Global sensitivity analysis using polynomial chaos expansions

Global sensitivity analysis (SA) aims at quantifying the respective effects of input random variables (or combinations thereof) onto the variance of the response of a physical or mathematical model. Among the abundant literature on sensitivity measures, the Sobol’ indices have received much attention since they provide accurate information for most models. The paper introduces generalized polynomial chaos expansions (PCE) to build surrogate models that allow one to compute the Sobol’ indices analytically as a post-processing of the PCE coefficients. Thus the computational cost of the sensitivity indices practically reduces to that of estimating the PCE coefficients. An original non intrusive regression-based approach is proposed, together with an experimental design of minimal size. Various application examples illustrate the approach, both from the field of global SA (i.e. well-known benchmark problems) and from the field of stochastic mechanics. The proposed method gives accurate results for various examples that involve up to eight input random variables, at a computational cost which is 2–3 orders of magnitude smaller than the traditional Monte Carlo-based evaluation of the Sobol’ indices.     

Seismic fragility analysis using stochastic polynomial chaos expansions

Within the performance-based earthquake engineering (PBEE) framework, the fragility model plays a pivotal role. Such a model represents the probability that the engineering demand parameter (EDP) exceeds a certain safety threshold given a set of selected intensity measures (IMs) that characterize the earthquake load. The-state-of-the art methods for fragility computation rely on full non-linear time–history analyses. Within this perimeter, there are two main approaches: the first relies on the selection and scaling of recorded ground motions; the second, based on random vibration theory, characterizes the seismic input with a parametric stochastic ground motion model (SGMM). The latter case has the great advantage that the problem of seismic risk analysis is framed as a forward uncertainty quantification problem. However, running classical full-scale Monte Carlo simulations is intractable because of the prohibitive computational cost of typical finite element models. Therefore, it is of great interest to define fragility models that link an EDP of interest with the SGMM parameters — which are regarded as IMs in this context. The computation of such fragility models is a challenge on its own and, despite a few recent studies, there is still an important research gap in this domain. This comes with no surprise as classical surrogate modeling techniques cannot be applied due to the stochastic nature of SGMM. This study tackles this computational challenge by using stochastic polynomial chaos expansions to represent the statistical dependence of EDP on IMs. More precisely, this surrogate model estimates the full conditional probability distribution of EDP conditioned on IMs. We compare the proposed approach with some state-of-the-art methods in two case studies. The numerical results show that the new method prevails over its competitors in estimating both the conditional distribution and the fragility functions.     

Generalized polynomial chaos and random oscillators

We present a new approach to obtain solutions for general random oscillators using a broad class of polynomial chaos expansions, which are more efficient than the classical Wiener–Hermite expansions. The approach is general but here we present results for linear oscillators only with random forcing or random coefficients. In this context, we are able to obtain relatively sharp error estimates in the representation of the stochastic input as well as the solution. We have also performed computational comparisons with Monte Carlo simulations which show that the new approach can be orders of magnitude faster, especially for compact distributions. Copyright © 2004 John Wiley & Sons, Ltd.     

Hybridization of stochastic reduced basis methods with polynomial chaos expansions

We propose a hybrid formulation combining stochastic reduced basis methods with polynomial chaos expansions for solving linear random algebraic equations arising from discretization of stochastic partial differential equations. Our objective is to generalize stochastic reduced basis projection schemes to non-Gaussian uncertainty models and simplify the implementation of higher-order approximations. We employ basis vectors spanning the preconditioned stochastic Krylov subspace to represent the solution process. In the present formulation, the polynomial chaos decomposition technique is used to represent the stochastic basis vectors in terms of multidimensional Hermite polynomials. The Galerkin projection scheme is then employed to compute the undetermined coefficients in the reduced basis approximation. We present numerical studies on a linear structural problem where the Youngs modulus is represented using Gaussian as well as lognormal models to illustrate the performance of the hybrid stochastic reduced basis projection scheme. Comparison studies with the spectral stochastic finite element method suggest that the proposed hybrid formulation gives results of comparable accuracy at a lower computational cost.     

Stochastic convergence acceleration through basis enrichment of polynomial chaos expansions

Given their mathematical structure, methods for computational stochastic analysis based on orthogonal approximations and projection schemes are well positioned to draw on developments from deterministic approximation theory. This is demonstrated in the present paper by extending basis enrichment from deterministic analysis to stochastic procedures involving the polynomial chaos decomposition. This enrichment is observed to have a significant effect on the efficiency and performance of these stochastic approximations in the presence of non‐continuous dependence of the solution on the stochastic parameters. In particular, given the polynomial structure of these approximations, the severe degradation in performance observed in the neighbourhood of such discontinuities is effectively mitigated. An enrichment of the polynomial chaos decomposition is proposed in this paper that can capture the behaviour of such non‐smooth functions by integrating a priori knowledge about their behaviour. The proposed enrichment scheme is applied to a random eigenvalue problem where the smoothness of the functional dependence between the random eigenvalues and the random system parameters is controlled by the spacing between the eigenvalues. It is observed that through judicious selection of enrichment functions, the spectrum of such a random system can be more efficiently characterized, even for systems with closely spaced eigenvalues. Copyright © 2007 John Wiley & Sons, Ltd.     

Integrated cross-coupled chaos oscillator applied to random number generation

A new cross-coupled LC chaos oscillator suitable for IC realisation is presented. The proposed circuit was fabricated using a 0.35 mm CMOS process and test results showing its feasibility are given. As a possible application, a method for using the proposed oscillator as the core of a random number generator is described. Experimental binary data obtained according to the proposed method pass the four tests of FIPS- 140-2, the full NIST-800-22 and DIEHARD random number test suites.     

Computation of higher‐order moments of generalized polynomial chaos expansions

Because of the complexity of fluid flow solvers, non‐intrusive uncertainty quantification techniques have been developed in aerodynamic simulations in order to compute the quantities of interest required in an optimization process, for example. The objective function is commonly expressed in terms of moments of these quantities, such as the mean, standard deviation, or even higher‐order moments. Polynomial surrogate models based on polynomial chaos expansions have often been implemented in this respect. The original approach of uncertainty quantification using polynomial chaos is however intrusive. It is based on a Galerkin‐type formulation of the model equations to derive the governing equations for the polynomial expansion coefficients. Third‐order, indeed fourth‐order moments of the polynomials are needed in this analysis. Besides, both intrusive and non‐intrusive approaches call for their computation provided that higher‐order moments of the quantities of interest need to be post‐processed. In most applications, they are evaluated by Gauss quadratures and eventually stored for use throughout the computations. In this paper, analytical formulas are rather considered for the moments of the continuous polynomials of the Askey scheme, so that they can be evaluated by quadrature‐free procedures instead. Matlab^© codes have been developed for this purpose and tested by comparisons with Gauss quadratures. Copyright © 2017 John Wiley & Sons, Ltd.     

Sparse polynomial chaos expansions of frequency response functions using stochastic frequency transformation

Frequency response functions (FRFs) are important for assessing the behavior of stochastic linear dynamic systems. For large systems, their evaluations are time-consuming even for a single simulation. In such cases, uncertainty quantification by crude Monte-Carlo simulation is not feasible. In this paper, we propose the use of sparse adaptive polynomial chaos expansions (PCE) as a surrogate of the full model. To overcome known limitations of PCE when applied to FRF simulation, we propose a frequency transformation strategy that maximizes the similarity between FRFs prior to the calculation of the PCE surrogate. This strategy results in lower-order PCEs for each frequency. Principal component analysis is then employed to reduce the number of random outputs. The proposed approach is applied to two case studies: a simple 2-DOF system and a 6-DOF system with 16 random inputs. The accuracy assessment of the results indicates that the proposed approach can predict single FRFs accurately. Besides, it is shown that the first two moments of the FRFs obtained by the PCE converge to the reference results faster than with the Monte-Carlo (MC) methods.     

A practical polynomial chaos Kalman filter implementation using nonlinear error projection on a reduced polynomial chaos expansion

The polynomial chaos Kalman filter (PCKF) has been gaining popularity as a computationally efficient and robust alternative to sampling methods in sequential data assimilation settings. The PCKF's sampling free scheme and attractive structure to represent non‐Gaussian uncertainties makes it a promising approach for data filtering techniques in nonlinear and non‐Gaussian frameworks. However, the accuracy of PCKF is dependent on the dimension and order of the polynomial chaos expansion used to represent all sources of uncertainty in the system. Thus, when independent sources of errors, like process noise and time independent sensors' errors are incorporated in the system, the curse of dimensionality hinders the efficiency and the applicability of PCKF. This study sheds light on this issue and presents a practical framework to maintain an acceptable accuracy of PCKF without scarifying the computational efficiency of the filter. The robustness and efficiency of the presented implementation is demonstrated on 3 typical numerical examples to illustrate its ability to achieve considerable accuracy at a low computational tax.     

An adaptive algorithm to build up sparse polynomial chaos expansions for stochastic finite element analysis

Polynomial chaos (PC) expansions are used in stochastic finite element analysis to represent the random model response by a set of coefficients in a suitable (so-called polynomial chaos) basis. The number of terms to be computed grows dramatically with the size of the input random vector, which makes the computational cost of classical solution schemes (may it be intrusive (i.e.of Galerkin type) or non-intrusive) unaffordable when the deterministic finite element model is expensive to evaluate.     

Methods of nonlinear random vibration analysis

The various techniques available for the analysis of nonlinear systems subjected to random excitations are briefly introduced and an overview of the progress which has been made in this area of research is presented. The discussion is mainly focused on the basis, scope and limitations of the solution techniques and not on specific applications.     

A polynomial chaos method for arbitrary random inputs using B-splines

Isogeometric analysis which extends the finite element method through the usage of B-splines has become well established in engineering analysis and design procedures. In this paper, this concept is considered in context with the methodology of polynomial chaos as applied to computational stochastic mechanics. In this regard it is noted that many random processes used in several applications can be approximated by the chaos representation by truncating the associated series expansion. Ordinarily, the basis of these series are orthogonal Hermite polynomials which are replaced by B-spline basis functions. Further, the convergence of the B-spline chaos is presented and substantiated by numerical results. Furthermore, it is pointed out, that the B-spline expansion is a generalization of the Legendre multi-element generalized polynomial chaos expansion, which is proven by solving several stochastic differential equations.     

Stochastic analysis of the fracture toughness of polymeric nanoparticle composites using polynomial chaos expansions

The fracture energy is a substantial material property that measures the ability of materials to resist crack growth. The reinforcement of the epoxy polymers by nanosize fillers improves significantly their toughness. The fracture mechanism of the produced polymeric nanocomposites is influenced by different parameters. This paper presents a methodology for stochastic modelling of the fracture in polymer/particle nanocomposites. For this purpose, we generated a 2D finite element model containing an epoxy matrix and rigid nanoparticles surrounded by an interphase zone. The crack propagation was modelled by the phantom node method. The stochastic model is based on six uncertain parameters: the volume fraction and the diameter of the nanoparticles, Young’s modulus and the maximum allowable principal stress of the epoxy matrix, the interphase zone thickness and its Young’s modulus. Considering the uncertainties in input parameters, a polynomial chaos expansion surrogate model is constructed followed by a sensitivity analysis. The variance in the fracture energy was mostly influenced by the maximum allowable principal stress and Young’s modulus of the epoxy matrix.     

Uncertainty quantification of offshore anchoring systems in spatially variable soil using sparse polynomial chaos expansions

The trend toward deep water energy production has led to a growing use of plate anchors to moor floating production facilities. The effect on anchor uplift behaviour of the inherent spatial variability of soil deposits has so far been little considered, despite having important implications for anchor design. Spatial variability problems are commonly analysed by Monte Carlo simulation but it is difficult to establish the probabilities of failure that are of interest in practice. In this paper, sparse polynomial chaos expansions (SPCEs) are used for moment and reliability analysis of plate anchors in spatially variable undrained clay. A novel two-stage methodology is proposed: in the first stage, an SPCE is constructed to meet a target global error, allowing statistical moments of the uplift capacity to be obtained; in the second stage, an active learning method is used to refine the SPCE for reliability analysis. Anchor uplift capacity is obtained by a finite element method, which is coupled with a random field representation of spatial variability. The effect of embedment depth and the soil-anchor interface is investigated. The failure mechanism of the anchor is shown to have a significant effect on the statistical moments of the uplift capacity and the probability of failure in relation to current design guidelines. To inform future design, factors of safety are presented for a range of failure probabilities.     

Tail-equivalent linearization method for nonlinear random vibration

A new, non-parametric linearization method for nonlinear random vibration analysis is developed. The method employs a discrete representation of the stochastic excitation and concepts from the first-order reliability method, FORM. For a specified response threshold of the nonlinear system, the equivalent linear system is defined by matching the “design points” of the linear and nonlinear responses in the space of the standard normal random variables obtained from the discretization of the excitation. Due to this definition, the tail probability of the linear system is equal to the first-order approximation of the tail probability of the nonlinear system, this property motivating the name Tail-Equivalent Linearization Method (TELM). It is shown that the equivalent linear system is uniquely determined in terms of its impulse response function in a non-parametric form from the knowledge of the design point. The paper examines the influences of various parameters on the tail-equivalent linear system, presents an algorithm for finding the needed sequence of design points, and describes methods for determining various statistics of the nonlinear response, such as the probability distribution, the mean level-crossing rate and the first-passage probability. Applications to single- and multi-degree-of-freedom, non-degrading hysteretic systems illustrate various features of the method, and comparisons with results obtained by Monte Carlo simulations and by the conventional equivalent linearization method (ELM) demonstrate the superior accuracy of TELM over ELM, particularly for high response thresholds.     

A polynomial chaos approach to measurement uncertainty

Measurement uncertainty is traditionally represented in the form of expanded uncertainty as defined through the Guide to the Expression of Uncertainty in Measurement (GUM). The International Organization for Standardization GUM represents uncertainty through confidence intervals based on the variances and means derived from probability density functions. A new approach to the evaluation of measurement uncertainty based on the polynomial chaos theory is presented and compared with the traditional GUM method.     

Generalized probabilistic approach of uncertainties in computational dynamics using random matrices and polynomial chaos decompositions

A new generalized probabilistic approach of uncertainties is proposed for computational model in structural linear dynamics and can be extended without difficulty to computational linear vibroacoustics and to computational non‐linear structural dynamics. This method allows the prior probability model of each type of uncertainties (model‐parameter uncertainties and modeling errors) to be separately constructed and identified. The modeling errors are not taken into account with the usual output‐prediction‐error method, but with the nonparametric probabilistic approach of modeling errors recently introduced and based on the use of the random matrix theory. The theory, an identification procedure and a numerical validation are presented. Then a chaos decomposition with random coefficients is proposed to represent the prior probabilistic model of random responses. The random germ is related to the prior probability model of model‐parameter uncertainties. The random coefficients are related to the prior probability model of modeling errors and then depends on the random matrices introduced by the nonparametric probabilistic approach of modeling errors. A validation is presented. Finally, a future perspective is introduced when experimental data are available. The prior probability model of the random coefficients can be improved in constructing a posterior probability model using the Bayesian approach. Copyright © 2009 John Wiley & Sons, Ltd.     

Reduced chaos expansions with random coefficientsin reduced‐dimensional stochastic modeling of coupled problems

We address the curse of dimensionality in methods for solving stochastic coupled problems with an emphasis on stochastic expansion methods such as those involving polynomial chaos expansions. The proposed method entails a partitioned iterative solution algorithm that relies on a reduced‐dimensional representation of information exchanged between subproblems to allow each subproblem to be solved within its own stochastic dimension while interacting with a reduced projection of the other subproblems. The proposed method extends previous work by the authors by introducing a reduced chaos expansion with random coefficients. The representation of the exchanged information by using this reduced chaos expansion with random coefficients enables an expeditious construction of doubly stochastic polynomial chaos expansions that separate the effect of uncertainty local to a subproblem from the effect of statistically independent uncertainty coming from other subproblems through the coupling. After laying out the theoretical framework, we apply the proposed method to a multiphysics problem from nuclear engineering. Copyright © 2013 John Wiley & Sons, Ltd.     

Adaptive wavelets applied to the analysis of nonlinear systems with chaotic dynamics

We consider an approach to the analysis of nonstationary processes based on the application of wavelet basis sets constructed using segments of the analyzed time series. The proposed method is applied to the analysis of time series generated by a nonlinear system with and without noise.