Robust verification of stochastic simulation codes

Abstract

We introduce a robust verification tool for computational codes, which we call Stochastic Robust Extrapolation based Error Quantification (StREEQ). Unlike the prevalent Grid Convergence Index (GCI) [1] method, our approach is suitable for both stochastic and deterministic computational codes and is generalizable to any number of discretization variables. Building on ideas introduced in the Robust Verification [2] approach, we estimate the converged solution and orders of convergence with uncertainty using multiple fits of a discretization error model. In contrast to Robust Verification, we perform these fits to many bootstrap samples yielding a larger set of predictions with smoother statistics. Here, bootstrap resampling is performed on the lack-of-fit errors for deterministic code responses, and directly on the noisy data set for stochastic responses. This approach lends a degree of robustness to the overall results, capable of yielding precise verification results for sufficiently resolved data sets, and appropriately expanding the uncertainty when the data set does not support a precise result. For stochastic responses, a credibility assessment is also performed to give the analyst an indication of the trustworthiness of the results. This approach is suitable for both code and solution verification, and is particularly useful for solution verification of high-consequence simulations.