Abstract: There are two major types of uncertainty one can model. Aleatoric uncertainty captures noise inherent in the observations. On the other hand, epistemic uncertainty accounts for uncertainty in the model - uncertainty which can be explained away given enough data. Traditionally it has been difficult to model epistemic uncertainty in computer vision, but with new Bayesian deep learning tools this is now possible. We study the benefits of modeling epistemic vs. aleatoric uncertainty in Bayesian deep learning models for vision tasks. For this we present a Bayesian deep learning framework combining input-dependent aleatoric uncertainty together with epistemic uncertainty. We study models under the framework with per-pixel semantic segmentation and depth regression tasks. Further, our explicit uncertainty formulation leads to new loss functions for these tasks, which can be interpreted as learned attenuation. This makes the loss more robust to noisy data, also giving new state-of-the-art results on segmentation and depth regression benchmarks.

Abstract: Multi-fidelity modelling enables accurate inference of quantities of interest by synergistically combining realizations of low-cost/low-fidelity models with a small set of high-fidelity observations. This is particularly effective when the low- and high-fidelity models exhibit strong correlations, and can lead to significant computational gains over approaches that solely rely on high-fidelity models. However, in many cases of practical interest, low-fidelity models can only be well correlated to their high-fidelity counterparts for a specific range of input parameters, and potentially return wrong trends and erroneous predictions if probed outside of their validity regime. Here we put forth a probabilistic framework based on Gaussian process regression and nonlinear autoregressive schemes that is capable of learning complex nonlinear and space-dependent cross-correlations between models of variable fidelity, and can effectively safeguard against low-fidelity models that provide wrong trends. This introduces a new class of multi-fidelity information fusion algorithms that provide a fundamental extension to the existing linear autoregressive methodologies, while still maintaining the same algorithmic complexity and overall computational cost. The performance of the proposed methods is tested in several benchmark problems involving both synthetic and real multi-fidelity datasets from computational fluid dynamics simulations.

Abstract: Mathematical and numerical modelling of the cardiovascular system is a research topic that has attracted remarkable interest from the mathematical community because of its intrinsic mathematical difficulty and the increasing impact of cardiovascular diseases worldwide. In this review article we will address the two principal components of the cardiovascular system: arterial circulation and heart function. We will systematically describe all aspects of the problem, ranging from data imaging acquisition, stating the basic physical principles, analysing the associated mathematical models that comprise PDE and ODE systems, proposing sound and efficient numerical methods for their approximation, and simulating both benchmark problems and clinically inspired problems. Mathematical modelling itself imposes tremendous challenges, due to the amazing complexity of the cardiocirculatory system, the multiscale nature of the physiological processes involved, and the need to devise computational methods that are stable, reliable and efficient. Critical issues involve filtering the data, identifying the parameters of mathematical models, devising optimal treatments and accounting for uncertainties. For this reason, we will devote the last part of the paper to control and inverse problems, including parameter estimation, uncertainty quantification and the development of reduced-order models that are of paramount importance when solving problems with high complexity, which would otherwise be out of reach.

Abstract: Different multi-fidelity surrogate (MFS) frameworks have been used for optimization or uncertainty quantification. This paper investigates differences between various MFS frameworks with the aid of examples including algebraic functions and a borehole example. These MFS include three Bayesian frameworks using 1) a model discrepancy function, 2) low fidelity model calibration and 3) a comprehensive approach combining both. Three counterparts in simple frameworks are also included, which have the same functional form but can be built with ready-made surrogates. The sensitivity of frameworks to the choice of design of experiments (DOE) is investigated by repeating calculations with 100 different DOEs. Computational cost savings and accuracy improvement over a single fidelity surrogate model are investigated as a function of the ratio of the sampling costs between low and high fidelity simulations. For the examples considered, MFS frameworks were found to be more useful for saving computational time rather than improving accuracy. For the Hartmann 6 function example, the maximum cost saving for the same accuracy was 86 %, while the maximum accuracy improvement for the same cost was 51 %. It was also found that DOE can substantially change the relative standing of different frameworks. The cross-validation error appears to be a reasonable candidate for estimating poor MFS frameworks for a specific problem but it does not perform well compared to choosing single fidelity surrogates.

Abstract: To obtain uncertainty estimates with real-world Bayesian deep learning models, practical inference approximations are needed. Dropout variational inference (VI) for example has been used for machine vision and medical applications, but VI can severely underestimates model uncertainty. Alpha-divergences are alternative divergences to VI's KL objective, which are able to avoid VI's uncertainty underestimation. But these are hard to use in practice: existing techniques can only use Gaussian approximating distributions, and require existing models to be changed radically, thus are of limited use for practitioners. We propose a reparametrisation of the alpha-divergence objectives, deriving a simple inference technique which, together with dropout, can be easily implemented with existing models by simply changing the loss of the model. We demonstrate improved uncertainty estimates and accuracy compared to VI in dropout networks. We study our model's epistemic uncertainty far away from the data using adversarial images, showing that these can be distinguished from non-adversarial images by examining our model's uncertainty.

Abstract: Propose the concept of the probabilistic dual hesitant fuzzy set (PDHFS).Define the basic operational laws and some aggregation operators of the PDHFS for the information fusion.Propose the concept of entropy for the PDHFS and develop a visual analysis method for the aggregated results.Apply the proposed theory and methods to the Arctic geopolitical risk evaluation. The concurrence of randomness and imprecision widely exists in real-world problems. To describe the aleatory and epistemic uncertainty in a single framework and take more information into account, in this paper, we propose the concept of probabilistic dual hesitant fuzzy set (PDHFS) and define the basic operation laws of PDHFSs. For the purpose of applications, we also develop the basic aggregation operator for PDHFSs and give the general procedures for information fusion. Next, we propose a visualization method based on the entropy of PDHFSs so as to analyze the aggregated information and improve the final evaluation results. The proposed method is then applied to the risk evaluations. A case study of the Arctic geopolitical risk evaluation is presented to illustrate the validity and effectiveness. Finally, we discuss the advantages and the limitations of the PDHFS in detail.

Abstract: Polynomial chaos expansions (PCE) have seen widespread use in the context of uncertainty quantification. However, their application to structural reliability problems has been hindered by the limited performance of PCE in the tails of the model response and due to the lack of local metamodel error estimates. We propose a new method to provide local metamodel error estimates based on bootstrap resampling and sparse PCE. An initial experimental design is iteratively updated based on the current estimation of the limit-state surface in an active learning algorithm. The greedy algorithm uses the bootstrap-based local error estimates for the polynomial chaos predictor to identify the best candidate set of points to enrich the experimental design. We demonstrate the effectiveness of this approach on a well-known analytical benchmark representing a series system, on a truss structure and on a complex realistic frame structure problem.

Abstract: Uncertainty quantification has become a hot topic in computational sciences in the last decade. Indeed computer models (a.k.a simulators) are becoming more and more complex and demanding, yet the knowledge of the input parameters to feed into the model is usually limited. Based on the available data and possibly expert knowledge, parameters are represented by random variables. Of crucial interest is the propagation of the uncertainties through the simulator so as to estimate statistics of the quantities of interest. Monte Carlo simulation, a popular technique based on random number simulation, is unaffordable in practice when each simulator run takes minutes to hours. In this contribution we shortly review recent techniques to bypass Monte Carlo simulation, namely surrogate models. The basics of polynomial chaos expansions and low-rank tensor approximations are given together with hints on how to derive the statistics of interest, namely moments, sensitivity indices or probabilities of failure.

Abstract: Prestack or angle stack gathers are inverted to estimate pseudologs at every surface location for building reservoir models. Recently, several methods have been proposed to increase the resolution of the inverted models. All of these methods, however, require that the total number of model parameters be fixed a priori. We have investigated an alternate approach in which we allow the data themselves to choose model parameterization. In other words, in addition to the layer properties, the number of layers is also treated as a variable in our formulation. Such transdimensional inverse problems are generally solved by using the reversible jump Markov chain Monte Carlo (RJMCMC) approach, which is a tool for model exploration and uncertainty quantification. This method, however, has very low acceptance. We have developed a two-step method by combining RJMCMC with a fixed-dimensional MCMC called Hamiltonian Monte Carlo, which makes use of gradient information to take large steps. Acceptance probability ...

Abstract: We conduct a global sensitivity analysis (GSA) of the Energy Exascale Earth System Model (E3SM), land model (ELM) to calculate the sensitivity of five key carbon cycle outputs to 68 model parameters. This GSA is conducted by first constructing a Polynomial Chaos (PC) surrogate via new Weighted Iterative Bayesian Compressive Sensing (WIBCS) algorithm for adaptive basis growth leading to a sparse, high‐dimensional PC surrogate with 3,000 model evaluations. The PC surrogate allows efficient extraction of GSA information leading to further dimensionality reduction. The GSA is performed at 96 FLUXNET sites covering multiple plant functional types (PFTs) and climate conditions. About 20 of the model parameters are identified as sensitive with the rest being relatively insensitive across all outputs and PFTs. These sensitivities are dependent on PFT, and are relatively consistent among sites within the same PFT. The five model outputs have a majority of their highly sensitive parameters in common. A common subset of sensitive parameters is also shared among PFTs, but some parameters are specific to certain types (e.g., deciduous phenology). The relative importance of these parameters shifts significantly among PFTs and with climatic variables such as mean annual temperature.

Abstract: This paper presents a critical comparative assessment of Kriging model variants for surrogate based uncertainty propagation considering stochastic natural frequencies of composite doubly curved shells. The five Kriging model variants studied here are: Ordinary Kriging, Universal Kriging based on pseudo-likelihood estimator, Blind Kriging, Co-Kriging and Universal Kriging based on marginal likelihood estimator. First three stochastic natural frequencies of the composite shell are analysed by using a finite element model that includes the effects of transverse shear deformation based on Mindlin’s theory in conjunction with a layer-wise random variable approach. The comparative assessment is carried out to address the accuracy and computational efficiency of five Kriging model variants. Comparative performance of different covariance functions is also studied. Subsequently the effect of noise in uncertainty propagation is addressed by using the Stochastic Kriging. Representative results are presented for both individual and combined stochasticity in layer-wise input parameters to address performance of various Kriging variants for low dimensional and relatively higher dimensional input parameter spaces. The error estimation and convergence studies are conducted with respect to original Monte Carlo Simulation to justify merit of the present investigation. The study reveals that Universal Kriging coupled with marginal likelihood estimate yields the most accurate results, followed by Co-Kriging and Blind Kriging. As far as computational efficiency of the Kriging models is concerned, it is observed that for high-dimensional problems, CPU time required for building the Co-Kriging model is significantly less as compared to other Kriging variants.

Abstract: This paper introduces the basis-adaptive sparse polynomial chaos (BASPC) expansion to perform the probabilistic power flow (PPF) analysis in power systems. The proposed method takes advantage of three state-of-the-art uncertainty quantification methodologies reasonably: the hyperbolic scheme to truncate the infinite polynomial chaos (PC) series; the least angle regression (LARS) technique to select the optimal degree of each univariate PC series; and the Copula to deal with nonlinear correlations among random input variables. Consequently, the proposed method brings appealing features to PPF, including the ability to handle the large-scale uncertainty sources; to tackle the nonlinear correlation among the random inputs; to analytically calculate representative statistics of the desired outputs; and to dramatically alleviate the computational burden as of traditional methods. The accuracy and efficiency of the proposed method are verified through either quantitative indicators or graphical results of PPF on both the IEEE European Low Voltage Test Feeder and the IEEE 123 Node Test Feeder, in the presence of more than 100 correlated uncertain input variables.

Abstract: The emergent field of probabilistic numerics has thus far lacked clear statistical principals. This paper establishes Bayesian probabilistic numerical methods as those which can be cast as solutions to certain inverse problems within the Bayesian framework. This allows us to establish general conditions under which Bayesian probabilistic numerical methods are well-defined, encompassing both non-linear and non-Gaussian models. For general computation, a numerical approximation scheme is proposed and its asymptotic convergence established. The theoretical development is then extended to pipelines of computation, wherein probabilistic numerical methods are composed to solve more challenging numerical tasks. The contribution highlights an important research frontier at the interface of numerical analysis and uncertainty quantification, with a challenging industrial application presented.

Abstract: To obtain uncertainty estimates with real-world Bayesian deep learning models, practical inference approximations are needed. Dropout variational inference (VI) for example has been used for machine vision and medical applications, but VI can severely underestimates model uncertainty. Alpha-divergences are alternative divergences to VI's KL objective, which are able to avoid VI's uncertainty underestimation. But these are hard to use in practice: existing techniques can only use Gaussian approximating distributions, and require existing models to be changed radically, thus are of limited use for practitioners. We propose a re-parametrisation of the alpha-divergence objectives, deriving a simple inference technique which, together with dropout, can be easily implemented with existing models by simply changing the loss of the model. We demonstrate improved uncertainty estimates and accuracy compared to VI in dropout networks. We study our model's epistemic uncertainty far away from the data using adversarial images, showing that these can be distinguished from non-adversarial images by examining our model's uncertainty.

Abstract: Summary The paper considers the computer model calibration problem and provides a general frequentist solution. Under the framework proposed, the data model is semiparametric with a non-parametric discrepancy function which accounts for any discrepancy between physical reality and the computer model. In an attempt to solve a fundamentally important (but often ignored) identifiability issue between the computer model parameters and the discrepancy function, the paper proposes a new and identifiable parameterization of the calibration problem. It also develops a two-step procedure for estimating all the relevant quantities under the new parameterization. This estimation procedure is shown to enjoy excellent rates of convergence and can be straightforwardly implemented with existing software. For uncertainty quantification, bootstrapping is adopted to construct confidence regions for the quantities of interest. The practical performance of the methodology is illustrated through simulation examples and an application to a computational fluid dynamics model.

Abstract: Uncertainty quantification of mass functions is a crucial and unsolved issue in belief function theory. Previous studies have mostly considered this problem from the perspective of viewing the belief function theory as an extension of probability theory. Recently, Yang and Han have developed a new distance-based total uncertainty measure directly and totally based on the framework of belief function theory so that there is no switch between the frameworks of belief function theory and probability theory in that measure. However, we have found some obvious deficiencies in Yang and Han's uncertainty measure which could lead to counter-intuitive results in some cases. In this paper, an improved distance-based total uncertainty measure has been proposed to overcome the limitations of Yang and Han's uncertainty measure. The proposed measure not only retains the desired properties of original measure, but also possesses higher sensitivity to the change of evidences. A number of examples and applications have verified the effectiveness and rationality of the proposed uncertainty measure.

Abstract: Uncertainty quantification for subsurface flow problems is typically accomplished through model-based inversion procedures in which multiple posterior (history-matched) geological models are generated and used for flow predictions. These procedures can be demanding computationally, however, and it is not always straightforward to maintain geological realism in the resulting history-matched models. In some applications, it is the flow predictions themselves (and the uncertainty associated with these predictions), rather than the posterior geological models, that are of primary interest. This is the motivation for the data-space inversion (DSI) procedure developed in this paper. In the DSI approach, an ensemble of prior model realizations, honoring prior geostatistical information and hard data at wells, are generated and then (flow) simulated. The resulting production data are assembled into data vectors that represent prior ‘realizations’ in the data space. Pattern-based mapping operations and principal component analysis are applied to transform non-Gaussian data variables into lower-dimensional variables that are closer to multivariate Gaussian. The data-space inversion is posed within a Bayesian framework, and a data-space randomized maximum likelihood method is introduced to sample the conditional distribution of data variables given observed data. Extensive numerical results are presented for two example cases involving oil–water flow in a bimodal channelized system and oil–water–gas flow in a Gaussian permeability system. For both cases, DSI results for uncertainty quantification (e.g., P10, P50, P90 posterior predictions) are compared with those obtained from a strict rejection sampling (RS) procedure. Close agreement between the DSI and RS results is consistently achieved, even when the (synthetic) true data to be matched fall near the edge of the prior distribution. Computational savings using DSI are very substantial in that RS requires $$O(10^5$$ – $$10^6)$$ flow simulations, in contrast to 500 for DSI, for the cases considered.

Abstract: Energy prediction of machine tools can deliver many advantages to a manufacturing enterprise, ranging from energy-efficient process planning to machine tool monitoring. Physics-based, energy prediction models have been proposed in the past to understand the energy usage pattern of a machine tool. However, uncertainties in both the machine and the operating environment make it difficult to predict the energy consumption of the target machine reliably. Taking advantage of the opportunity to collect extensive, contextual, energy-consumption data, we discuss a data-driven approach to develop an energy prediction model of a machine tool in this paper. First, we present a methodology that can efficiently and effectively collect and process data extracted from a machine tool and its sensors. We then present a data-driven model that can be used to predict the energy consumption of the machine tool for machining a generic part. Specifically, we use Gaussian Process (GP) Regression, a non-parametric machine-learning technique, to develop the prediction model. The energy prediction model is then generalized over multiple process parameters and operations. Finally, we apply this generalized model with a method to assess uncertainty intervals to predict the energy consumed to machine any part using a Mori Seiki NVD1500 machine tool. Furthermore, the same model can be used during process planning to optimize the energy-efficiency of a machining process.

Abstract: Fabrication process variations are a major source of yield degradation in the nanoscale design of integrated circuits (ICs), microelectromechanical systems (MEMSs), and photonic circuits. Stochastic spectral methods are a promising technique to quantify the uncertainties caused by process variations. Despite their superior efficiency over Monte Carlo for many design cases, stochastic spectral methods suffer from the curse of dimensionality, i.e., their computational cost grows very fast as the number of random parameters increases. In order to solve this challenging problem, this paper presents a high-dimensional uncertainty quantification algorithm from a big data perspective. Specifically, we show that the huge number of (e.g., $1.5 \times 10^{27}$ ) simulation samples in standard stochastic collocation can be reduced to a very small one (e.g., 500) by exploiting some hidden structures of a high-dimensional data array. This idea is formulated as a tensor recovery problem with sparse and low-rank constraints, and it is solved with an alternating minimization approach. The numerical results show that our approach can efficiently simulate some IC, MEMS, and photonic problems with over 50 independent random parameters, whereas the traditional algorithm can only deal with a small number of random parameters.

Abstract: The goal of this work is to quantify the uncertainty and sensitivity of commonly used turbulence models in Reynolds-averaged Navier–Stokes codes due to uncertainty in the values of closure coefficients for transonic wall-bounded flows and to rank the contribution of each coefficient to uncertainty in various output flow quantities of interest. Specifically, uncertainty quantification of turbulence model closure coefficients is performed for transonic flow over an axisymmetric bump and the RAE 2822 transonic airfoil. Three turbulence models are considered: the Spalart–Allmaras model, Wilcox (2006) k-ω model, and Menter shear-stress transport model. The FUN3D code developed by NASA Langley Research Center is used as the flow solver. The uncertainty quantification analysis employs stochastic expansions based on non-intrusive polynomial chaos for efficient uncertainty propagation. Several integrated and point quantities are considered as uncertain outputs for both computational fluid dynamics problems. Closur...