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Modern Monte Carlo methods for efficient uncertainty quantification and propagation: A survey

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Jiaxin Zhang

Published Online: Dec 02 2020

DOI: 10.1002/wics.1539

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Abstract Uncertainty quantification (UQ) includes the characterization, integration, and propagation of uncertainties that result from stochastic variations and a lack of knowledge or data in the natural world. Monte Carlo (MC) method is a sampling‐based approach that has widely used for quantification and propagation of uncertainties. However, the standard MC method is often time‐consuming if the simulation‐based model is computationally intensive. This article gives an overview of modern MC methods to address the existing challenges of the standard MC in the context of UQ. Specifically, multilevel Monte Carlo (MLMC) extending the concept of control variates achieves a significant reduction of the computational cost by performing most evaluations with low accuracy and corresponding low cost, and relatively few evaluations at high accuracy and corresponding high cost. Multifidelity Monte Carlo (MFMC) accelerates the convergence of standard Monte Carlo by generalizing the control variates with different models having varying fidelities and varying computational costs. Multimodel Monte Carlo method (MMMC), having a different setting of MLMC and MFMC, aims to address the issue of UQ and propagation when data for characterizing probability distributions are limited. Multimodel inference combined with importance sampling is proposed for quantifying and efficiently propagating the uncertainties resulting from small data sets. All of these three modern MC methods achieve a significant improvement of computational efficiency for probabilistic UQ, particularly uncertainty propagation. An algorithm summary and the corresponding code implementation are provided for each of the modern MC methods. The extension and application of these methods are discussed in detail. This article is categorized under: Statistical and Graphical Methods of Data Analysis > Monte Carlo Methods Statistical and Graphical Methods of Data Analysis > Sampling

Illustration of uncertainty quantification (UQ): forward UQ and inverse UQ

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Conceptual comparison of (a) the standard multi‐loop Monte Carlo method for propagating multiple probability models, and (b) the proposed multimodel Monte Carlo method with importance sampling reweighting

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Illustration of multimodel Monte Carlo method. This method mainly includes (a) input data collection X and candidate probability distribution selection, (b) multiple parametric probability distributions using multimodel inference, and (c) propagation of uncertainties characterized by an ensemble of distributions through computational model ℳ using optimal importance sampling and finally one obtains a probabilistic description of response output Y

[ Normal View | Magnified View ]

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