Polynomial Chaos Surrogate Construction for Stochastic Models with Parametric Uncertainty


Engineering and applied science relies on computational experiments to rigorously study physical systems. The mathematical models used to probe these systems are highly complex, and sampling-intensive studies often require prohibitively many simulations for acceptable accuracy. Surrogate models provide a means of circumventing the high computational expense of sampling such complex models. In particular, Polynomial chaos expansions (PCEs) have been successful for uncertainty quantification studies of deterministic models where the dominant source of uncertainty is parametric. We discuss an extension to conventional PCE surrogate modeling to enable surrogate construction for stochastic computational models that have intrinsic noise in addition to parametric uncertainty. We develop a PCE surrogate on a joint space of intrinsic and parametric uncertainty, enabled by Rosenblatt transformations. We then take advantage of closed-form solutions for computing PCE Sobol indices to perform a global sensitivity analysis of the model which explicitly quantifies the intrinsic noise contribution to the overall model output variance. Additionally, the resulting joint PCE is generative in the sense that it allows generating random realizations at any input parameter setting that are statistically approximately equivalent to realizations from the underlying stochastic model. The methodology is demonstrated on a chemical catalysis example model.

14th International Conference on Applications of Statistics and Probability in Civil Engineering (ICASP14), Dublin, Ireland