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Advanced methods for FE-reliability analysis

Adaptive polynomial chaos expansions


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

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
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