuse heterogeneous data sources arising from simulations with different parameterizations, e.g simulation models with different uncertain parameters or data sets collected under different environmental conditions; (2) encode known relationships among data sources to reduce data requirements; and (3) improve the robustness of existing multi-fidelity approaches to corrupted data. MFNets construct a network of latent variables (LVs) to facilitate the fusion of data from an ensemble of sources of varying credibility and cost. These LVs are posited as explanatory variables that provide the source of correlation in the observed data. Furthermore, MFNets provide a way to encode prior physical knowledge to enable efficient estimation of statistics and/or construction of surrogates via conditional independence relations on the LVs. We highlight the utility of our framework with a number of theoretical results which assess the quality of the posterior mean as a frequentist estimator and compare it to standard sampling approaches that use single fidelity, multilevel, and control variate Monte Carlo estimators. We also use the proposed framework to derive the Monte Carlo-based control variate estimator entirely from the use of Bayes rule and linear-Gaussian models -- to our knowledge the first such derivation. Finally, we demonstrate the ability to work with different uncertain parameters across different models.
This report summarizes the work done under the Laboratory Directed Research and Development (LDRD) project entitled "Learning Hidden Structure in Multi-Fidelity Information Sources for Efficient Uncertainty Quantification". In this project we investigated multi-fidelity strategies for fusing data from information sources of varying cost and accuracy. Most existing strategies exploit hierarchical relationships between models, for example that occur when different models are generated by refining a numerical discretization parameter. In this work we focused on encoding the relationships between information sources using directed acyclic graphs. The multi-fidelity networks can have general structure and represent a significantly greater variety of modeling relationships than recursive networks used in the current state literature. Numerical results show that a non-hierarchical multi-fidelity Monte Carlo strategy can reduce the cost of estimating uncertainty in predictions of a model of plasma expanding in a vacuum by almost two orders of magnitude.
