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B. Sudret

1,2

, G. Blatman

3

1

Phimeca Engineering, Centre dAaires du Zenith, 34 rue de Sarli`eve, F-63800 Cournon

dAuvergne

2

Clermont Universite, IFMA, EA 3867, Laboratoire de Mecanique et Ingenieries, BP 10448,

F-63000 Clermont-Ferrand

3

EDF R&D, Dpt for Materials and Mechanics of Components, Site des Renardi`eres, F-77818

Moret-sur-Loing

December 2nd, 2009

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Outline

1 Uncertainty assessment

2 Polynomial chaos expansions

3 Adaptive sparse polynomial chaos expansions (Blatman & Sudret, 2008-9)

4 Applications in structural reliability

5 Conclusions

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 2 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Global framework

Step A

Model(s) of the system

Assessment criteria

Step B

Quantication of

sources of uncertainty

Step C

Uncertainty propagation

Random variables Mechanical model Moments

Probability of failure

Response PDF

...

Step C

Sensitivity analysis

Step C

Sensitivity analysis

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 3 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Global framework

Step A

Model(s) of the system

Assessment criteria

Step B

Quantication of

sources of uncertainty

Step C

Uncertainty propagation

Random variables Mechanical model Moments

Probability of failure

Response PDF

...

Step C

Sensitivity analysis

Step C

Sensitivity analysis

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 3 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Global framework

Step A

Model(s) of the system

Assessment criteria

Step B

Quantication of

sources of uncertainty

Step C

Uncertainty propagation

Random variables Mechanical model Moments

Probability of failure

Response PDF

...

Step C

Sensitivity analysis

Step C

Sensitivity analysis

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 3 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Global framework

Step A

Model(s) of the system

Assessment criteria

Step B

Quantication of

sources of uncertainty

Step C

Uncertainty propagation

Random variables Mechanical model Moments

Probability of failure

Response PDF

...

Step C

Sensitivity analysis

Step C

Sensitivity analysis

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 3 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Mechanical models (Step A)

Computational

model M

Vector of input

parameters

x R

M

Model response

y = M(x) R

N

geometry

material

properties

loading

analytical formula

nite element

model

etc.

displacements

strains, stresses

temperature,

etc.

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 4 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Mechanical models (Step A)

Computational

model M

Vector of input

parameters

x R

M

Model response

y = M(x) R

N

geometry

material

properties

loading

analytical formula

nite element

model

etc.

displacements

strains, stresses

temperature,

etc.

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 4 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Uncertainty propagation methods (Step C)

Mechanical model

Step A

Mean/std.

deviation

Probabilistic-

mechanical

model

Probability

of failure

P

f

Probabilistic model

Step B Response

PDF

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 5 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Uncertainty propagation methods (Step C)

Mechanical model

Step A

Mean/std.

deviation

Probabilistic-

mechanical

model

Probability

of failure

P

f

Probabilistic model

Step B Response

PDF

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 5 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Uncertainty propagation methods (Step C)

Mechanical model

Step A

Mean/std.

deviation

Probabilistic-

mechanical

model

Probability

of failure

P

f

Probabilistic model

Step B Response

PDF

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 5 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Uncertainty propagation methods (Step C)

Mechanical model

Step A

Mean/std.

deviation

mechanical

model

Probability

of failure

P

f

Probabilistic model

Step B Response

PDF

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 5 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Uncertainty propagation methods (Step C)

Mechanical model

Step A

Mean/std.

deviation

Probabilistic-

mechanical

model

Probability

of failure

P

f

Probabilistic model

Step B Response

PDF

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 5 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

From Monte Carlo simulation to the spectral approach

Monte Carlo simulation

It is based on the sampling of the input random variables according to

their joint PDF f

X

(x).

For each sample x

(i)

, the response is computed M(x

(i)

) (possibly

time-consuming).

The response sample set M= {M(x

(1)

), . . . , M(x

(n)

)}

T

is used to

compute statistical moments, probabilities of failure or estimate the

response distribution (histograms, kernel densities).

Spectral approach

The response random vector Y = M(X) is considered as an element of a

suitable functional space.

A basis of this space is build up (with respect to the input joint PDF).

Y is completely determined by its coordinates in this basis.

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 6 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

From Monte Carlo simulation to the spectral approach

Monte Carlo simulation

It is based on the sampling of the input random variables according to

their joint PDF f

X

(x).

For each sample x

(i)

, the response is computed M(x

(i)

) (possibly

time-consuming).

The response sample set M= {M(x

(1)

), . . . , M(x

(n)

)}

T

is used to

compute statistical moments, probabilities of failure or estimate the

response distribution (histograms, kernel densities).

Spectral approach

The response random vector Y = M(X) is considered as an element of a

suitable functional space.

A basis of this space is build up (with respect to the input joint PDF).

Y is completely determined by its coordinates in this basis.

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 6 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Generalized polynomial chaos basis

Computation of the expansion coecients

Post-processing of the coecients

Principles

Random model response

Y = M(X) dim X = M, dim Y = 1

X: random vector of input parameters of prescribed PDF f

X

(X)

Y : scalar random response

If E

_

Y

2

< , then Y L

2

(, F, P

X

), the Hilbert space of second order

random variables equipped with the inner product < Y, Z >= E[Y Z]

Hilbertian basis

Y =

jIN

y

j

j

(X)

where:

j

(X): polynomial chaos basis

y

j

: coordinates, i.e. coecients to be computed

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 7 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Generalized polynomial chaos basis

Computation of the expansion coecients

Post-processing of the coecients

Principles

Random model response

Y = M(X) dim X = M, dim Y = 1

X: random vector of input parameters of prescribed PDF f

X

(X)

Y : scalar random response

If E

_

Y

2

< , then Y L

2

(, F, P

X

), the Hilbert space of second order

random variables equipped with the inner product < Y, Z >= E[Y Z]

Hilbertian basis

Y =

jIN

y

j

j

(X)

where:

j

(X): polynomial chaos basis

y

j

: coordinates, i.e. coecients to be computed

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 7 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Generalized polynomial chaos basis

Computation of the expansion coecients

Post-processing of the coecients

Multivariate orthogonal polynomials

Orthogonal polynomials

Suppose X has independent components: f

X

(x) =

M

k=1

f

X

i

(x

i

) and

dene the natural inner product w.r.t to f

X

i

:

<

1

,

2

>=

_

1

(x)

2

(x)f

X

i

(x) dx

Dene the one-dimensional orthonormal polynomials {

i

k

, k IN}

satisfying <

i

j

,

i

k

>=

jk

Marginal distribution Orth. polynomials

Uniform 1

[1,1]

(x) Legendre

Gaussian 1/

2e

x

2

/2

Hermite

Multivariate polynomials obtained by tensor product:

(x) =

M

i=1

i

(x

i

)

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 8 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Generalized polynomial chaos basis

Computation of the expansion coecients

Post-processing of the coecients

Multivariate orthogonal polynomials

Orthogonal polynomials

Suppose X has independent components: f

X

(x) =

M

k=1

f

X

i

(x

i

) and

dene the natural inner product w.r.t to f

X

i

:

<

1

,

2

>=

_

1

(x)

2

(x)f

X

i

(x) dx

Dene the one-dimensional orthonormal polynomials {

i

k

, k IN}

satisfying <

i

j

,

i

k

>=

jk

Marginal distribution Orth. polynomials

Uniform 1

[1,1]

(x) Legendre

Gaussian 1/

2e

x

2

/2

Hermite

Multivariate polynomials obtained by tensor product:

(x) =

M

i=1

i

(x

i

)

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 8 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Generalized polynomial chaos basis

Computation of the expansion coecients

Post-processing of the coecients

Generalized polynomial chaos basis Soize & Ghanem, 2004

Theorem

The set of multivariate polynomials in the input random vector

{

(X), IN

M

} forms a basis of L

2

(, F, P

X

)

Y =

IN

M

y

(X)

In practice:

The univariate polynomials are computed

The multi-indices A are generated, where A is a nite subset of IN

M

The random response is approximated by a truncated series:

Y

Y =

A

y

(X)

NB: if X has correlated components, the Nataf transform may be used to recast the

problem in terms of standard normal random variables.

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 9 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Generalized polynomial chaos basis

Computation of the expansion coecients

Post-processing of the coecients

Generalized polynomial chaos basis Soize & Ghanem, 2004

Theorem

The set of multivariate polynomials in the input random vector

{

(X), IN

M

} forms a basis of L

2

(, F, P

X

)

Y =

IN

M

y

(X)

In practice:

The univariate polynomials are computed

The multi-indices A are generated, where A is a nite subset of IN

M

The random response is approximated by a truncated series:

Y

Y =

A

y

(X)

NB: if X has correlated components, the Nataf transform may be used to recast the

problem in terms of standard normal random variables.

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 9 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Generalized polynomial chaos basis

Computation of the expansion coecients

Post-processing of the coecients

Generalized polynomial chaos basis Soize & Ghanem, 2004

Theorem

The set of multivariate polynomials in the input random vector

{

(X), IN

M

} forms a basis of L

2

(, F, P

X

)

Y =

IN

M

y

(X)

In practice:

The univariate polynomials are computed

The multi-indices A are generated, where A is a nite subset of IN

M

The random response is approximated by a truncated series:

Y

Y =

A

y

(X)

NB: if X has correlated components, the Nataf transform may be used to recast the

problem in terms of standard normal random variables.

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 9 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Generalized polynomial chaos basis

Computation of the expansion coecients

Post-processing of the coecients

Application example (1)

Model: Y = M(X

1

, X

2

) where X

i

N(

i

,

i

)

Isoprobabilistic transform: X = T () : X

i

=

i

+

i

i

Hermite polynomials

Obtained by recurrence formula:

H

1

(x) = H

0

= 1

H

n+1

(x) = xH

n

(x) nH

n1

(x)

First polynomials are:

_

1, x, x

2

1, x

3

3x, . . .

_

Normalize: H

k

2

= {1, 1, 2, 6, . . . }

Common truncation scheme:

A = { IN

M

: ||||

1

=

M

i=1

i

p} Card A P =

_

M + p

p

_

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 10 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Generalized polynomial chaos basis

Computation of the expansion coecients

Post-processing of the coecients

Application example (1)

Model: Y = M(X

1

, X

2

) where X

i

N(

i

,

i

)

Isoprobabilistic transform: X = T () : X

i

=

i

+

i

i

Hermite polynomials

Obtained by recurrence formula:

H

1

(x) = H

0

= 1

H

n+1

(x) = xH

n

(x) nH

n1

(x)

First polynomials are:

_

1, x, x

2

1, x

3

3x, . . .

_

Normalize: H

k

2

= {1, 1, 2, 6, . . . }

Common truncation scheme:

A = { IN

M

: ||||

1

=

M

i=1

i

p} Card A P =

_

M + p

p

_

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 10 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Generalized polynomial chaos basis

Computation of the expansion coecients

Post-processing of the coecients

Application example (2)

Truncated PC expansion of degree p = 3

The multivariate polynomials in (

1

,

2

) of total degree less than 3 are

computed.

The series contains P =

_

3+2

3

_

= 10 terms

j

j

0 [0, 0]

0

= 1

1 [1, 0]

1

=

1

2 [0, 1]

2

=

2

3 [2, 0]

3

= (

2

1

1)/

2

4 [1, 1]

4

=

1

2

5 [0, 2]

5

= (

2

2

1)/

2

6 [3, 0]

6

= (

3

1

3

1

)/

6

7 [2, 1]

7

= (

2

1

1)

2

/

2

8 [1, 2]

8

= (

2

2

1)

1

/

2

9 [0, 3]

9

= (

3

2

3

2

)/

Y M

PC

(

1

,

2

) = a

0

+ a

1

1

+ a

2

2

+ a

3

(

2

1

1)/

2 + a

4

1

2

+ a

5

(

2

2

1)/

2 + a

6

(

3

1

3

1

)/

6

+ a

7

(

2

1

1)

2

/

2 + a

8

(

2

2

1)

1

/

2

+ a

9

(

3

2

3

2

)/

6

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 11 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Generalized polynomial chaos basis

Computation of the expansion coecients

Post-processing of the coecients

Regression approach Berveiller, 2005

Principle

Compute the PC coecients of a truncated series by regression of the model

response onto the PC basis:

Y = M(X) =

P1

j=0

y

j

j

(X) +

P

Y

T

(X) +

P

where Y = {y

0

, . . . , y

P1

}

T

and (x) = {

0

(x), . . . ,

P1

(x)}

T

Least-square minimization

Y = arg min

YR

P

E

_

_

M(X) Y

T

(X)

_

2

_

Exact solution: Y = E[M(X)(X)] (equivalence with projection)

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 12 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Generalized polynomial chaos basis

Computation of the expansion coecients

Post-processing of the coecients

Regression approach Berveiller, 2005

Principle

Compute the PC coecients of a truncated series by regression of the model

response onto the PC basis:

Y = M(X) =

P1

j=0

y

j

j

(X) +

P

Y

T

(X) +

P

where Y = {y

0

, . . . , y

P1

}

T

and (x) = {

0

(x), . . . ,

P1

(x)}

T

Least-square minimization

Y = arg min

YR

P

E

_

_

M(X) Y

T

(X)

_

2

_

Exact solution: Y = E[M(X)(X)] (equivalence with projection)

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 12 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Generalized polynomial chaos basis

Computation of the expansion coecients

Post-processing of the coecients

Regression approach (cont)

Practical computation

Select an experimental design

X = {x

(1)

, . . . , x

(n)

}

T

Compute the vector of model response

M= {M(x

(1)

), . . . , M(x

(n)

)}

T

Compute the experimental matrix

A

ij

=

j

(x

(i)

) i = 1, . . . , n ; j = 0, . . . , P 1

Solve the least-square minimization problem

Y = (A

T

A)

1

A

T

M

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 13 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Generalized polynomial chaos basis

Computation of the expansion coecients

Post-processing of the coecients

Regression approach (cont)

Practical computation

Select an experimental design

X = {x

(1)

, . . . , x

(n)

}

T

Compute the vector of model response

M= {M(x

(1)

), . . . , M(x

(n)

)}

T

Compute the experimental matrix

A

ij

=

j

(x

(i)

) i = 1, . . . , n ; j = 0, . . . , P 1

Solve the least-square minimization problem

Y = (A

T

A)

1

A

T

M

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 13 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Generalized polynomial chaos basis

Computation of the expansion coecients

Post-processing of the coecients

Post-processing of PC expansions

Response PDF

Sample the PC expansion {y

(i)

=

Y

T

(x

(i)

), i = 1, . . . , n

K

}, where

x

(i)

s are drawn according to f

X

(x) (n

K

= 10

67

)

Use of kernel density estimation Wand & Jones, 1995

f

Y

(y) =

1

n

K

h

K

n

K

i=1

K

_

y y

(i)

h

K

_

Response

PDF

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 14 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Generalized polynomial chaos basis

Computation of the expansion coecients

Post-processing of the coecients

Post-processing of PC expansions

Response PDF

Sample the PC expansion {y

(i)

=

Y

T

(x

(i)

), i = 1, . . . , n

K

}, where

x

(i)

s are drawn according to f

X

(x) (n

K

= 10

67

)

Use of kernel density estimation Wand & Jones, 1995

f

Y

(y) =

1

n

K

h

K

n

K

i=1

K

_

y y

(i)

h

K

_

Response

PDF

Statistical moments

PC

Y

E[Y ] = y

0

2,PC

Y

Var [Y ] =

P1

j=1

y

2

j

...

Mean/std.

deviation

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 14 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Generalized polynomial chaos basis

Computation of the expansion coecients

Post-processing of the coecients

Post-processing of PC expansions (cont)

Reliability analysis

Sudret & Der Kiureghian, 2002

Berveiller et al., 2005

Dene a limit state function

g(X) g (X

1

, M(X

2

)) and the

associated probability of failure

P

f

=

_

D

X

1

g(x)0

(x) f

X

(x) dx

Compute the response PC expansion

M

PC

(X

2

) =

0||p

y

(X

2

)

Failure domain

D

f

= {x: g(x) 0}

Safe domain D

s

Apply standard reliability methods using

g

_

X

1

, M

PC

(X

2

)

_

, e.g. Monte Carlo sim-

ulation, FORM + importance sampling, etc.

Probability

of failure

P

f

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 15 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Generalized polynomial chaos basis

Computation of the expansion coecients

Post-processing of the coecients

Post-processing of PC expansions (cont)

Reliability analysis

Sudret & Der Kiureghian, 2002

Berveiller et al., 2005

Dene a limit state function

g(X) g (X

1

, M(X

2

)) and the

associated probability of failure

P

f

=

_

D

X

1

g(x)0

(x) f

X

(x) dx

Compute the response PC expansion

M

PC

(X

2

) =

0||p

y

(X

2

)

Failure domain

D

f

= {x: g(x) 0}

Safe domain D

s

Apply standard reliability methods using

g

_

X

1

, M

PC

(X

2

)

_

, e.g. Monte Carlo sim-

ulation, FORM + importance sampling, etc.

Probability

of failure

P

f

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 15 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Generalized polynomial chaos basis

Computation of the expansion coecients

Post-processing of the coecients

Post-processing of PC expansions (cont)

Reliability analysis

Sudret & Der Kiureghian, 2002

Berveiller et al., 2005

Dene a limit state function

g(X) g (X

1

, M(X

2

)) and the

associated probability of failure

P

f

=

_

D

X

1

g(x)0

(x) f

X

(x) dx

Compute the response PC expansion

M

PC

(X

2

) =

0||p

y

(X

2

)

Failure domain

D

f

= {x: g(x) 0}

Safe domain D

s

Apply standard reliability methods using

g

_

X

1

, M

PC

(X

2

)

_

, e.g. Monte Carlo sim-

ulation, FORM + importance sampling, etc.

Probability

of failure

P

f

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 15 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Error estimators and sparse truncation schemes

Adaptive algorithms

Error estimators

Coecient of determination

The regression technique is based on the minimization of the mean square

error. The generalization error is dened as:

E

gen

= E

_

_

M(X) M

PC

(X)

_

2

_

It may be estimated by the empirical error using the already computed response

quantities:

E

emp

=

1

n

n

i=1

_

M(x

(i)

) M

PC

(x

(i)

)

_

2

The coecient of determination R

2

is often used as an error estimator:

R

2

= 1

E

emp

V[Y]

V[Y] =

1

n

(M(x

(i)

)

Y)

2

This error estimator leads to overtting

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 16 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Error estimators and sparse truncation schemes

Adaptive algorithms

Error estimators

Leave-one-out cross validation

Idea: in statistical learning theory, cross validation consists in splitting the

experimental design Y in two parts, namely a training set (which is used to

build the model) and a validation set.

The leave-one-out technique consists in:

Computing the coecients of the PC expansion from the experimental

design X\x

(i)

(the corresponding expansion is denoted by M

PC\i

(X))

Evaluating the predicted residual:

i

= M(x

(i)

) M

PC\i

(x

(i)

)

Estimating the leave-one-out error and related Q

2

error estimator

E

LOO

=

1

n

n

i=1

2

i

Q

2

= 1

E

LOO

V[Y]

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 17 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Error estimators and sparse truncation schemes

Adaptive algorithms

The curse of dimensionality

Common truncation scheme: all the multivariate polynomials up to a

prescribed order p are selected. The number of unknown coecients growths

polynomially both in M and p.

P =

_

M +p

p

_

So does the size of experimental design, e.g. n = 2P when using Latin

hypercube sampling.

Full expansions are not tractable when M 10

Solutions:

sparse truncation schemes, based on the sparsity-of-eect principle

adaptive algorithms for the construction of the PC expansion

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 18 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Error estimators and sparse truncation schemes

Adaptive algorithms

Hyperbolic truncation schemes

Degree of a multi-index : || ||||

1

=

M

i=1

i

(total degree of

)

Rank of a multi-index : ||||

0

=

M

i=1

1

{

i

>0}

Sparsity-of-eects principle: in usual problems, only low-order interactions

between the input variables are relevant. One shall select PC approximation

using low-rank monomials.

Hyperbolic truncation sets

A

M,p,q

= { IN

M

: ||||

q

p}

||||

q

_

M

i=1

q

i

_

1/q

, 0 < q < 1

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 19 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Error estimators and sparse truncation schemes

Adaptive algorithms

Adaptive algorithm: principles

Adaptivity in the PC basis:

Build up the polynomial chaos basis from scratch, i.e. starting with a

single constant term, using an iterative algorithm

Add monomial terms (that are selected using the hyperbolic truncation

scheme) one-by-one and decide whether they are kept or discarded (R

2

coecient is used)

Monitor the PC error using cross-validation (Q

2

estimate) and stop when

Q

2

tgt

is attained.

Adaptivity in the experimental design:

In each step, the PC coecients are computed by regression. Nested

experimental designs (e.g. quasi-random numbers, nested LHS) are used

in order to make the regression problem well-posed.

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 20 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Error estimators and sparse truncation schemes

Adaptive algorithms

Basis-and-design adaptive algorithm: scheme

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 21 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Elastic truss

Frame structure

Foundation with spatial variability

Elastic truss Blatman et al., 2007

Problem statement

10 independent random variables

4 section/material properties

(lognormal)

6 loads (Gumbel)

Use of Hermite polynomial chaos

Response quantity: vertical displacement at midspan

Reliability problem:

g(X) = v

max

v(X) = v

max

FEM(E

1

, A

1

, E

2

, A

2

, P

1

, . . . , P

6

)

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 22 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Elastic truss

Frame structure

Foundation with spatial variability

Structural reliability results (adaptive algorithm)

Threshold (cm) Reference Full PCE Sparse PCE

REF

(%)

(%)

10 1.72 1.71 0.6 1.72 0.0

11 2.38 2.38 0.0 2.38 0.0

12 2.97 2.98 0.3 2.99 0.7

14 3.98 4.04 1.5 4.07 2.3

16 4.85 4.95 2.1 5.02 3.5

1

Q

2

1 10

6

9 10

5

Number of terms 286 114

Number of FE runs 443 207

Using 200 nite element runs, the structural reliability problem with various

thresholds is solved accurately up to = 5.

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 23 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Elastic truss

Frame structure

Foundation with spatial variability

PDF of the maximal deection

Using 200 nite element runs, the PDF of the maximal deection is

accurately computed in the central part as well as in the tails.

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 24 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Elastic truss

Frame structure

Foundation with spatial variability

Frame under lateral loads

Problem statement

21 correlated random

variables:

2 Youngs moduli

(truncated Gaussian)

8 cross sections and 8

moments of inertia

(truncated Gaussian)

3 loads (lognormal)

Use of Nataf transform and Hermite polynomial chaos

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 25 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Elastic truss

Frame structure

Foundation with spatial variability

Structural reliability results (adaptive algorithm)

Threshold (cm) Reference Full PC Sparse PC

REF

(%)

(%)

4 2.27 2.26 0.4 2.29 0.9

5 2.96 3.00 1.4 3.01 1.7

6 3.51 3.60 2.6 3.61 2.8

7 3.96 4.12 4.0 4.11 3.8

8 4.33 4.58 5.8 4.56 5.3

1

Q

2

1 10

3

1 10

3

Number of terms 2,024 138

Number of FE runs 53,240 3,724 450

Using 450 nite element runs, the reliability problem with various

thresholds is solved accurately up to = 4.5.

The sparse polynomial chaos approach divides the computational cost by

8 (from 3,750 to 450 runs).

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 26 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Elastic truss

Frame structure

Foundation with spatial variability

Foundation with spatial variability Blatman et al., 2009

Elastic soil mass with spatial

variability: lognormal random eld

with = 50 MPa, = 15 MPa and

Gaussian autocorrelation function

( = 15 m):

(x, x

) = exp

_

||x x

||

2

2

_

Model response: mean settlement under the applied load

Karhunen-Lo`eve expansion of the random eld (38 random variables)

Sparse adaptive algorithm

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 27 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Elastic truss

Frame structure

Foundation with spatial variability

Foundation - Results (1)

Moments Reference Sparse PCEs Full PCE

Q

2

tgt

= 0.99 Q

2

tgt

= 0.995 p = 2

Y

(cm) 5.93 5.93 5.93 5.93

Y

(cm) 1.25 1.26 1.26 1.26

Y

0.7 0.5 0.6 0.6

Y

3.9 3.4 3.5 3.5

Number of terms - 254 360 780

PC degree - 2 3 2

Number of FE runs 50, 000 428 579 820

Good accuracy of the sparse PC expansion, not much dierence with a

full second order PC expansion

Reduction of the computational cost w.r.t a full expansion of order 2 by a

factor 2

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 28 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Elastic truss

Frame structure

Foundation with spatial variability

Foundation - Results (1)

Only some modes of the

Karhunen-Lo`eve expansion are

important in the analysis

The antisymmetric modes

w.r.t. vertical do not play any

role

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 29 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Elastic truss

Frame structure

Foundation with spatial variability

Moments of the vertical displacement eld

Correlation coecient between max. vertical displacement and current point

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 30 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Conclusions

Spectral methods (e.g. polynomial chaos expansions) are of

increasing importance in stochastic computational mechanics and

may be fruitfully applied to structural reliability.

In order to bypass the curse of dimensionality, sparse PC expansions

obtained by regression through adaptive algorithms reveal promising

(up to M = 50 100 random variables).

The Q

2

leave-one-out error is a relevant estimator to master the

accuracy of the PC expansions.

Basis-and-design adaptive algorithms coupled with hyperbolic

truncation sets allow one to reduce the computational cost by a

factor 2 to 10 w.r.t classical PC expansions.

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 31 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

Thank you very much for your attention!

Acknowlegment: The partnership between Phimeca, IFMA/LaMI and EDF R&D

under Contract # 8610-AAP-5910049992 is gratefully acknowledged.

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 32 / 32

Uncertainty assessment

Polynomial chaos expansions

Adaptive sparse polynomial chaos expansions

Applications examples

Conclusions

References

Berveiller, M. (2005).

Elements nis stochastiques : approches intrusive et non intrusive pour des analyses de abilite.

Ph. D. thesis, Universite Blaise Pascal, Clermont-Ferrand.

Blatman, G. (2009).

Adaptive sparse polynomial chaos expansions for uncertainty propagation and sensitivity analysis.

Ph. D. thesis, Universite Blaise Pascal, Clermont-Ferrand.

in preparation.

Blatman, G. and B. Sudret (2008).

Sparse polynomial chaos expansions and adaptive stochastic nite elements using a regression approach.

Comptes Rendus Mecanique 336(6), 518523.

Blatman, G. and B. Sudret (2009).

Use of sparse polynomial chaos expansions in adaptive stochastic nite element analysis.

Prob. Eng. Mech..

(In press).

Soize, C. and R. Ghanem (2004).

Physical systems with random uncertainties: chaos representations with arbitrary probability measure.

SIAM J. Sci. Comput. 26(2), 395410.

Sudret, B. (2007).

Uncertainty propagation and sensitivity analysis in mechanical models Contributions to structural reliability and stochastic

spectral methods.

Habilitation `a diriger des recherches, Universite Blaise Pascal, Clermont-Ferrand, France.

Bruno Sudret (Phimeca) JCSS workshop on semi-probabilistic FEM calculations December 2nd, 2009 32 / 32

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