An Efficient Computational Framework For Uncertainty Quantification in Multiscale Systems

An efficient computational framework for uncertainty quantification in multiscale systems
Xiang Ma
Presentation for Thesis Defense (B-Exam) Date: Aug 18, 2010
Materials Process Design and Control Laboratory Sibley School of Mechanical and Aerospace Engineering 169 Frank H. T. Rhodes Hall Cornell University Ithaca, NY 14853-3801 Email: xm25@cornell.edu URL: http://mpdc.mae.cornell.edu/ Cornell University
Materials Process Design and Control Laboratory 1
Acknowledgement
SPECIAL COMMITTEE: Prof. Nicholas Zabaras, M & A.E., Cornell University Prof. Subrata Mukherjee, T & A.M., Cornell University Prof. Phaedon-Stelios Koutsourelakis, CEE., Cornell University Prof. Gennady Samorodnitsky, OR & IE., Cornell University
FUNDING SOURCES: Air Force of Scientific Research (AFOSR) National Science Foundation (NSF) Sibley School of Mechanical & Aerospace Engineering
Materials Process Design and Control Laboratory (MPDC)
Cornell University
Materials Process Design and Control Laboratory
Outline of the presentation Motivation: Coupling multiscaling and uncertainty analysis Mathematical representation of uncertainty Problem definition: Stochastic multiscale flow in porous media Adaptive Sparse Grid Collocation (ASGC) Method for the solution of SPDEs ASGC coupled with Adaptive High Dimensional Model Representation technique for high-dimensional SPDEs Mixed Finite Element Heterogeneous Multiscale Method Numerical Examples
Cornell University
Need for uncertainty analysis All physical systems have inherent associated randomness
SOURCES OF UNCERTAINTIES
Multiscale nature inherently statistical Uncertainties in process conditions Material heterogeneity Model formulation approximations, assumptions
Why uncertainty modeling?

Assess product and process reliability Estimate confidence level in model predictions Identify relative sources of randomness Provide robust design solutions
Cornell University
Why uncertainty and multiscaling Uncertainties introduced across various length scales have a non-trivial interactions.
Micro
Meso
Macro
Physical properties, structure follow a statistical description
Use micro averaged models for resolving physical scales
Imprecise boundary conditions Initial perturbations
Cornell University
Cornell University
Mathematical representation of uncertainty Math: Probability space (, F, P) Sample space Sigma-algebra Probability measure
Stochastic variable can be regarded as a function taking value in the stochastic space.
MAP
S
Sample space of elementary events
Real line
Each outcome is mapped to a corresponding real value
Collection of all possible outcomes
A stochastic process is a random field with variations across space and time.
X : ( x, t , )
Cornell University
Spectral stochastic representation A stochastic process = spatially, temporally varying random function
X : ( x, t , )
CHOOSE APPROPRIATE BASIS FOR THE PROBABILITY SPACE GENERALIZED POLYNOMIAL CHAOS EXPANSION SUPPORT-SPACE REPRESENTATION KARHUNEN-LOVE EXPANSION SPARSE GRID, CUBATURE, LH
8
HYPERGEOMETRIC ASKEY POLYNOMIALS
PIECEWISE POLYNOMIALS (FE TYPE)
SPECTRAL DECOMPOSITION
COLLOCATION, MC (DELTA FUNCTIONS) Cornell University
Stochastic collocation based framework

Need to represent this function
f:
Sample the function at a finite (i ) M set of points M = {Y }i =1 Use polynomials to get a approximate representation
If (Y ) = f (Y (i ) )ai (Y (i ) )
i =1
Function value at any point is simply If (Y ) Spatial domain is approximated using a FEM discretization. Stochastic function in 2 dimensions Stochastic domain is approximated using multidimensional interpolating functions
Cornell University
Collocation based framework for UQ

Pre A-exam developments:
1) Stochastic natural convection using generalized polynomial chaos expansion. 2) Preliminary studies on the effect of stochastic discontinuities. 3) A framework for solving stochastic partial differential equations based on adaptive sparse grid collocation method (ASGC).
Post A-exam developments:

1) An efficient framework for Bayesian inference approach based on ASGC. 2) High Dimensional Stochastic Model Representation (HDMR) technique for the solution of high-dimensional SPDEs. 3) Analysis of stochastic multiscale systems: Uncertainty across length- scales 4) Data-driven approaches to construct stochastic input models from limited information: explore the non-linearity structure of data using Kernel Principal Component Analysis (KPCA).
Cornell University
10
Cornell University
11
Flow through heterogeneous media

Necessitates stochastic multiscaling Ground water remediation, nuclear contamination and enhanced oil recovery Availability of enough input data and comparative results Pose and solve questions that provide some insights
Ground water remediation and contamination control
Oil recovery
Cornell University
12
Problem definition
Basic equations for flow and transport in a domain
with the boundary condition
Length scale of the system,
Length scale of permeability variation, Multiscale paradigm
l << L
But exact permeability unknown. Some statistics or limited data Permeability is a realization from corresponding probability space
Cornell University
K (, )
13
Karhunen-Love expansion
Karhunen-Lov expansion Based on the spectral decomposition of the covariance kernel of the stochastic process
1. Representation of random process - Karhunen-Loeve, Polynomial Chaos expansions 2. Infinite dimensions to finite dimensions
Random process
Mean Set of random variables to be found
- depends on the covariance
Need to know covariance Converges uniformly to any second order process

Eigenpairs of covariance kernel
Set the number of stochastic dimensions, N Dependence of variables
K ( x, ) = K ( x, Y1 , , YN )
N N
Pose the (N+d) dimensional problem Stochastic space:

Cornell University
i
i =1
PDF:
( Y ) = i (Yi ), Y
i =1
14
Stochastic variational formulation

Define the deterministic functional spaces:
and duality product Define the stochastic functional spaces:
Tensor product to perform the functional spaces:
Stochastic variational form: Find
Cornell University
15
Stochastic collocation method

The weak form is equivalent to: for a.e. hold: the following deterministic equations
As before, stochastic variable can be regarded as a function taking value in the stochastic space.
Random variable MAP
S
Sample space of elementary events
Real line
Each outcome is mapped to a corresponding real value
Collection of all possible outcomes
This nature is utilized by the stochastic collocation method to construct the interpolant of the stochastic function. Therefore, we only need the solution to the deterministic problem at the collocation points.
Cornell University
Cornell University
17
Sparse grid collocation

In higher dimensions, not all the points are equally important. Some points contribute less to the accuracy of the solution (e.g. points where the function is very smooth, regions where the function is linear, etc.). Discard the points that contribute less: SPARSE GRID COLLOCATION1 1D sampling
Tensor product
2D sampling
1 .S. Smolyak, Quadrature and interpolation formulas for tensor product of certain classes of functions, Soviet Math. Dokl, 4 (1963) 240-243.
Cornell University
18
Choice of collocation points and nodal basis functions

In the context of incorporating adaptivity, we use the Newton-Cotes grid with equidistant support nodes and the linear hat function as the univariate nodal basis.
In this manner, one ensures a local support and that discontinuities in the stochastic space can be resolved. The piecewise linear basis functions is defined as
1
Y ji 21i
Cornell University
Y ji
Y ji + 21i
19
Conventional sparse grid collocation (CSGC)

Denote the one dimensional interpolation formula as LET OUR BASIC 1D INTERPOLATION SCHEME BE SUMMARIZED AS In higher dimensions, a simple case is the tensor product formula AS IN MULTIPLE DIMENSIONS, THIS CAN BE WRITTEN
Using the 1D formula, the sparse interpolant Aq, N , where q is the depth of sparse grid
interpolation ( q 0, q Smolyak algorithm as
0
) and N
is the number of stochastic dimensions, is given by the
i = U i U i 1
U0 = 0
Here, we define the hierarchical surplus as:
Cornell University
20
Nodal basis versus hierarchical basis
Nodal basis
Hierarchical basis
Cornell University
21
Adaptive sparse grid collocation

1D tree-like data structure:
2 1
3 1
3 w2
2 w2
1 y1
Anisotropic sampling for interpolating functions with steep gradients and other localized phenomena Define a threshold value. If magnitude of the hierarchical surplus is greater than this threshold, refine around this point. Add 2N neighbor points. Scales linearly instead of O(2N) of other stochastic adaptive methods
y12 y13 y14

3 y2
2 y2
4 y2
2D:
Cornell University
22
Definition of the error indicator

The mean of the random solution can be evaluated as follows:
Denoting
we rewrite the mean as
We now define the error indicator as follows:
In addition to the surpluses, this error indicator incorporates information from the basis functions. This forces the error to decrease to a sufficiently small value for a large interpolation level. This error indicator guarantees that the refinement would stop at a certain interpolation level.
Cornell University
Adaptive sparse grid collocation: Algorithm
Cornell University
24
Adaptive sparse grid collocation

Ability to detect and reconstruct steep gradients
f ( x, y ) = 1 |103 x 2 y 2 | +103
f ( x, y ) = 1 | 0.3 x 2 y 2 | +10 1
Cornell University
25
Application to Rayleigh-Bnard instability Cold wall = -0.5 Insulated Insulated

u(x, t , ) = 0
u( x, t , ) + u(x, t , ) u(x, t , ) = p (x, t , ) + Pr 2u(x, t , ) + Pr Ra (x, t , ) t
( x, t , ) + u(x, t , ) (x, t , ) = 2 ( x, t , ) t
hot wall ()
Filled with air (Pr = 0.7), Ra = 2500, which is larger than the critical Rayleigh number, so that convection can be initialized by varying the hot wall temperature. Thus, the hot wall temperature is assumed to be a random variable. h = 0.4 + 0.3Y Y [0,1] Investigation: Stochastic simulation to find the critical wall temperature.
Cornell University
Rayleigh-Bnard instability: stochastic formulation

Max = 0.667891
0.6 0.5 0.4 0.3 0.2 0.1 0 -0.1 -0.2 -0.3 -0.4
Nonlinear: convection
0.541
Max = 0.436984
0.35 0.25 0.15 0.05 -0.05 -0.15 -0.25 -0.35 -0.45
Linear: conduction
Cornell University
27
Rayleigh-Bnard instability: Mean

Max = 1.73709
Max = 1.73123
Max = 0.55
1.6 1.2 0.8 0.4 0 -0.4 -0.8 -1.2 -1.6
1.6 1.2 0.8 0.4 0 -0.4 -0.8 -1.2 -1.6
0.5 0.4 0.3 0.2 0.1 0 -0.1 -0.2 -0.3 -0.4
Max = 1.73715
u
1.6 1.2 0.8 0.4 0 -0.4 -0.8 -1.2 -1.6
Max = 1.73128
v
1.6 1.2 0.8 0.4 0 -0.4 -0.8 -1.2 -1.6
Max = 0.549918
0.5 0.4 0.3 0.2 0.1 0 -0.1 -0.2 -0.3 -0.4
ASGC (top)
Cornell University
MC (bottom)
28
Rayleigh-Bnard instability: Variance

Max = 3.30617
3 2.6 2.2 1.8 1.4 1 0.6 0.2
Max = 3.28535
3 2.6 2.2 1.8 1.4 1 0.6 0.2
Max = 0.0129218
0.012 0.011 0.01 0.009 0.008 0.007 0.006 0.005 0.004 0.003 0.002 0.001
Max = 3.29984
u
3 2.6 2.2 1.8 1.4 1 0.6 0.2
Max = 3.27903
v
3 2.6 2.2 1.8 1.4 1 0.6 0.2
Max = 0.0128783
0.012 0.011 0.01 0.009 0.008 0.007 0.006 0.005 0.004 0.003 0.002 0.001
ASGC (top)
Cornell University
MC (bottom)
29
Outline of the presentation Motivation: Coupling multiscaling and uncertainty analysis Mathematical representation of uncertainty Problem definition: Stochastic multiscale flow in porous media Adaptive Sparse Grid Collocation (ASGC) Method for the solution of SPDEs ASGC coupled with Adaptive High Dimensional Model Representation technique for high-dimensional SPDEs Numerical Examples
Cornell University
30
Motivation of HDMR
Conventional and adaptive collocation methods are not suitable for highdimensional problems due to their weakly dependence on the dimensionality (logarithmic) in the error estimate.
Although ASGC can alleviate this problem to some extent, its performance depends on the regularity of the problem and the method is only effective when some random dimensions are more important than others. These modeling issues for high-dimensional stochastic problems motivate the use of the High Dimensional Model Representation (HDMR) technique. Stochastic elliptic: N = 25, Lc = 1/ 16
Cornell University
High dimensional model representation (HDMR)

f ( Y ) = f 0 + fi (Yi ) + f i1i2 Yi1 , Yi2 +
i =1 N i1 < i2 N N
)
N N
i1 < i2 < i3
f i1i2i3 Yi1 , Yi2 , Yi3 +
i1 < < is
f i1
is
( Y , , Y ) +
i1 is
+ f12
(Y1 , , YN )
In this expansion:
f 0 denotes the zeroth-order effect which is a constant. The component function fi (Yi ) gives the effect of the variable Yi acting independently of the other input variables. The component function fi i (Yi , Yi ) describes the interactive effects of the variables Yi and Yi . Higher-order terms reflect the cooperative effects ofincreasing numbers of variables acting together to impact upon f ( Y ) .
12 1 2
The last term f12N (Y1 , , YN ) gives any residual dependence of all the variables locked together in a cooperative way to influence the output f ( Y ) . Several low-dimensional problems
Cornell University
CUT-HDMR
This equation is often written in a more compact notation:
for a given set where denotes the set of coordinate indices and . Here, denotes the - dimensional vector containing those components of whose indices belong to the set , where is the cardinality of the corresponding set , i.e. . For example, if , then and implies
In CUT-HDMR, a reference point is first chosen
where the notation means that the components of other than those indices that belong to the set equal to those of the reference point.
Mean of the random input vector is chosen as the reference point.
Cornell University
CUT-HDMR coupled with ASGC

Therefore, the N -dimensional stochastic problem is transformed to several lower-order -dimensional problems which can easily solved by ASGC:
where indexed by
are the hierarchical surpluses for different sub-problems and is only a function of the coordinates belonging to
Then the mean of the HDMR expansion is simply
In other words, instead of solving the N - dimensional problem directly using ASGC, which is impractical for extremely high dimensional problems, we only need to solve several one- or two- dimensional problems, which can be solved efficiently via ASGC.
Cornell University
Adaptive HDMR1
Identify the important dimensions through the first-order expansion
Then we define the important dimensions as those whose weights are larger than a predefined error threshold . Only higher-order terms which consist of only these important dimensions are considered. We only construct the higher-order terms which is of importance:
Stop the construction if relative error
is small than a threshold
1 .X. Ma, N. Zabaras, An adaptive high-dimensional stochastic model representation technique for the solution of stochastic partial differential equations, JCP, 229 (2010) 3884-3915.
Cornell University
35
Adaptive HDMR algorithm
Cornell University
36
Stochastic Porous Media Flow

production well
.u = f u = K p
in in
D D
Grid: 30 30
1 1
injection well
x 10
-3
L = 0.25, 2 = 2.0, N = 500 :

7.5 7 Standard Deviation 6.5 6
PDF 70
Yi [1,1]
MC 60 50 40 30 20 10 0 -0.02
= 2.0
2
MC: 1,000,000 HDMR: = 10 , 1 = 2 10

-6 -4
1 = 10 1 = 10 = 10
-6
-2 -3 -4
1 = 2 10
5.5 5 4.5 4
= 2.0
0.2
0.4 x
0.6
0.8
-0.01
0.01
0.02 v
0.03
0.04
0.05
0.06
Standard deviation of velocity at y = 0.5
PDF of velocity at point ( 0, 0.5)
Convergence of the normalized errors of the standard deviation
Highest stochastic dimension problem reported based on non-MC method

Cornell University
Stochastic Natural Convection

Pr = 1.0, Ra = 1000
Insulated Cold wall = -0.5
hot wall ()
Grid: 30 30
N = 10, Yi [1,1]
3.5 3 2.5 2 1.5 1 0.5 0 -0.5 -1 -1.5 -2 -2.5 -3 -3.5
0.45 0.4 0.35 0.3 0.25 0.2 0.15 0.1 0.05 0 -0.05 -0.1 -0.15 -0.2 -0.25 -0.3 -0.35 -0.4 -0.45
Insulated
3.5 3 2.5 2 1.5 1 0.5 0 -0.5 -1 -1.5 -2 -2.5 -3 -3.5
Mean
Std
0.075 0.07 0.065 0.06 0.055 0.05 0.045 0.04 0.035 0.03 0.025 0.02 0.015 0.01 0.005
1.3 1.2 1.1 1 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1
1.1 1 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1
L = 0.1, = 0.05
L = 0.1, = 1.0
L = 0.1, = 2.0
38
Cornell University
Cornell University
39
Spatial finite element discretization

Permeability is defined as a cell-wise constant on a fine scale grid
element face
A coarse-scale grid is also defined, where we are seeking the coarse-scale solution. This grid is assumed to be conforming to the fine-scale grid where the permeability is defined.
element face
Cornell University
40
Mixed finite element method

The mixed finite element method for the elliptic problem on the coarse grid Find
c 4
(x
where the lowest-order Raviart-Thomas space for velocity
L 1
R , x2 )
(x
E
R 1
R , x2 )
1c
3c
(x
L 1
L , x2 )
c 2
(x
R 1
L , x2 )
is the value of the coarse-scale flux at the middle point of the side and piecewise constant approximation for pressure E
Cornell University
41
Multiscale bilinear form

All the fine-scale information of the permeability is incorporated in the bilinear form, i.e. . Define the global matrix for the bilinear form: , where
2x2: Numerical quadrature
where and and weights. are the quadrature points

4
It is clear that the realization of the permeability field at the quadrature point is not able to capture the full information at the subgrid scale in the coarse element.
Cornell University
42
Modified multiscale bilinear form

Therefore, we need to modify the bilinear form at the quadrature points following the framework of heterogeneous multiscale method1:
where sampling domain
is the solution to the following local subgrid problem in the
with appropriate boundary condition. pressure.
can be considered as the subgrid
1 . W. E, B. Engquist, The heterogeneous multi-scale methods, Comm. Math. Sci 1 (2002) 87-132.
Cornell University
43
Choice of the sampling domain

We would like to take the sampling domain the same as the coarse element, in order to capture all the fine-scale information of the permeability within the current coarse element.
E k = E
In other words, the subgrid problem is solved on the same coarse element for each quadrature point. Since the governing equations and the solution domain are the same for all the subgrid problem, the only difference between them is the boundary conditions applied on the coarse element, which is in general plays a significant role in the accuracy of the multiscale method.
Cornell University
Choice of boundary condition

Due the theory of HMM, the Neumann boundary condition is
constant
where denotes the value of the ith coarse-scale RT0 basis function at the kth quadrature point.
c 1,2 ( k )
c 1,2 ( k )
In another view, the boundary condition is equivalent to apply the total flux applied along the coarse element boundary , which is
Transmissibility is a measure of the ability of the interface to transport the flow across the boundary of the element.
ei
Ki
ej K j x j
1
xi
Hence we modify the boundary condition to
Transmissibility in the x-direction:
x x j Tva = 2 | a | i + K K j i
Cornell University
45
Choice of boundary condition

The modified boundary condition is
Q11
as example
Q11T1 / Ti | i |
i =1 4
1 2 3 4
Q11T5 / Ti | i | Q11T6 / Ti | i | Q11T7 / Ti | i | Q11T8 / Ti | i |

i =5 i =5 8 i =5 8 i =5 8
Q11T2 / Ti | i | Q11T3 / Ti | i |
i =1 4 i =1 4
6 7 8
Q11T4 / Ti | i |
i =1
The sum of the flux applied on the fine-scale element is equal to the total flux applied on the same coarse element boundary
We just redistribute the total flux on the coarse-scale element boundary according to the ability to transport the flow at the interface of each fine-scale element . This is clearly a better choice for boundary condition since it determines the flow conditions across the inter-block boundaries.
Cornell University
Subgrid problem in the coarse element

Therefore, our subgrid problem in one coarse-element E is defined as follows: For each quadrature point we seek the solution to the following subgrid problem for each coarse-scale RT0 basis function
subject to the following Neumann boundary condition
uik n = 0
E
uik n = 0
Cornell University
47
The coarse-scale problem

We will define the modified bilinear form as: for any
where
is defined through the subgrid problem.
The MxHMM version of the Darcys equation on the coarse scale reads: Fine the coarse scale such that
with the boundary condition The only difference is the modified bilinear form, which needs the solution of the local subgrid problem. It is through these subgrid problems and the mixed formulation that the effect of the heterogeneity on coarse-scale solutions can be correctly captured.
Cornell University
Reconstructing the fine-scale velocity

The idea is to solve Darcys equations within each coarse element using Neumann boundary condition given by the coarse-scale flux :
In order to make the problem well-posed, pressure is fixed in one fine-scale element with the coarse-scale pressure.
Again, using mixed finite element, the velocity field is conservative on both fine and coarse scales.
Cornell University
p = pc
49
Solution of the transport equation

The weak formulation is find such that
Let be the time step and denote by the approximation of the water saturation in element , then the discrete equation is
where
Degree of freedom in RT0 basis, can directly obtained from the solution of multiscale problem.
Cornell University
50
Quality assessment
To assess the quality of our multiscale approach, we will use the so called water cut curve , which defines the fraction of water in the produced fluid, i.e. where is the flow rate of produced oil at the outlet boundary and rate of the produced water. The water cut curve can be calculated as is the flow
where
refers to the outflow boundary condition.
The dimensionless time is measure in pore volume injected (PVI):
where is the total pore volume of the system, which is equal to the area of the domain here and is the total flow rate.
Cornell University
51
Solution Methodology
Generate the permeability sample given the collocation point, set coarse discretization
Generate collocation point
Compute the stiffness matrix for each coarse element
Solve the subgrid problems for each basis function at quadrature points
Solve stochastic multiscale problem with HDMR
Compute the stochastic coarse-scale fluxes
Return function value at collocation point
Reconstruct the fine-scale velocity
Solve the subgrid problems with coarsescale flux
POSTPROCESSING: Compute the statistics of the solution Cornell University
Solve the transport problem
52
Cornell University
53
Example 1: Realistic permeability

In order to verify the accuracy of the deterministic multiscale code, in this example, we consider a deterministic permeability field from the top layer of the SPE10 comparative project. p =0 The logarithm of the fine-scale permeability is defined on 60x220 grid as shown on the right. We assume the flow is from bottom to top with the boundary conditions:
For saturation equation, we assume zero initial conditions and the following boundary condition:
p =100
Cornell University
54
Contour of x-velocity for various coarse grids
(a ) Fine Scale
(b) 30 110
(c) 15 55
(d ) 10 44
(e) 6 22
Cornell University
55
Contour of y-velocity for various coarse grids
(a ) Fine Scale
(b) 30 110
(c) 15 55
(d ) 10 44
(e) 6 22
Cornell University
56
Saturation contour for various coarse grids at 0.4 PVI
(a ) Fine Scale
(b) 30 110
(c) 15 55
(d ) 10 44
(e) 6 22
Cornell University
57
Saturation Movies
(a ) Fine Scale
(b) 15 55
Cornell University
58
Water cut curves for various coarse grids

0.8 0.7 0.6 0.5 Reference 30 x 110 15 x 55 10 x 44 6 x 22
F(t)
0.4 0.3 0.2 0.1 0
0.2
0.4
0.6
0.8
PVI
Cornell University
59
Relative errors for various coarse grids
For velocity: For saturation: For water cut: The reference solution is taken from the solution of the fine-scale problem using mixed finite element method directly.
Cornell University
60
Example 2: stochastic simulation

= [ 0,1]
2
u n = 0
Fine-scale grid: 64 64 Coarse-scale grid: 8 8
p =1
u n = 0
p=0
where Y is a zero mean Gaussian random field with covariance function. is the correlation length and is the standard deviation
Here
are assumed i.i.d uniform random variables on [-1,1].
For comparison, the reference solution is taken from 106 MC samples, where each direct problem is solved using the fine-scale solver. The stochastic problem is solved using HDMR, where the solution of each deterministic problem at the collocation point is from the multiscale solver. We fix and investigate the effect of the anisotropy of the random field.
61
Cornell University
Example 2: Isotropic random field

In this problem, we take Due to the slow decay of the eigenvalue, the KLE is truncated after 100 terms. Therefore, the stochastic dimension is 100. The problem is solved with HDMR where each sub-problem is solved through ASGC. We take First, we show the results at 0.2 PVI.
It is interesting to note that the mean is nearly the same as the homogeneous solution with the mean permeability. This is called heterogeneity-induced dispersion, where the heterogeneity smoothes the water saturation profile in the ensemble sense, although individual realization shows heterogeneity. Cornell University
Isotropic field: std of saturation at 0.2 PVI
The result indicates that higher water saturation variance are concentrated near displacement fronts, which are areas of steep saturation gradients.
Cornell University
63
Isotropic filed: Convergence of HDMR
N i Number of important dimensions
N c Total number of expansion component functions
The normalized error is defined the same as before. From the table, it is seen that the results are indeed quite accurate despite the fact that 64-fold upscaling is used to solve the deterministic problem and adaptive methods are used to solve the stochastic problem.
Cornell University
64
Isotropic filed: Interpolation properties
We randomly generate one input vector and reconstruct the saturation from HDMR. At the same time, we run a deterministic problem with the fine-scale model and the same realization of the random input vector. The two results are exactly the same.
Cornell University
65
Isotropic field: PDF and CDF
PDF and CDF are plotted at the point (0.2, 0), where the highest standard deviation of saturation occurs. The results are obtained from the saturation realizations through HDMR.
Cornell University
66
Example 2: Anisotropic random field

In this problem, we take Due to the increasing of correlation length in x dimension, the KLE is truncated after 50 terms. Therefore, the stochastic dimension is 50. We first solve this problem again at time 0.2 PVI using HDMR with ASGC. We take the relevant parameters as
We get the same results as in the isotropic case.
Cornell University
67
Anisotropic field: std of saturation at 0.2 PVI
It is interesting to note that the shape of contour is nearly the same as that of isotropic random field. Only the value of standard deviation are different. The introduction of anisotropy has the effect of increasing the output uncertainty.
Cornell University
68
Anisotropic field: Convergence of HDMR
According to our previous numerical results, larger uncertainty requires more expansion terms. Here, indeed more expansion terms and collocation points are needed compared with that of isotropic case. In addition, the highest HDMR expansion order is 3. There are 3 third-order component functions, which indicating the existence of higher-order cooperative effects among the inputs.
Cornell University
69
Anisotropic field: Results at 0.2 PVI
Cornell University
70
Conclusions
An efficient computational framework developed for analysis of complex multiscale systems. The key aspects of these developments is to utilize the adaptive HDMR coupled with ASGC for solving stochastic PDEs involved. The most important rational that has made this technique important is its nonintrusive character, where only repetitive function calls are required at a much less number of sampling points than that of MC method. We have developed a black box stochastic toolkit that can seamlessly link with any deterministic simulator to facilitate stochastic analysis.
Cornell University
71
Uncertainty Quantification Across Length Scales

Uncertainty in initial and/or boundary (operating) conditions at the macro scale + Topological uncertainty at lower scales How do mechanical properties and damage evolve? Will the device fail? With what probability? - Simple one way coupling: Upscale the property statistics to the macro scale and use to compute statistics - Two way coupling: For tightly coupled problems, solve micromacro stochastic PDEs simultaneously. Need information theoretic models to propagate uncertainty across scales
72
Uncertain heat flux on the nozzle flap
Limited information about the microstructure of the material
Cornell University
Continuum-Discrete Stochastic Coupling

Exact microstructural features unknown. Experiments Atomistic model only provide limited statistical information - Where does fracture occur? Depends on the local microstructure => need a stochastic Averaged framework for analysis. properties - Stochastic homogenization can only be applied hierarchically/adaptively (e.g. near or far from crack tips) - Assumes significance in the robust design of materials that withstand failure Continuum model Microstructure Is it possible to couple discrete simulators (e.g. MD, MC) with a continuum stochastic (higher scale) simulator? - Since lower scales posses higher information content, estimate statistics and utilize it to run macro simulator
- Issues with computational efficiency (model reduction)

Cornell University
Publications
Xiang Ma and N. Zabaras, A stabilized stochastic finite element second-order projection method for modeling natural convection in random porous media", J. Computational Physics, Vol. 227, pp. 8448-8471, 2008. Xiang Ma and N. Zabaras, An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations", J. Computational Physics, Vol. 208, pp. 3084-3113, 2009. Xiang Ma and N. Zabaras, An efficient Bayesian inference approach to inverse problems based on an adaptive sparse grid collocation method", Inverse Problems, Vol. 25, 035013 (27pp) , 2009. (selected as the highlights of 2009 in Inverse Problems) Xiang Ma and N. Zabaras, An adaptive high-dimensional stochastic model representation technique for the solution of stochastic partial differential equations", J. Computational Physics, Vol. 229, pp. 3884 -3915, 2010. Xiang Ma and N. Zabaras, A stochastic mixed finite element heterogeneous multiscale method for flow in porous media", J. Computational Physics, submitted. Xiang Ma and N. Zabaras, Kernel principal component analysis for stochastic input model generation", J. Computational Physics, submitted. Cornell University
74

An Efficient Computational Framework For Uncertainty Quantification in Multiscale Systems

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

An Efficient Computational Framework For Uncertainty Quantification in Multiscale Systems

Uploaded by

Copyright:

Available Formats

An efficient computational framework for uncertainty quantification in multiscale systems

Materials Process Design and Control Laboratory (MPDC)

Materials Process Design and Control Laboratory

Materials Process Design and Control Laboratory

Why uncertainty modeling?

Materials Process Design and Control Laboratory

Physical properties, structure follow a statistical description

Use micro averaged models for resolving physical scales

Imprecise boundary conditions Initial perturbations

Materials Process Design and Control Laboratory

Materials Process Design and Control Laboratory

Each outcome is mapped to a corresponding real value

Collection of all possible outcomes

HYPERGEOMETRIC ASKEY POLYNOMIALS

PIECEWISE POLYNOMIALS (FE TYPE)

COLLOCATION, MC (DELTA FUNCTIONS) Cornell University

Materials Process Design and Control Laboratory

Stochastic collocation based framework

Collocation based framework for UQ

Post A-exam developments:

Materials Process Design and Control Laboratory

Materials Process Design and Control Laboratory

Flow through heterogeneous media

Materials Process Design and Control Laboratory

with the boundary condition

Length scale of the system,

Length scale of permeability variation, Multiscale paradigm

Mean Set of random variables to be found

- depends on the covariance

Need to know covariance Converges uniformly to any second order process

Set the number of stochastic dimensions, N Dependence of variables

Pose the (N+d) dimensional problem Stochastic space:

Materials Process Design and Control Laboratory

Stochastic variational formulation

and duality product Define the stochastic functional spaces:

Tensor product to perform the functional spaces:

Stochastic variational form: Find

Materials Process Design and Control Laboratory

Stochastic collocation method

Each outcome is mapped to a corresponding real value

Collection of all possible outcomes

Materials Process Design and Control Laboratory

Sparse grid collocation

Materials Process Design and Control Laboratory

Choice of collocation points and nodal basis functions

Materials Process Design and Control Laboratory

Conventional sparse grid collocation (CSGC)

is the number of stochastic dimensions, is given by the

Here, we define the hierarchical surplus as:

Materials Process Design and Control Laboratory

Nodal basis versus hierarchical basis

Materials Process Design and Control Laboratory

Adaptive sparse grid collocation

y12 y13 y14

Materials Process Design and Control Laboratory

Definition of the error indicator

we rewrite the mean as

We now define the error indicator as follows:

Adaptive sparse grid collocation: Algorithm

Materials Process Design and Control Laboratory

Adaptive sparse grid collocation

Materials Process Design and Control Laboratory

Application to Rayleigh-Bnard instability Cold wall = -0.5 Insulated Insulated