Stepwise Uncertainty Reduction Research Articles

Bayesian Sequential Design of Computer Experiments for Quantile Set Inversion

We consider an unknown multivariate function representing a system—such as a complex numerical simulator—taking both deterministic and uncertain inputs. Our objective is to estimate the set of deterministic inputs leading to outputs whose probability (with respect to the distribution of the uncertain inputs) of belonging to a given set is less than a given threshold. This problem, which we call Quantile Set Inversion (QSI), occurs for instance in the context of robust (reliability-based) optimization problems, when looking for the set of solutions that satisfy the constraints with sufficiently large probability. To solve the QSI problem we propose a Bayesian strategy, based on Gaussian process modeling and the Stepwise Uncertainty Reduction (SUR) principle, to sequentially choose the points at which the function should be evaluated to efficiently approximate the set of interest. We illustrate the performance and interest of the proposed SUR strategy through several numerical experiments.

Optimal design of experiments for computing the fatigue life of an offshore wind turbine based on stepwise uncertainty reduction

The design of an offshore wind turbine to resist fatigue damage during its whole service life requires to estimate an expectation over the pluri-annual joint statistics of wind and wave variables. Using a full factorial-based integration for the estimation of the cumulative fatigue damage represents a tremendous computational cost with aero-servo-hydro-elastic solvers which is generally not affordable by industrial designers. To overcome this limitation, strong approximations with lumping of environmental discretized joint probability (scatter diagram) are generally employed. We present in this paper a new method, called MAKSUR, involving the iterative enrichment of a design of experiments tailored to provide a good approximation of the long term mean damage. This method relies on a Kriging response surface with a learning criterion defined as the variance of the mean damage integral. It is compared to another previous similar approach called AK-DA, also dedicated to damage prediction, but is shown to converge more efficiently and with less numerical parameters to define by the user. The potential of the method for offshore wind turbine is demonstrated by a realistic 6D floating wind turbine case study with six wind and wave input variables.

A SUR version of the Bichon criterion for excursion set estimation

Many model inversion problems occur in industry. These problems consist in finding the set of parameter values such that a certain quantity of interest respects a constraint, for example remains below a threshold. In general, the quantity of interest is the output of a simulator, costly in computation time. An effective way to solve this problem is to replace the simulator by a Gaussian process regression, with an experimental design enriched sequentially by a well chosen acquisition criterion. Different inversion-adapted criteria exist such as the Bichon criterion (also known as expected feasibility function) and deviation number . There also exist a class of enrichment strategies (stepwise uncertainty reduction—SUR) which select the next point by measuring the expected uncertainty reduction induced by its selection. In this paper we propose a SUR version of the Bichon criterion. An explicit formulation of the criterion is given and test comparisons show good performances on classical test functions.

Adaptive batching for Gaussian process surrogates with application in noisy level set estimation

AbstractWe develop adaptive replicated designs for Gaussian process metamodels of stochastic experiments. Adaptive batching is a natural extension of sequential design heuristics with the benefit of replication growing as response features are learned, inputs concentrate, and the metamodeling overhead rises. Motivated by the problem of learning the level set of the mean simulator response, we develop five novel schemes: Multi‐Level Batching (MLB), Ratchet Batching (RB), Adaptive Batched Stepwise Uncertainty Reduction (ABSUR), Adaptive Design with Stepwise Allocation (ADSA), and Deterministic Design with Stepwise Allocation (DDSA). Our algorithms simultaneously (MLB, RB, and ABSUR) or sequentially (ADSA and DDSA) determine the sequential design inputs and the respective number of replicates. Illustrations using synthetic examples and an application in quantitative finance (Bermudan option pricing via Regression Monte Carlo) show that adaptive batching brings significant computational speed‐ups with minimal loss of modeling fidelity.

Sequential Design of Multi-Fidelity Computer Experiments: Maximizing the Rate of Stepwise Uncertainty Reduction

This article deals with the sequential design of experiments for (deterministic or stochastic) multi-fidelity numerical simulators, that is, simulators that offer control over the accuracy of simulation of the physical phenomenon or system under study. Accurate simulations usually entail a high computational effort, while coarse simulations are obtained at a lower cost. The cost can be measured, for example, by the run time of the simulator or the financial cost of the computing resources. In this setting, simulation results obtained at several levels of fidelity can be combined in order to estimate quantities of interest (the optimal value of the output, the probability that the output exceeds a given threshold, etc.) in an efficient manner. We propose a new Bayesian sequential strategy called maximal rate of stepwise uncertainty reduction (MR-SUR), that selects additional simulations to be performed by maximizing the ratio between the expected reduction of uncertainty and the cost of simulation. This generic strategy unifies several existing methods, and provides a principled approach to develop new ones. We assess its performance on several examples, including a computationally intensive problem of fire safety analysis where the quantity of interest is the probability of exceeding a tenability threshold during a building fire.

Evaluating Gaussian process metamodels and sequential designs for noisy level set estimation

We consider the problem of learning the level set for which a noisy black-box function exceeds a given threshold. To efficiently reconstruct the level set, we investigate Gaussian process (GP) metamodels. Our focus is on strongly stochastic simulators, in particular with heavy-tailed simulation noise and low signal-to-noise ratio. To guard against noise misspecification, we assess the performance of three variants: (i) GPs with Student-t observations; (ii) Student-t processes (TPs); and (iii) classification GPs modeling the sign of the response. In conjunction with these metamodels, we analyze several acquisition functions for guiding the sequential experimental designs, extending existing stepwise uncertainty reduction criteria to the stochastic contour-finding context. This also motivates our development of (approximate) updating formulas to efficiently compute such acquisition functions. Our schemes are benchmarked by using a variety of synthetic experiments in 1–6 dimensions. We also consider an application of level set estimation for determining the optimal exercise policy of Bermudan options in finance.

Resilience of nuclear fuel cycle scenarios: Definition, method and application to a fleet with uncertain power decrease

Nuclear fuel cycle scenario studies can be of benefit for decision-making in nuclear power industry development, thanks to their abilities to make projections of industrial strategies and to assess the associated impacts on the nuclear fuel cycle system. In scenario studies, according to imposed constraints, one proposes trajectories, which are defined as fully characterized evolutions of the studied nuclear fuel cycle system, to represent different prospective developments for the nuclear power industry. However, the scenario studies are usually subject to uncertainties because of the lack of knowledge or information about the future at the time of study. As a result, the real situation can differ from the expectation as the real-world time goes, and the trajectories proposed by the previous scenario studies can be disrupted without satisfying the imposed constraints anymore. The first method to overcome this problem is the resistance strategy, which consists in finding the trajectories that can bear any disruption caused by the uncertainties to meet the imposed constraints. But this resistance strategy may not always be sufficient for scenario studies as the uncertainties in scenario studies are generally so high that the associated impact of disruptions can be too strong to guarantee the existence of said resistant trajectories. As a complementary solution, a resilience strategy is proposed in this study. The goal of this paper is to propose a resilience assessment method for scenario problems. In a resilience study, the resilience of a trajectory is defined as a capability to be readjusted to avoid the constraint violations caused by disruptions. The readjustment is carried out by changing the predesigned levers. A scheme is developed based on the Kriging surrogate models and the state-of-the-art Stepwise Uncertainty Reduction (SUR) algorithm to evaluate the resilience of trajectories. The developed resilience assessment method is applied to a scenario problem with uncertain power decrease as a demonstration. The results show that this method is an efficient tool to deal with the failure of trajectories caused by disruption.

A Comparative Study of Infill Sampling Criteria for Computationally Expensive Constrained Optimization Problems

Engineering optimization problems often involve computationally expensive black-box simulations of underlying physical phenomena. This paper compares the performance of four constrained optimization algorithms relying on a Gaussian process model and an infill sampling criterion under the framework of Bayesian optimization. The four infill sampling criteria include expected feasible improvement (EFI), constrained expected improvement (CEI), stepwise uncertainty reduction (SUR), and augmented Lagrangian (AL). Numerical tests were rigorously performed on a benchmark set consisting of nine constrained optimization problems with features commonly found in engineering, as well as a constrained structural engineering design optimization problem. Based upon several measures including statistical analysis, our results suggest that, overall, the EFI and CEI algorithms are significantly more efficient and robust than the other two methods, in the sense of providing the most improvement within a very limited number of objective and constraint function evaluations, and also in the number of trials for which a feasible solution could be located.

Adaptive Design of Experiments for Conservative Estimation of Excursion Sets

We consider the problem of estimating the set of all inputs that leads a system to some particular behavior. The system is modeled by an expensive-to-evaluate function, such as a computer experiment, and we are interested in its excursion set, that is, the set of points where the function takes values above or below some prescribed threshold. The objective function is emulated with a Gaussian process (GP) model based on an initial design of experiments enriched with evaluation results at (batch-) sequentially determined input points. The GP model provides conservative estimates for the excursion set, which control false positives while minimizing false negatives. We introduce adaptive strategies that sequentially select new evaluations of the function by reducing the uncertainty on conservative estimates. Following the stepwise uncertainty reduction approach we obtain new evaluations by minimizing adapted criteria. Tractable formulas for the conservative criteria are derived, which allow more convenient optimization. The method is benchmarked on random functions generated under the model assumptions in different scenarios of noise and batch size. We then apply it to a reliability engineering test case. Overall, the proposed strategy of minimizing false negatives in conservative estimation achieves competitive performance both in terms of model-based and model-free indicators. Supplementary materials for this article are available online.

Inversion Algorithm for Civil Flood Defense Optimization: Application to Two-Dimensional Numerical Model of the Garonne River in France

The objective of this study is to investigate inversion-approach for optimization of flood defense in a inundated area. This is a new methodology in this engineering field which consists in definition of a criterion (as for instance the water level in a given location must be lower than a given value) and analysis of all uncertain controlled parameters (i.e. flood defense geometry, location, and so on) combinations allowing to not exceed safety objective for all possible uncontrolled parameters combination (i.e. flow hydrograph parameters) representing natural phenomenon. In order to estimate this safety set, we will use a transient meta-modelling approach, which reduces widely number of model evaluations required. This algorithm relies on a kriging surrogate built from few model evaluations, sequentially fulfilled with new numerical model evaluations as long as remaining uncertainty of whole safety set remains too high. Also known as Stepwise Uncertainty Reduction, this algorithm is embedded in Funz engine in charge of bridging numerical model and any design of experiments algorithm. We applied this algorithm to a real bi-dimensional numerical model of Garonne River. Especially, we focused our attention on water depth at a given area when considering influence of a simplified flood defense during a flooding event. In order to simplify problem, we only analyze two parameters describing slab and dyke elevations of flood defense system. The results will be analyzed in terms of safety control inside operating range of river. It appears that once properly evaluated, this constrained zone gives highly valuable data for a fully risk informed management of area to protect.

Data-driven stochastic inversion via functional quantization

In this paper, we propose a new methodology for solving stochastic inversion problems through computer experiments, the stochasticity being driven by a functional random variables. This study is motivated by an automotive application. In this context, the simulator code takes a double set of simulation inputs: deterministic control variables and functional uncertain variables. This framework is characterized by two features. The first one is the high computational cost of simulations. The second is that the probability distribution of the functional input is only known through a finite set of realizations. In our context, the inversion problem is formulated by considering the expectation over the functional random variable. We aim at solving this problem by evaluating the model on a design, whose adaptive construction combines the so-called stepwise uncertainty reduction methodology with a strategy for an efficient expectation estimation. Two greedy strategies are introduced to sequentially estimate the expectation over the functional uncertain variable by adaptively selecting curves from the initial set of realizations. Both of these strategies consider functional principal component analysis as a dimensionality reduction technique assuming that the realizations of the functional input are independent realizations of the same continuous stochastic process. The first strategy is based on a greedy approach for functional data-driven quantization, while the second one is linked to the notion of space-filling design. Functional PCA is used as an intermediate step. For each point of the design built in the reduced space, we select the corresponding curve from the sample of available curves, thus guaranteeing the robustness of the procedure to dimension reduction. The whole methodology is illustrated and calibrated on an analytical example. It is then applied on the automotive industrial test case where we aim at identifying the set of control parameters leading to meet the pollutant emission standards of a vehicle.

A supermartingale approach to Gaussian process based sequential design of experiments

Gaussian process (GP) models have become a well-established framework for the adaptive design of costly experiments, and notably of computer experiments. GP-based sequential designs have been found practically efficient for various objectives, such as global optimization (estimating the global maximum or maximizer(s) of a function), reliability analysis (estimating a probability of failure) or the estimation of level sets and excursion sets. In this paper, we study the consistency of an important class of sequential designs, known as stepwise uncertainty reduction (SUR) strategies. Our approach relies on the key observation that the sequence of residual uncertainty measures, in SUR strategies, is generally a supermartingale with respect to the filtration generated by the observations. This observation enables us to establish generic consistency results for a broad class of SUR strategies. The consistency of several popular sequential design strategies is then obtained by means of this general result. Notably, we establish the consistency of two SUR strategies proposed by Bect, Ginsbourger, Li, Picheny and Vazquez (Stat. Comput. 22 (2012) 773–793) – to the best of our knowledge, these are the first proofs of consistency for GP-based sequential design algorithms dedicated to the estimation of excursion sets and their measure. We also establish a new, more general proof of consistency for the expected improvement algorithm for global optimization which, unlike previous results in the literature, applies to any GP with continuous sample paths.

A Bayesian optimization approach to find Nash equilibria

Game theory finds nowadays a broad range of applications in engineering and machine learning. However, in a derivative-free, expensive black-box context, very few algorithmic solutions are available to find game equilibria. Here, we propose a novel Gaussian-process based approach for solving games in this context. We follow a classical Bayesian optimization framework, with sequential sampling decisions based on acquisition functions. Two strategies are proposed, based either on the probability of achieving equilibrium or on the stepwise uncertainty reduction paradigm. Practical and numerical aspects are discussed in order to enhance the scalability and reduce computation time. Our approach is evaluated on several synthetic game problems with varying number of players and decision space dimensions. We show that equilibria can be found reliably for a fraction of the cost (in terms of black-box evaluations) compared to classical, derivative-based algorithms. The method is available in the R package GPGame available on CRAN at https://cran.r-project.org/package=GPGame .

Sequential design of experiments for estimating percentiles of black-box functions

Estimating percentiles of black-box deterministic functions with random inputs is a challenging task when the number of function evaluations is severely restricted , which is typical for computer experiments. This article proposes two new sequential Bayesian methods for percentile estimation based on the Gaussian Process metamodel. Both rely on the Stepwise Uncertainty Reduction paradigm, hence aim at providing a sequence of function evaluations that reduces an uncertainty measure associated with the percentile estimator. The proposed strategies are tested on several numerical examples, showing that accurate estimators can be obtained using only a small number of functions evaluations.

An adaptive kriging method for solving nonlinear inverse statistical problems

In various environmental contexts, estimating the distribution of unobserved random vectors Xi from some noisy indirect observations H(Xi)+Ui is required. If the relation between Xi and the quantity H(Xi), measured with the error Ui, is implemented by a CPU‐consuming computer model H, a major practical difficulty is to perform the statistical inference with a relatively small number of runs of H. A Bayesian statistical framework is considered to make use of possible prior knowledge on the parameters of the distribution of the Xi, which is assumed Gaussian. Moreover, a Markov Chain Monte Carlo algorithm is carried out to estimate their posterior distribution by replacing H by a kriging metamodel build from a limited number of simulated experiments. Two heuristics, involving two different criteria to be optimized, are proposed to sequentially design these computer experiments in the limits of a given computational budget. The first criterion is a weighted integrated mean square error. The second one, called expected conditional divergence, developed in the spirit of the stepwise uncertainty reduction criterion is based on the discrepancy between two consecutive approximations of the target posterior distribution. Several numerical comparisons conducted over a toy example then a motivating hydraulic real case study show that such adaptive designs can significantly outperform the classical choice of a maximin latin hypercube design of experiments. Dealing with a major concern in hydraulic engineering, a particular emphasis is placed upon the prior elicitation of the case study, highlighting the overall feasibility of the methodology. Faster convergences and manageability considerations lead to recommend the use of the expected conditional divergence criterion in practical applications.

Sequential Design for Ranking Response Surfaces

We propose and analyze sequential design methods for the problem of ranking several response surfaces. Namely, given $L \ge 2$ response surfaces over a continuous input space $\cal X$, the aim is to efficiently find the index of the minimal response across the entire $\cal X$. The response surfaces are not known and have to be noisily sampled one-at-a-time. This setting is motivated by stochastic control applications and requires joint experimental design both in space and response-index dimensions. To generate sequential design heuristics we investigate stepwise uncertainty reduction approaches, as well as sampling based on posterior classification complexity. We also make connections between our continuous-input formulation and the discrete framework of pure regret in multi-armed bandits. To model the response surfaces we utilize kriging surrogates. Several numerical examples using both synthetic data and an epidemics control problem are provided to illustrate our approach and the efficacy of respective adaptive designs.

Fast Parallel Kriging-Based Stepwise Uncertainty Reduction With Application to the Identification of an Excursion Set

Stepwise uncertainty reduction (SUR) strategies aim at constructing a sequence of points for evaluating a function f in such a way that the residual uncertainty about a quantity of interest progressively decreases to zero. Using such strategies in the framework of Gaussian process modeling has been shown to be efficient for estimating the volume of excursion of f above a fixed threshold. However, SUR strategies remain cumbersome to use in practice because of their high computational complexity, and the fact that they deliver a single point at each iteration. In this article we introduce several multipoint sampling criteria, allowing the selection of batches of points at which f can be evaluated in parallel. Such criteria are of particular interest when f is costly to evaluate and several CPUs are simultaneously available. We also manage to drastically reduce the computational cost of these strategies through the use of closed form formulas. We illustrate their performances in various numerical experiments, including a nuclear safety test case. Basic notions about kriging, auxiliary problems, complexity calculations, R code, and data are available online as supplementary materials.

Multiobjective optimization using Gaussian process emulators via stepwise uncertainty reduction

Optimization of expensive computer models with the help of Gaussian process emulators is now commonplace. However, when several (competing) objectives are considered, choosing an appropriate sampling strategy remains an open question. We present here a new algorithm based on stepwise uncertainty reduction principles. Optimization is seen as a sequential reduction of the volume of the excursion sets below the current best solutions (Pareto set), and our sampling strategy chooses the points that give the highest expected reduction. The method is tested on several numerical examples and on an agronomy problem, showing that it provides an efficient trade-off between exploration and intensification.

Sequential design of computer experiments for the estimation of a probability of failure

This paper deals with the problem of estimating the volume of the excursion set of a function f:ℝ d →ℝ above a given threshold, under a probability measure on ℝ d that is assumed to be known. In the industrial world, this corresponds to the problem of estimating a probability of failure of a system. When only an expensive-to-simulate model of the system is available, the budget for simulations is usually severely limited and therefore classical Monte Carlo methods ought to be avoided. One of the main contributions of this article is to derive SUR (stepwise uncertainty reduction) strategies from a Bayesian formulation of the problem of estimating a probability of failure. These sequential strategies use a Gaussian process model of f and aim at performing evaluations of f as efficiently as possible to infer the value of the probability of failure. We compare these strategies to other strategies also based on a Gaussian process model for estimating a probability of failure.

An informational approach to the global optimization of expensive-to-evaluate functions

In many global optimization problems motivated by engineering applications, the number of function evaluations is severely limited by time or cost. To ensure that each evaluation contributes to the localization of good candidates for the role of global minimizer, a sequential choice of evaluation points is usually carried out. In particular, when Kriging is used to interpolate past evaluations, the uncertainty associated with the lack of information on the function can be expressed and used to compute a number of criteria accounting for the interest of an additional evaluation at any given point. This paper introduces minimizers entropy as a new Kriging-based criterion for the sequential choice of points at which the function should be evaluated. Based on stepwise uncertainty reduction, it accounts for the informational gain on the minimizer expected from a new evaluation. The criterion is approximated using conditional simulations of the Gaussian process model behind Kriging, and then inserted into an algorithm similar in spirit to the Efficient Global Optimization (EGO) algorithm. An empirical comparison is carried out between our criterion and expected improvement, one of the reference criteria in the literature. Experimental results indicate major evaluation savings over EGO. Finally, the method, which we call IAGO (for Informational Approach to Global Optimization), is extended to robust optimization problems, where both the factors to be tuned and the function evaluations are corrupted by noise.