Sobol indices for dimension adaptivity in sparse grids

Richard P. Dwight, S de Smedt, Pejman Shoeibi Omrani

Research output: Chapter in Book/Conference proceedings/Edited volumeConference contributionScientificpeer-review

Abstract

Propagation of random variables through computer codes of many inputs is primarily limited by computational expense. The use of sparse grids mitigates these costs somewhat; here we show how Sobol indices can be used to perform dimension adaptivity to mitigate them further. The method is compared to conventional adaptation schemes on sparse grids (Gerstner and Griebel, Computing 71(1), 65-87, 2003), and seen to perform comparably,without requiring the expense associated with a look-ahead error estimate. It is demonstrated for an expensive computer model of contaminant flow over a barrier.

Original languageEnglish
Title of host publicationSimulation-Driven Modeling and Optimization - ASDOM 2014
PublisherSpringer
Pages371-395
Number of pages25
Volume153
ISBN (Print)9783319275154
DOIs
Publication statusPublished - 2016
Event3rd Workshop on Advances in Simulation-Driven Optimization and Modeling - Reykjavik, Iceland
Duration: 8 Aug 201410 Aug 2014
Conference number: 3

Conference

Conference3rd Workshop on Advances in Simulation-Driven Optimization and Modeling
Abbreviated titleASDOM 2014
CountryIceland
CityReykjavik
Period8/08/1410/08/14

Keywords

  • CFD
  • Navier-stokes
  • Surrogate modelling
  • Uncertainity quantification

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