A Gradient-based Sampling Approach for Dimension Reduction of Partial Differential Equations With Stochastic Coefficients
Year: 2014
Type: article
Abstract: We develop a projection-based dimension reduction approach for partial differential equations with high-dimensional stochastic coefficients.This technique uses samples of the gradient of the quantity of interest (QoI) to partition the uncertainty domain into "active" and "passive" subspaces.The passive subspace is characterized by near-constant behavior of the quantity of interest, while the active subspace contains the most important dynamics of the stochastic system.We also present a procedure to project the model onto the low-dimensional active subspace that enables the resulting approximation to be solved using conventional techniques.Unlike the classical Karhunen-Loève expansion, the advantage of this approach is that it is applicable to fully nonlinear problems and does not require any assumptions on the correlation between the random inputs.This work also provides a rigorous convergence analysis of the quantity of interest and demonstrates: at least linear convergence with respect to the number of samples.It also shows that the convergence rate is independent of the number of input random variables.Thus, applied to a reducible problem, our approach can approximate the statistics of the QoI to within desired error tolerance at a cost that is orders of magnitude lower than standard Monte Carlo.Finally, several numerical examples demonstrate the feasibility of our approach and are used to illustrate the theoretical results.In particular, we validate our convergence estimates through the application of this approach to a reactor criticality problem with a large number of random cross-section parameters.
Authors: Miroslav Stoyanov, Clayton G. Webster
Institution: Oak Ridge National Laboratory
Language: English
Subfield: Statistics, Probability and Uncertainty
Field: Decision Sciences
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W1977824907