کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4967215 | 1449364 | 2017 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Itô-SDE MCMC method for Bayesian characterization of errors associated with data limitations in stochastic expansion methods for uncertainty quantification
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
نرم افزارهای علوم کامپیوتر
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چکیده انگلیسی
This paper is concerned with the characterization and the propagation of errors associated with data limitations in polynomial-chaos-based stochastic methods for uncertainty quantification. Such an issue can arise in uncertainty quantification when only a limited amount of data is available. When the available information does not suffice to accurately determine the probability distributions that must be assigned to the uncertain variables, the Bayesian method for assigning these probability distributions becomes attractive because it allows the stochastic model to account explicitly for insufficiency of the available information. In previous work, such applications of the Bayesian method had already been implemented by using the Metropolis-Hastings and Gibbs Markov Chain Monte Carlo (MCMC) methods. In this paper, we present an alternative implementation, which uses an alternative MCMC method built around an Itô stochastic differential equation (SDE) that is ergodic for the Bayesian posterior. We draw together from the mathematics literature a number of formal properties of this Itô SDE that lend support to its use in the implementation of the Bayesian method, and we describe its discretization, including the choice of the free parameters, by using the implicit Euler method. We demonstrate the proposed methodology on a problem of uncertainty quantification in a complex nonlinear engineering application relevant to metal forming.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational Physics - Volume 349, 15 November 2017, Pages 59-79
Journal: Journal of Computational Physics - Volume 349, 15 November 2017, Pages 59-79
نویسندگان
M. Arnst, B. Abello Álvarez, J.-P. Ponthot, R. Boman,