2 views

Uploaded by Anonymous 1Yc9wYDt

Quasi-Monte Carlo methods and Moments

Quasi-Monte Carlo methods and Moments

© All Rights Reserved

- Homework Statistics
- ICCCBE08_157_A Framework for Evaluating Deep Excavation Alternatives
- psychology
- Solver Fortran Functions
- Civil Engineering Problems for Probability and Numerical Analysis
- Variance and mean of a distribution powerpoint presentation
- Important Probability Distributions
- STAT1301,2601A (13-14, 1st) Chapter 4
- Caliot Dom Fvm Mcm
- Selective Maintenance Strategies Applied to a Bridge Deteriorating Steel Truss
- Wind Turbines, Eurocode
- CHAPTER3 Continuous Probability Distribution
- Risk-Based-Design.pdf
- Session+Plan_DS
- Walkthrough
- Uniform Distribution
- Montecarlo Simulation and Related Methods Option Values Derivatives
- Monte Carlo
- lee_0119
- Monte Part

You are on page 1of 14

DOI 10.1007/s00477-010-0400-5

ORIGINAL PAPER

of contaminant transport

Dongxiao Zhang • Liangsheng Shi • Haibin Chang •

Jinzhong Yang

Ó Springer-Verlag 2010

Abstract In risk analysis, a complete characterization of function is obtained by sampling the approximate polyno-

the concentration distribution is necessary to determine the mials. Our synthetic examples show that among the MC

probability of exceeding a threshold value. The most popular methods, the Quasi Monte Carlo gives the smallest variance

method for predicting concentration distribution is Monte for the predicted threshold probability due to its superior

Carlo simulation, which samples the cumulative distribution convergence property and that the stochastic collocation

function with a large number of repeated operations. In this method is an accurate and efficient alternative to MC

paper, we first review three most commonly used Monte simulations.

Carlo (MC) techniques: the standard Monte Carlo, Latin

Hypercube sampling, and Quasi Monte Carlo. The perfor- Keywords Threshold probability Monte Carlo

mance of these three MC approaches is investigated. We then simulation Stochastic collocation Interpolation

apply stochastic collocation method (SCM) to risk assess-

ment. Unlike the MC simulations, the SCM does not require a

large number of simulations of flow and solute equations. In 1 Introduction

particular, the sparse grid collocation method and probabi-

listic collocation method are employed to represent the con- The risk of groundwater contamination has gained extensive

centration in terms of polynomials and unknown coefficients. attention in the design of underground tanks or landfills.

The sparse grid collocation method takes advantage of Uncertainties from geological properties, hydrologic

Lagrange interpolation polynomials while the probabilistic parameters, initial plume location, and leakage flux lead to

collocation method relies on polynomials chaos expansions. the risk of the concentration being overestimated or under-

In both methods, the stochastic equations are reduced to a estimated. Moreover, the potential risk associated with

system of decoupled equations, which can be solved with contaminant transport is of great importance in the design of

existing solvers and whose results are used to obtain the an efficient monitoring network (Meyer et al. 1994; Storck

expansion coefficients. Then the cumulative distribution et al. 1997; Yenigul et al. 2005; Bierkens 2006). A typical

risk analysis addresses the following questions: ‘‘What can

happen? How likely is it to happen? Given it occurs, what are

D. Zhang (&) H. Chang

Department of Energy and Resources Engineering, College the consequences?’’ (Bedford and Cooke 2003). In a

of Engineering, Peking University, 100871 Beijing, China groundwater system, the risk assessment consists of two

e-mail: dxz@pku.edu.cn main components: The likelihood of the system failure

(groundwater contamination) and the (health or economic)

D. Zhang L. Shi H. Chang

The Sonny Astani Department of Civil and Environmental consequences of contamination. Especially, when the human

Engineering, University of Southern California, Los Angeles, health consequence is considered, the behavioral and phys-

CA 90089, USA iological uncertainty should also be incorporated (Maxwell

and Kastenberg 1999). In this study, the focus is on

L. Shi J. Yang

National Key Laboratory of Water Resources and Hydropower the probability of exceeding a certain threshold value,

Engineering Science, Wuhan University, 430072 Wuhan, China also called the threshold probability, due to geological

123

972 Stoch Environ Res Risk Assess (2010) 24:971–984

uncertainty in the subsurface environment. The threshold model for characterizing the local uncertainty subject to

probability at a given location X and time t is defined as P(X, multiple random sources? Is it possible to describe the

t) = P{C(X, t) C Cth}, where Cth is a threshold value. It is probability of exceeding a given threshold with single dis-

straightforward to read P(X, t) from the Cumulative Distri- tribution irrespective of the observation location and time?

bution Function (CDF). Because of the difficulty in obtaining These questions have not been addressed.

analytical CDF in practical situations, the theoretical CDF is Recently, stochastic collocation technique is becoming

usually approximated by sample CFD. The sample CFD increasingly popular in the computational community (Tatang

converges to the theoretical CDF as the sampling size grows et al. 1997; Xiu and Hesthaven 2005; Ganapathysubramanian

to infinity. This sampling method is called Monte Carlo and Zabaras 2006; Babuska et al. 2007; Foo et al. 2007).

simulation. In reality, Monte Carlo simulation is the most Stochastic collocation method is essentially an ensemble

popular method for coping with uncertainties in risk based approach with the excellent compatibility to compli-

assessment (Vose 1996; Hamed and Bedient 1999; Kentel cated conditions. Unlike the moment equation method (Zhang

and Aral 2005). For example, the GMS Software (Environ- 2002), stochastic spectral finite element method (Ghanem and

mental Modeling Research Laboratory 2005) makes use of Spanos 1991), and KLME approach (Zhang and Lu 2004; Shi

standard Monte Carlo and Latin Hypercube approaches, et al. 2008), stochastic collocation method leads naturally to a

whereas all the random sources in GMS are considered as decoupled system without any modification to the original

random variables. In the framework of standard Monte partial differential equation. In this work, we apply the sto-

Carlo, for each simulation, a random number is generated for chastic collocation method to describing the threshold prob-

each parameter according to the specified distribution using ability. Because the concentration CDF is the key ingredient

the mean, standard deviation, maximum and minimum. As an for risk assessment, we will examine the performance of our

alternative, Latin Hypercube approach divides the probability model for sampling CDF rather than the mean and variance.

distribution curve into several sub-intervals of equal proba- Since stochastic collocation technique performs the sampling

bility. The random numbers are selected within each in its postprocessing, it is not necessary to assign a distribution

sub-interval. Unlike the work of GMS, most Monte Carlo a priori to the contaminant plume.

simulations introduce the concept of random field to charac- Despite the attractiveness in the concept of random field,

terize the spatial heterogeneity of some properties (e.g., in this work only the random variables are considered. It is

hydraulic conductivity) (Meyer et al. 1994; Yenigul et al. the special case of random field with infinite correlation

2005). length. This work can be extended to the cases of random

Although there are several other numerical methods fields with the aid of Karhunen–Loeve expansions or other

available to estimate the uncertainty (and the accompanying techniques (e.g., Li and Zhang 2007; Chang and Zhang

threshold probability) in contaminant transport, most exist- 2009). We explore the ability of stochastic collocation

ing works focus on first two moments, i.e., mean concen- method for handling multiple random sources. A detailed

tration and local variance (Zhang and Neuman 1996; Dagan comparison between different Monte Carlo methods and

and Fiori 1997; Fiori et al. 2002; Caroni and Fiorotto 2005). stochastic collocation method is presented.

However, due to the complexity of the subsurface flow and The remainder of the paper is organized as follows: In

solute transfer, Goovaerts (1997) addressed the necessity of Sect. 2, we give a review on Monte Carlo methods,

using local probability distribution function. Under certain including standard Monte Carlo simulation, Latin Hyper-

restriction, it is possible to derive the analytical concentra- cube Monte Carlo, and Quasi Monte Carlo. In Sect. 3, we

tion CDFs. Dagan (1982) found that in the absence of pore- cope with threshold probability based on the stochastic

scale dispersion, the point concentration at a given location collocation method. The performance of the proposed

has a binary CDF at early times. And Bellin et al. (1994) method is examined by numerical Monte Carlo experi-

showed in a small sampling volume the point concentration ments. Concluding remarks are presented in Sect. 5.

CDF honors bimodal distribution, whereas it approaches the

normal distribution as the sampling volume grows. Some

other work (Fiori 2001; Fiorotto and Caroni 2002; Caroni 2 Monte Carlo simulations

and Fiorotto 2005) illustrated the applicability of Beta dis-

tribution in representing the variability of local concentra- For completeness, we present a brief review on three well-

tion. Bellin and Tonina (2007) further gave a physical studied Monte Carlo methods—namely, standard Monte

interpretation for the choice of Beta distribution. They val- Carlo, Latin Hypercube sampling, and Quasi Monte Carlo.

idated their arguments with the Cape Cod tracer test data The convergence properties of these three methods are also

(Leblanc et al. 1991). However, all these conclusions were reviewed to determine their applicability. Here we consider an

obtained by only introducing the spatial variability of N-dimensional stochastic problem (with N independent ran-

hydraulic conductivity. Is Beta distribution still a good dom variables). The first step of all Monte Carlo simulations is

123

Stoch Environ Res Risk Assess (2010) 24:971–984 973

to construct sampling points n1 ; . . .; nM , where M is the 2.3 Quasi Monte Carlo (QMC)

sample size (the total number of realizations),

and

each vector

ni has N independent components ni1 ; . . .; niN . For the con- QMC is based on low-discrepancy sequence (LDS)

sistency with most existing literature, we focus on the sam- (Morokoff and Caffisch 1994; Morokoff and Caffisch 1995).

pling of random variables that are uniformly distributed on Low discrepancy sequences include Halton sequence, Faure

[0, 1]N. Random numbers for other distributions can be con- sequence, Sobol sequence, and Niederreiter sequence, all of

structed by probability distribution transformation. Transfor- which are based on the Van der Corput sequence. The Van

mation rules for several distributions commonly used in der Corput sequence uses a prime number b as its base, and

engineering can be found in Johnson (1994). expresses any natural number k with the following formula

k ¼ di b j þ di1 bj1 þ þ d1 b1 þ d0 ð1Þ

2.1 Standard Monte Carlo (SMC) simulation

where di 2 f0; 1; . . .; b 1g for i ¼ 0; 1; . . .; j. Obviously,

The basic idea of standard Monte Carlo simulation is to if b = 2, di di1 di2 d0 compose of the binary numbers

randomly draw samples from the uniform distribution on of k. Then we have

[0, 1]N. The sampling process is trivial, and its convergence d0 d1 dj

/b ðkÞ ¼ 0 þ 1 þ þ j ð2Þ

is proven at the rate of M-1/2 (regardless of dimension N). b b b

In many cases, the sample size M becomes prohibitively In this way, a different seed k derives a different /b(k), then

large to obtain a reasonably small error. This motivates the these values of /b(k) can form a Van der Corput sequence

exploration of improved techniques that can yield the same (see Table 1, where b = 2). In this work, we introduce the

error with less computational effort. Several other tech- Sobol sequence (Zsolt and Andras 2004) that reorders the

niques have been developed in this literature, notably Van der Corput sequence in each dimension, and we make

importance sampling (e.g., Lu and Zhang 2003), Latin sure that each column is independent to another. The

Hypercube sampling (McKay et al. 1979), Quasi Monte numerical implementation of QMC is quite similar to LHS,

Carlo (Niederreiter 1992; William and Russel 1994). Note except in step 1 QMC generates the random numbers by

that these techniques are devised to generate N-dimen- (2). We refer the reader to Homem-de-Mello (2008) for a

sional random vectors that are uniformly distributed on thorough discussion of the convergence property of QMC.

[0, 1]N and have independent components.

3 Stochastic collocation methods

2.2 Latin Hypercube sampling (LHS)

Although Monte Carlo simulation is straightforward to

Latin Hypercube sampling (LHS) is one of the stratified

apply as it only requires repetitive execution of determin-

sampling methods. It actually belongs to variance reduction

istic solvers at each sampling point, the statistics typically

techniques for reducing the variance in the estimated

converge at relatively slow rates. A class of stochastic

solution (Homem-de-Mello 2008). The basic idea of LHS

collocation methods have been proposed (Xiu and Hest-

is to partition the sample space into subspaces with equal

haven 2005; Xiu 2007; Babuska et al. 2007; Nobile et al.

probability and generate the samples in each subspace. The

2008). By using existing theory on multivariate polynomial

LHS is performed as follows: suppose we want to draw M

interpolations, the stochastic collocation methods generally

samples from vector n with N independent components

obtain fast convergence rates. Moreover, the numerical

n1 ; . . .; nN , each of which has a uniform distribution, U[0,

implementations of stochastic collocation methods are also

1]. There are two steps for each dimension i ¼ 1; . . .; N:

straightforward as the existing codes for deterministic

1. Divide the region to M sub-regions, and generate problems can be employed at each interpolation point. The

stochastic collocation methods are classified by different

1 1 2 2 3

s U 0; ; s U ; ; . . .; ways of generating collocation (interpolation) points. There

M M M

are four routine methods available to generate the collo-

M1

sM U ;1 cation (interpolation) points, including full tensor product

M

method (Tatang et al. 1997; Babuska et al. 2007), sparse

2. nij ¼ sPðjÞ ði ¼ 1; . . .; N; j ¼ 1; . . .; M Þ, where P is a

random permutation of 1; . . .; M. Table 1 Generation of the Van der Corput sequence (b = 2)

Although LHS does reduce the variance of estimated k 1 2 3 4 5 6 7

solution (mean), it cannot improve the convergence rate. It

dj dj1 dj2 d0 1 10 11 100 101 110 111

also converges at the rate of M-1/2, the same as standard

ub(k) 0.5 0.25 0.75 0.125 0.625 0.375 0.875

Monte Carlo simulation.

123

974 Stoch Environ Res Risk Assess (2010) 24:971–984

m

Pum ðnÞ ¼ u nk Lk ðnÞ ð7Þ

Chang and Zhang 2009), Stroud method (Xiu 2007; Ding

k¼1

et al. 2008), and probabilistic collocation method (Huang

et al. 2007; Li and Zhang 2007; Shi et al. 2009). Because of where Li n j ¼ dij , Pu nk ¼ u nk . Once the interpola-

its exponential growth of the number of collocation points, tion polynomials have been constructed using the

full tensor product method is limited to the cases of low interpolation points H, the value

of property u at any

random dimensionality. In this work, we mainly focus on point n is approximated by Pu nk . Based on the univariate

the sparse grid collocation method, probabilistic colloca- interpolation, the simplest multivariate interpolation, full

tion method and their applications in the determination of tensor product interpolation, is given as

threshold probability.

PuðnÞ ¼ Pui1 PuiN

Xm1 X

mN

3.1 Sparse grid collocation method (SGCM) ¼ ... u nji11 ; . . .; njiNN Lji11 LjiNN ð8Þ

j1 ¼1 jN ¼1

For the sake of clarity, let us denote the variable of interest

as u in a physical domain D and time domain T. We also where m1 ; . . .; mN are the numbers of interpolation points

define the probability space in which the variations of the in every individual dimension. Clearly, formula (8)

random inputs exhibit. Let (X, F, q) be a probability space, needs m1 mN points. This number grows quickly

where X is the space of basic outcomes, F is the minimal as the dimension N is increasing. To suppress the rapid

r-algebra of the subsets of X, and q is the probability increase, the sparse grid collocation method employs

measure. The notation x will be used as the basic outcomes Smolyak algorithm by minimizing number of interpola-

in the space X, i.e. x [ X. We assume u a function of N tionpoints in multi-dimensional space (Wasilkowski and

independent random variables fni gNi¼1 , and set n ¼ fn1 ; . . .; Wozniakowski 1995),

nN g. Function u also reads as !

X Nþkjij

N1

u ¼ uðx; t; xÞ ¼ uðx; t; nðxÞÞ ð3Þ Puk;N ðnÞ ¼ ð1Þ

kþ1 jij Nþk N þ k jij

where x [ D, t [ T. For a stochastic partial differential i

Pu 1 Pu N i

ð9Þ

equation about u

pðu; x; t; nÞ ¼ f ðx; tÞ ð4Þ where k is called interpolation level, and N is dimension.

We choose m1 = 1 and mi ¼ 2i1 þ 1 for i [ 1 as

where p is an operator involving differentiation; f(x) is

recommended in Xiu and Hesthaven (2005). Equation 9

source/sink term. Without loss of generality, f(x) is taken to is called sparse grid collocation method because

be deterministic here.

interpolation is implemented at the sparse grid,

We seek the approximation u^ 2 V in a weak form

Z Z hðk; NÞ ¼ [ ðhi1 hiN Þ ð10Þ

qðhÞpð^u; x; t; hÞvðhÞdh ¼ qðhÞf ðx; tÞvðhÞdh; kþ1 jij Nþk

ð5Þ

8vðhÞ 2 W According to the type of interpolation rules, collocation

points could be constructed in Clenshaw-Curtis or Gaussian

where V is called the trial function space, W is denoted as abscissas (Nobile et al. 2008). Collocation points from

test function space; q(h) is the probability density function Clenshaw-Curtis abscissas are basically nested (thus,

of ni(x). The stochastic collocation method represents the hðk; N Þ hðk þ 1; N Þ), while the collocation points

unknowns by certain interpolation

M polynomials. After generated from Gaussian abscissas are non-nested. The

defining W ¼ span d n ni i¼1 , Eq. 5 is reduced to a selection of abscissas depends on the requirement to

set of deterministic equations accuracy of the interpolation. In this work, all the random

variables are assumed to be log-normal, and the collocation

pðu; x; t; ni Þ ¼ f ðx; tÞ i ¼ 1; . . .; M ð6Þ

points are constructed in Gaussian abscissas. It is noted that

i

where n ði ¼ 1; . . .; M Þ is a given set of interpolation in many other works (such as Xiu and Hesthaven 2005;

points. Without any confusion, (x, t) will be omitted due to Ganapathysubramanian and Zabaras 2006; Nobile et al.

the invariable interpolation operation at different time 2008; Chang and Zhang 2009), the input is assumed to be a

levels and spatial locations. random field and Eq. 9 inherits the random variables from

In one-dimensional case (only involving one random the Karhunen–Loeve expansion of the random input. In this

n)

variable

M

with a given set of interpolation points study, each random variable is related to its corresponding

H ¼ ni i¼1 , the Lagrange interpolating polynomials random input, so the Lagrange polynomial expansion

PuðnÞ are expressed as follows: includes the uncertainties resulted from various inputs.

123

Stoch Environ Res Risk Assess (2010) 24:971–984 975

After determining the coefficients in Eq. 9, it is quite where u(.)s are coefficients; gki ðk ¼ 1; . . .; 3; i ¼ 1; . . .; NÞ

easy to sample the possible realizations of u. By expanding are roots of H3 ðgi Þ ¼ g3i 3gi ; 1ki ðk ¼ 1; . . .; 5; i ¼

Eq. 9, the level-2 (k = 2) sampling equation is given as, 1; . . .; NÞ are roots of H5 ð1i Þ ¼ 15i 1013i þ 151i ; rki ðk ¼

u~k¼2;N ðnÞ ¼ u~k¼2;N ðn1 ; . . .; nN Þ 1; . . .; 9; i ¼ 1; . . .; NÞ are roots of H9 ðri Þ ¼ r9i 36r7i

þ378r5i 1260r3i þ 945ri .

ð N 1Þ ð N 2Þ

¼ uð0; . . .; 0Þ ðN 1Þ By choosing nested points (i.e., hðk; N Þ hðk þ 1; N Þ),

2 it is possible to extend the sampling equation from level k

XN X 3 Y3

ni nli to k ? 1. The interpolation expression is rewritten by the

k l

i¼1 k¼1 l¼1;l6¼k ni ni following nested form,

X

u 0; . . .; 0; nki ; 0; . . .; 0

Puk;N ðnÞ ¼ Puk1;N ðnÞ þ Mi1 MiN ð13Þ

XN X 5 Y 5

ni nni jij¼Nþk

m

þ m n u 0; . . .; 0; ni ; 0; . . .; 0

n ni

i¼1 m¼1 n¼1;k6¼j i where Pu0 ¼ 0 and Mi ¼ Pui Pui1 .

N X

X 3 X

N X

3 Y

3 Y

3 Thus, to go from the level-2 sampling to the level-3

þ sampling in N dimensions, one only has to add the terms

i¼1 k¼1 j¼1;j [ i r¼1 k¼1;k6¼j s¼1;s6¼r related to points that are unique to the level-3,

ni nli ni nsi k r

X

u 0; . . .; 0; n ; 0; . . .; 0; n ; 0; . . .; 0

r s

nki nli ni ni

i j u~k¼3;N ðnÞ ¼ u~k¼2;N ðnÞ þ Mi1 MiN ð14Þ

jij¼Nþ3

ð11Þ

It is seen that the main computational cost for the stochastic

where u(.)s are coefficients for corresponding collocation

collocation method is in computing the coefficients in

points; nki ðk ¼ 1; 2; 3; i ¼ 1; . . .; N Þ are roots of H3 ðni Þ ¼

interpolation polynomials. Sampling (11–14) only requires

n3i 3ni . Similarly, the level-3 (k = 3) sampling equation

interpolation operations. Therefore, concentration realiza-

can be written as

tions can be obtained without solving stochastic partial

u~k¼3;N ðnÞ ¼ u~k¼3;N ðn1 ; . . .; nN Þ differential equations after getting the coefficients in the

ð N 1Þ ð N 2Þ ð N 3 Þ polynomials. Standard sampling, Latin Hypercube sampling

¼ uð0; . . .; 0Þ

6 and Quasi Monte Carlo technique can be used to sample the

ðN 1ÞðN 2Þ X N X 3 Y3

ni gli polynomials. We note that, the Lagrange interpolating

þ

2 gk gli polynomial is the polynomial of degree B(N - 1). When

i¼1 k¼1 l¼1;l6¼k i

the high-degree polynomials are used, a strong oscillation may

u 0; . . .; 0; gki ; 0; . . .; 0

occur between two interpolation points (although a perfect fit

X N X 5 Y 5

ni 1li is observed at the interpolation points). The oscillation

ðN 1Þ k 1l

u 0; . . .; 0; 1ki ; 0; . . .; 0

i¼1 k¼1 l¼1;l6¼k i

1 i becomes strong when the interpolating point is close to the

N 1 X

X 3 X

N X

3 Y

3 Y

3 ends of probability distribution interval, resulting in a

ðN 1Þ polynomial oscillating above and below the true function.

i¼1 k¼1 j¼1;j [ i r¼1 l¼1;l6¼k s¼1;s6¼r The divergence between interpolating function and

n gli nj gsj interpolating polynomial is known as Runge’s phenomenon

ki u 0; . . .; 0; g k

i ; 0; . . .; 0; g r

j ; 0; . . .; 0 (Berrut and Trefethen 2004). Such a phenomenon will be

gi gli grj gsj

XN X 9 Y9 showed in the next section. And we emphasize that the higher-

ni rni

þ m n u 0; . . .; 0; rm i ; 0; . . .; 0

order interpolation is also sensitive to coefficients, so a

i¼1 m¼1 n¼1;k6¼j i

r ri stringent numerical precision (double precision) is necessary

X

N X

3 X

N X

5 Y

3 Y 5

ni gli nj 1sj to alleviate the interpolation error.

þ

i¼1 k¼1 j¼1;j6¼i r¼1 l¼1;l6¼k s¼1;s6¼r i

gk gli 1rj 1sj

u 0; . . .; 0; gki ; 0; . . .; 0; 1rj ; 0; . . .; 0 3.2 Probabilistic collocation method

X

N 2 X

3 X

N 1 X

3 X

N X

3 Y

3 Y

3 Y

3

With the same operation as Eq. 5, probabilistic collocation

þ

i¼1 k¼1 j¼1;j [ i r¼1 p¼1;p [ j u¼1 l¼1;l6¼k s¼1;s6¼r v¼1;v6¼p

method also leads to a series of decoupled deterministic

n gli nj gsj np gvp partial differential equations. Probabilistic collocation

ki method utilizes the finite-dimensional polynomial chaos

gi gli grj gsj gup gvp

expansion in the following form (Li and Zhang 2007;

u 0; . . .; 0; gki ; 0; . . .; 0; grj ; 0; . . .; 0; gup ; 0; . . .0 ð12Þ Huang et al. 2007; Shi et al. 2009),

123

976 Stoch Environ Res Risk Assess (2010) 24:971–984

X

N coefficients in (16) sequentially, we can accomplish the

uðx; t; nÞ ¼ a0 ðx; tÞC0 þ ai1 ðx; tÞC1 ni1 sampling by substituting the randomly generated fni g3i¼1

i1 ¼1 into (16). We note that since the number of collocation

N X

X i1

points depends on the number of coefficients in the poly-

þ ai1 i2 ðx; tÞC2 ni1 ; ni2 nomials chaos expansion, the probabilistic collocation

i1 ¼1 i2 ¼1

method may be restricted by the ‘‘curse of dimensionality’’

N X

X i1 X

i2

þ ai1 i2 i3 ðx; tÞC3 ni1 ; ni2 ; ni3 þ ð15Þ when N is very large.

i1 ¼1 i2 ¼1 i3 ¼1

n o Cp ni1 ; . . .; nip denotes

where polynomial

of p order, 4 Numerical examples

nip are random variables, ai1 ; . . .; aip are coefficients.

For a stochastic system with Gaussian random variables, In this study, we focus on the solute transport by consid-

the polynomials are Hermite polynomials in terms of multi- ering advection and dispersion. The conservative solute

dimensional Gaussian random variables (Ghanem and transport in 2-D groundwater flow under advection and

Spanos 1991). The generalized polynomial chaos provides dispersion is given as

a more efficient way to represent non-Gaussian problems

ocðx; tÞ

(Xiu and Karniadakis 2002). We highlight that polynomial ¼ r Dij ðx; tÞrcðx; tÞ r ðqðx; tÞrcðx; tÞÞ

chaos expansion is often used to represent a random pro- ot

cess/field in the literature while in this work polynomial ð17Þ

chaos expansion is employed to n represent

o a smooth func- where c is the solute concentration; D is the hydrodynamic

tion about random variables nip . It is expected that dispersion tensor; q(x, t) is the pore water velocity; x is

formula (15) can approximate any functional in L2 and spatial coordinate; t is time. The components of the

converges in the L2 sense (Cameron and Martin 1947). dispersion tensor, Dij, are given by

Once the stochastic problem is cast in a Gaussian system qi qj

(by transforming all the variables to Gaussian), the prob- Dij ¼ aT jqðx; tÞjdij þ ðaL aT Þ þ Dd dij ð18Þ

jqðx; tÞj

abilistic collocation method selects points from combina-

tions of the roots of a Hermite polynomial of one order where aL is the longitudinal dispersivity, aT is the

higher than the order of orthogonal polynomial. If the transverse dispersivity, |q(x, t)| is the magnitude of the

polynomial order is p, then there are at most (p ? 1)N pore velocity, dij is the Kronecker delta function (dij = 1 if

points available by using tensor products. The total number i = j, and dij = 0 if i = j), and Dd is the molecular

of coefficients in the polynomial chaos of order p and diffusion coefficient in free water. The pore velocity is

dimension N is M ¼ ðN þ pÞ!=ðN!p!Þ; which is usually computed by q(x, t) = u(x, t)/n, where n is the porosity of

much smaller than (p ? 1)N. The probabilistic collocation the porous media and u is Darcy velocity. The steady state

method selects M points by keeping as many of the vari- flow in saturated media can be described as

ables of high probability as possible (Tatang et al. 1997). r ½K ðxÞrhðxÞ ¼ gðxÞ ð19Þ

For clarity, a three-dimensional second-order polynomial

chaos is shown here, where K(x) is hydraulic conductivity, h(x) is hydraulic head,

and g(x) is source/sink term. In this work, in the absence of

uðx; t; nÞ ¼ a0 þ a1 n1 þ a2 n2 þ a3 n3 þ a11 n21 1 detailed field measurements the conductivity, porosity, and

þ a12 n1 n2 þ a22 n22 1 þ a23 n2 n3 dispersivity are regarded as random variables with known

2

þ a33 n3 1 ð16Þ mean, variance, and probability distribution function.

Then, thepcollocation

ﬃﬃﬃ pﬃﬃﬃ points are the combinations of three

roots 3; 0; 3 of C3 ðni Þ ¼ n3i 3ni . We rank these

pﬃﬃﬃ p ﬃﬃﬃ 4.1 One-dimensional case

roots in order of decreasing probability, 0; 3; 3 ,

since 0 has the highest probability for the standard In the one-dimensional case, the two boundaries are

Gaussian random variable. The first collocation point, i.e., imposed with constant heads. There is an instantaneous

{0, 0, 0} is selected with the highest probability for each source with unit concentration (1 mg/l) released over

random variables. The other points are then generated x = 4.75–5 m and at t = 0. All the random parameters are

similarly. For the non-normal (or non-lognormal) inputs, assumed to be log-normal. The mean trends and variances

Askey polynomials (Xiu and Karniadakis 2002) have to be of conductivity, porosity, and dispersivity are given a pri-

introduced. Thus, the collocation points are constructed by ori. Simulations are conducted in mildly (i.e., r2ln k ¼ 0:1)

the combinations of roots of Askey polynomials. After the heterogeneous formation with minor log-porosity variance

selection of collocation points and solving for the r2ln / ¼ 0:01 and log-dispersivity variance r2ln a ¼ 0:1. The

123

Stoch Environ Res Risk Assess (2010) 24:971–984 977

corresponding coefficients of variation for conductivity, SMC and LHS. To obtain the convergent solution for this

porosity, and dispersivity are 32, 10, and 32%, respec- problem, SMC, LHS and QMC require about 300, 200, 100

tively. A single realization of the log-conductivity (or log- realizations, respectively. We also notice that concentration

porosity, log-dispersivity) was generated by CFDs at x = 17.5 approach a log-normal distribution at the

Yi ðxÞ ¼ hY ðxÞi þ rni ð20Þ late time (Fig. 2).

Figures 4 and 5 shows the estimated threshold proba-

where r is the standard deviation of Y; h i is the ensemble bility from three different Monte Carlo approaches. The

average; ni is the random number corresponding to reali- results for LHS and QMC are shown at t = 10 days. It is

zation i. The mean conductivity is shown as Fig. 1. The seen from Fig. 4 that 50 sets of 100 samplings of standard

mean porosity and dispersivity are given as 0.3 and 0.3 m, Monte Carlo leads to a series of threshold probability

respectively. We also define a threshold concentration curves fluctuate around the reference solution. It is seen

Cth = 0.02 mg/l. Flow equation is solved using the finite from Fig. 5 that both LHS and QMC show attractive per-

difference code Modflow (Harbaugh et al. 2000), and formance with 100 realizations because of the narrower

transport equation is solved by MT3DMS (Zheng and fluctuations.

Wang 1999). We then examine stochastic collocation methods for

We first give a comparison of all the Monte Carlo estimating the threshold probability. After solving the

methods described before. The reference CFDs are coefficients in formula (11) and (12), the interpolating

obtained numerically with 1000 Monte Carlo simulations operations are executed with random numbers. For clarity,

that are found to have achieved convergence. In the fol- we take the level-2 SGCM as illustration. The coefficients

lowing figures, the error bars associated with the reference and corresponding collocation points are listed in Table 2.

solution are also plotted. Concentrations at three time Fifty realizations with the level-2 and level-3 interpolation

levels, t = 10 days, t = 20 days, and t = 30 days are are shown in Figs. 6 and 7, respectively. Most curves in

observed. Three different Monte Carlo methods are eval- Figs. 6 and 7 have nearly identical shapes, while the level-

uated with regard to their ability to approximate the CDFs. 3 formula improves the interpolation accuracy for some

Their performance is particularly investigated with 100 points. Illustrated by the point of (n1, n2, n3) = (-2.29,

realizations. Figure 2 presents the CFDs at x = 17.5 m 0.63, -0.31), its corresponding realizations (highlighted by

from standard Monte Carlo (SMC) simulation. Results are the thick black lines in Figs. 6, 7) from the level-3 inter-

obtained by 50 sets of 100 samplings. The simulated CFDs polation is more reasonable than the level-2 interpolation.

from different 100 samplings show mild variation at all However, even the level-3 interpolation may generate

time levels. In the following analysis, we only give the unphysical (negative) concentration values (see Fig. 7). It

results at t = 10 for Latin Hypercube sampling (LHS) and is expected that a higher-level interpolation will further

Quasi Monte Carlo (QMC). Figure 3a shows the estimated reduce the number of negative concentrations. As we

CFDs using LHS. It is found that all the CFDs from dif- mentioned before, some abnormal realizations may be

ferent sets of 100 LHS realizations change in a much generated by Runge’s phenomenon. For example, realiza-

narrower range than SMC. As pointed out by Homem-de- tion 29 (highlighted by the thick red lines in Figs. 6, 7) is

Mello (2008), LHS indeed reduces the estimation variance constructed by random number (n1, n2, n3) = (1.26, 3.28,

of CFD. A small variation range is also observed in Fig. 3b -1.82). Each of them is located at a tail region of N(0, 1).

for Quasi Monte Carlo. It is seen that for all three Monte We also note that these strongly abnormal realizations

Carlo methods studied, the QMC has smallest estimation appear at a very low probability. Figure 8 shows 2000

variance while SMC approximates the estimator with a concentration realizations at x = 27.25 m. Only two

considerably large variance. Our further convergence strongly abnormal values are generated in these 2000

analysis shows QMC exhibits faster convergence than do realizations. The negative concentrations from insufficient

interpolation level and Runge’s phenomenon may result in

7

negative concentration in CFD when low-probability (such

6 as 0.01%) concentration is concerned. We suggest using a

5 large sample size (such as 10,000) to reduce the effect of

4 negative concentrations on CFD curve although negative

<K>

3

concentrations generated from interpolation can not be

2

1

avoided.

0 Unlike the Monte Carlo simulation, these realizations are

0 5 10 15 20 25 30

obtained from ordinary interpolation. The statistical prop-

x/m

erties of obtained realizations can be examined by comparing

Fig. 1 The mean conductivity of one-dimensional case their sample moments with theoretical moments provided by

123

978 Stoch Environ Res Risk Assess (2010) 24:971–984

distribution of concentration at

x = 17.5 at t = 10 days (a),

t = 20 days (b), and t = 30

days (c) from 50 sets of standard

Monte Carlo (SMC) simulation

with 100 realizations. The black

lines denote the reference CFD

from 1000 realizations; the

others are results from 100

realizations

distribution of concentration at

x = 17.5 at t = 10 days from 50

sets of Latin Hypercube

sampling (LHS) (a) and from

Quasi Monte Carlo (QMC) (b)

with 100 realizations

Xiu and Hesthaven (2005). The estimated CFDs at x = 17.5 Table 3. The total number of collocation points for prob-

at t = 10 days from SGCM and PCM are shown in Fig. 9. abilistic collocation method is M = (p ? N)!/(N!p!). The

Except for the second-order PCM (Fig. 9b), the other three number of collocation points for sparse grid collocation

match the reference CFD very well. The simulated threshold method depends on the type of the points (Gaussian

probability from the stochastic collocation methods are abscissas in this study). It is seen that PCM has a relatively

given in Fig. 10. It seems that the level-2 SGCM (31 runs) is slow increase in the number of collocation points with

sufficient to get reasonable results while the level-3 SGCM dimensionality N while that of level-3 SGCM increases

(111 runs) improves the accuracy further. The second-order fast.

(p = 2, 10 runs) PCM (Fig. 10b) does not match the refer- By comparing all the stochastic collocation methods

ence solution well while the fourth-order (p = 4, 35 runs) with respect to their accuracy and computational cost, it is

PCM significantly enhances the agreement. By comparing to seen that the fourth-order PCM is preferred over the level-2

results from 100 runs of Monte Carlo simulation (Figs. 4a, and level-3 SGCM. Under small input variances, it is

5), it is seen that the level-3 SGCM (Fig. 10a) yields more expected that the fourth-order PCM provides decent results

stable results although at a similar computational cost. The with a lower computational cost than the level-3 SGCM,

same conclusion is obtained when comparing the level-2 while giving a better accuracy than the level-2 SGCM. This

SGCM with 31 Monte Carlo runs (no figure presented). advantage of the fourth-order PCM is significant for high-

The number of collocation points as functions of random dimensional problems (large N). In the two-dimensional

dimensionality N for the second-order PCM, fourth-order case to be discussed next, we will examine this point under

PCM, level-2 SGCM and level-3 SGCM are given in mild input variances.

123

Stoch Environ Res Risk Assess (2010) 24:971–984 979

probability of groundwater

contamination at t = 10 days

(a), t = 20 days (b), and t = 30

days (c) from 50 sets of standard

Monte Carlo (SMC) simulation

with 100 realizations. The black

lines denote the reference

probability from 1000

realizations; the others are

results from 100 realizations

probability of groundwater

contamination at t = 10 days

from 50 sets of standard Latin

Hypercube sampling (LHS) (a)

and from Quasi Monte Carlo

(QMC) (b) with 100 realizations

4.2 Two-dimensional case in three facies, the porosity and longitudinal dispersivity

are independent with each other, we introduce five random

In the two-dimensional case, parts of the left and right sides variables in this example. We also treat the longitudinal

are assigned as constant heads (see Fig. 11, constant head and transverse dispersivity as fully correlated parameter,

parts are delineated with red lines), while the remaining and have aT = 0.1aL. The threshold concentration is

boundaries are impervious. There is an instantaneous 2 9 10-4 mg/l.

source with unit concentration (1 mg/l) released over two This problem is solved by SMC, LHS, QMC, SGCM,

cells (x = 7.25–7.5 m and y = 5–5.5 m) at t = 0. The and PCM. Here we shall not present the detailed compar-

domain of study is a confined aquifer with three facies, and isons among the three Monte Carlo approaches. It is found

the interfaces between different facies are known. We that the necessary realizations to obtain the convergent

ignore the spatial heterogeneity in each facies but charac- threshold probability for SMC, LHS and QMC are about

terize the conductivity of each facies by one random var- 1000, 700, and 500, respectively. The reference probability

iable. Three different values of mean hydraulic distributions at t = 1 day, t = 5 days and t = 10 days

conductivity and of variance for three different lithofacies (shown in Fig. 12) are computed by 1000 Quasi Monte

are specified. The mean log-conductivities for facies I, Carlo simulations. The threshold probability distributions

facies II, facies III are 2.3, 3.9, and 1.6, respectively. The at t = 1 day, t = 5 days and t = 10 days from the level-2

variances are 0.3, 0.5 and 1, respectively. There is a SGCM (71 representations), level-3 SGCM (351 repre-

pumping well located in region III with a pumping rate of sentations), and fourth-order PCM (126 representations)

5 m3/d. With the assumption that the values of conductivity are given in Figs. 13, 14 and 15, respectively. All of these

123

980 Stoch Environ Res Risk Assess (2010) 24:971–984

Concentration(mg/l)

0.06

0.040315 0 0 0

0.04

0.017468 1.7321 0 0

0.03401 0 1.7321 0 0.02

0.031309 0 0 1.7321

0.010477 -1.7321 0 0 0

0.039177 0 -1.7321 0

-0.0 2

0.051097 0 0 -1.7321 0 5 10 15 20 25 30

0.003042 2.857 0 0 x(m)

0.027288 0 2.857 0

Fig. 7 50 realizations from interpolating formula (12)

0.026664 0 0 2.857

0.001338 -2.857 0 0

0.04

0.034631 0 -2.857 0

0.03

0.05852 0 0 -2.857

0.02

c(mg/l)

0.025138 1.3556 0 0

0.01

0.035894 0 1.3556 0

0.033082 0 0 1.3556 0

0 500 1000 1500 2000

0.048647 0 0 -1.3556 Realization Number

0.020037 -1.7321 -1.7321 0

0.004057 -1.7321 0 -1.7321 Fig. 8 2000 realizations from interpolating formula (12) at

x = 27.25 m

0.051939 0 -1.7321 -1.7321

0.028203 1.7321 1.7321 0

0.017247 1.7321 0 1.7321

and t = 5 days (Fig. 13b), and the fourth-order PCM

0.029477 0 1.7321 1.7321

overestimates the probability at t = 10 days (Fig. 15c).

0.008794 1.7321 -1.7321 0

The level-3 SGCM (Fig. 14) gives the probability distri-

0.014544 1.7321 0 -1.7321

bution closest to the reference solution, but its computa-

0.035402 0 1.7321 -1.7321

tional cost is also the highest.

0.004464 -1.7321 1.7321 0

0.016284 -1.7321 0 1.7321

0.029726 0 -1.7321 1.7321

5 Discussions and conclusions

solute plume and complicate the risk assessment of

0.06 underground contaminant transport. In this work, we

Concentration(mg/l)

0.04

threshold probability. This work has had two main objec-

tives. First, three commonly used Monte Carlo methods

0.02

were compared in detail. Then, the stochastic collocation

0 technique was applied to approximate the threshold prob-

ability. The critical component of the proposed method is

-0.0 2 the polynomial expansions of solute concentration. The

0 5 10 15 20 25 30

x(m)

possible realizations of concentration are constructed by

polynomial interpolation. The probability distribution

Fig. 6 50 realizations from interpolating formula (11) function is obtained by analyzing the constructed realiza-

tions. The sparse grid collocation method and probabilistic

schemes yield results resembling the reference distribu- collocation method are applied to the estimation of

tions to some extent. However, the level-2 SGCM fails to threshold probability. The numerical analyses lead to fol-

reproduce the high probability area at t = 1 day (Fig. 13a) lowing conclusions:

123

Stoch Environ Res Risk Assess (2010) 24:971–984 981

distribution of concentration at

x = 17.5 at t = 10 days from

sparse grid collocation method

(SGCM) (a) and probabilistic

collocation method (PCM) (b)

threshold probability at t = 10

days from sparse grid

collocation method (SGCM) (a)

and probabilistic collocation

method (PCM) (b)

simulation (SMC). In particular, QMC has the best

N SGCM SGCM PCM PCM convergence property with the smallest estimation

(k = 2) (k = 3) (p = 2) (p = 4) variance. However, we only tested these three Monte

1 7 15 3 5 Carlo methods under low random dimensionality N.

2 17 49 6 15 Since the performance of QMC worsens with the

3 31 111 10 35 number of N, it is unclear how QMC works under large

4 49 209 15 70

N (for example, N = 30).

5 71 351 21 126

2. The sampling method based on stochastic collocation

6 97 545 28 210

method is an alternative in determining the probability

distribution function and the threshold probability.

7 127 799 36 330

Stochastic collocation method is non-intrusive in that

8 161 1121 45 495

deterministic solvers, such as Modflow and MT3D, can

9 199 1519 55 715

be used directly. Our results show that by solving a

10 241 2001 66 1001

smaller number of deterministic equations, the sto-

chastic collocation method is more efficient than SMC

Non-flow and LHS for obtaining the threshold probability.

3. Higher level (order) SGCM (PCM) approximates the

h=12m

Non-flow

Initial source

computational cost increases quickly with dimension-

ality N, as shown in Table 3.

<Y3>=3.9 II

4. Despite the great advantages of sparse grid collocation

Non-flow

h=4.11.5 m

<Y1>=2.3 I ficient interpolation level and Runge’s phenomenon

Pumping well

may lead to unphysical concentration realizations

Non-flow during the interpolation. It is expected that higher-

level stochastic collocation method will reduce the

Fig. 11 Sketch of two-dimensional case

occurrence of negative concentrations. It is not neces-

1. Our numerical examples show that Latin Hypercube sary to abandon the strongly abnormal concentrations

sampling (LHS) and Quasi Monte Carlo (QMC) generated from Runge’s phenomenon since it happens

perform better than does the standard Monte Carlo at a very low probability.

123

982 Stoch Environ Res Risk Assess (2010) 24:971–984

Fig. 12 The threshold probability at t = 1 day (a), t = 5 days (b), and t = 10 days (c) from Quasi Monte Carlo (QMC) with 1000 realizations

Fig. 13 The estimated threshold probability at t = 1 day (a), t = 5 days (b), and t = 10 days (c) from Level 2 (k = 2) SGCM (71

representations)

Fig. 14 The estimated threshold probability at t = 1 day (a), t = 5 days (b), and t = 10 days (c) from Level 3 (k = 3) SGCM (351

representations)

Fig. 15 The estimated threshold probability at t = 1 day (a), t = 5 days (b), and t = 10 days (c) from fourth-order (p = 4) PCM (126

representations)

5. Stochastic collocation method is applicable to prob- study are qualitative rather than quantitative expressions. It

lems with non-normal (or non-lognormal) inputs. should be noted that for the threshold probability with random

Because of the generality of Lagrange polynomials, fields involved, additional techniques (such as Karhunen-Lo-

it is straightforward to use sparse grid collocation eve expansion) have to be introduced to represent the random

method to characterize non-normal inputs. However, fields as a combination of random variables. The Lagrange

for the probabilistic collocation method, the general- polynomials interpolation and polynomial chaos expansion

ized polynomial chaos (Xiu and Karniadakis, 2002) would retain the same form as presented in this paper although

may be needed to handle the non-normal inputs. one has to generate independent random vectors (rather than

variables) during the interpolation.

As expected, the performance of stochastic collocation

methods depends on the number of random sources being Acknowledgements This work is partially supported by Natural

considered and their respective variances. It is also known that Science Foundation of China (NSFC) under grants 50688901,

different parameters may have distinct impacts on the total 40672164, and 0620631. And LS Shi would like to acknowledge the

uncertainty. The ‘‘small’’ and ‘‘mild’’ uncertainties used in this support by China Scholarship Council through grant 2007101645.

123

Stoch Environ Res Risk Assess (2010) 24:971–984 983

water flow processes, U.S. Geol. Surv. Open File Report 00-92,

Babuska I, Nobile F, Tempone R (2007) A stochastic collocation 121 pp

method for elliptic partial differential equations with random Homem-de-Mello T (2008) On rates of convergence for stochastic

input data. SIAM J Numer Anal 45(3):1005–1034 optimization problems under non-independent and identically

Bedford T, Cooke R (2003) Probabilistic risk analysis: foundations distributed sampling. SIAM J Optim 19(2):524–551

and methods. Cambridge University Press, New York Huang SP, Mahadevan S, Rebba R (2007) Collocation-based

Bellin A, Tonina D (2007) Probability density function of non- stochastic finite element analysis for random field problems.

reactive solute concentration in heterogeneous porous forma- Probab Eng Mech 22(2):194–205

tions. J Hydrol 94:109–125 Johnson GE (1994) Constructions of particular random processes.

Bellin A, Rubin Y, Rinaldo A (1994) Eulerian–Lagrangian approach Proc IEEE 82(2):270–285

for modeling of flow and transport in heterogeneous geological Kentel E, Aral MM (2005) 2D Monte Carlo versus 2D fuzzy Monte

formations. Water Resour Res 30(11):2913–2924 Carlo health risk assessment. Stoch Env Res Risk Assess

Berrut JP, Trefethen LN (2004) Barycentric Lagrange interpolation. 19(1):86–96

SIAM Rev 46:501–517 Leblanc DR, Garabedian SP, Hess KM, Gelhar LW, Quadri RD,

Bierkens MFP (2006) Designing a monitoring network for detecting Stollenwerk KG, Wood WW (1991) Large-scale natural gradient

groundwater pollution with stochastic simulation and a cost tracer test in sand and gravel, Cape Cod, Massachusetts: 1.

model. Stoch Env Res Risk Assess 20(5):335–351 Experimental design and observed tracer movement. Water

Cameron R, Martin W (1947) The orthogonal development of Resour Res 27(5):895–910

nonlinear functionals in series of Fourier-Hermite functionals. Li H, Zhang D (2007) Probabilistic collocation method for flow in

Ann Math 48(2):385–392 porous media: Comparisons with other stochastic method, Water

Caroni E, Fiorotto V (2005) Analysis of concentration as sampled in Resour. Res. 43. doi:10.1029/2006WR005673

natural aquifers. Transp Porous Media 59:19–45 Lu Z, Zhang D (2003) On importance sampling Monte Carlo

Chang H, Zhang D (2009) A comparative study of stochastic approach to uncertainty analysis for flow and transport in porous

collocation methods for flow in spatially correlated random media. Adv Water Resour 26:1177–1188

fields. Commun Comput Phys 6:509–535 Maxwell RM, Kastenberg WE (1999) Stochastic environmental risk

Dagan G (1982) Stochastic modeling of groundwater flow by analysis: an integrated methodology for predicting cancer risk

unconditional and conditional probabilities, 2. The solute from contaminated groundwater. Stoch Env Res Risk Assess

transport. Water Resour Res 18(4):835–848 13(1–2):27–47

Dagan G, Fiori A (1997) The influence of pore-scale dispersion on Mckay MD, Beckman RJ, Conover WJ (1979) A comparison of three

concentration statistical moments in transport through heteroge- methods for selecting values of input variables in the analysis of

neous aquifers. Water Resour Res 33(7):1595–1605 output from a computer code. Technometrics 21(2):239–245

Ding Y, Li T, Zhang D, Zhang P (2008) Adaptive Stroud stochastic Meyer PD, Valocchi AJ, Eheart JW (1994) Monitoring network

collocation method for flow in random porous media via design to provide initial detection of groundwater contamination.

Karhunen-Loeve expansion. Commun Comput Phys 4(1): Water Resour Res 30(9):2647–2659

102–123 Morokoff WJ, Caffisch RE (1994) Quasi-random sequences and their

Environmental Modeling Research Laboratory, GMS 5.0 (Ground- discrepancies. SIAM J Comput 1:1251–1279

water Modeling System), 2005, Brigham Young University, Morokoff WJ, Caffisch RE (1995) Quasi-Monte Carlo integration. J

U.S.A. Comput Phys 122:218–230

Fiori A (2001) On the influence of local dispersion in solute transport Niederreiter H (1992) Random number generation and quasi-Monte

through formations with evolving scales of heterogeneity. Water Carlo methods. SIAM, Philadelphia

Resour Res 37(2):235–242 Nobile F, Tempone R, Webster CG (2008) A sparse grid stochastic

Fiori A, Berglund S, Cvetkovic V, Dagan G (2002) A first-order collocation method for partial differential equations with random

analysis of solute flux statistics in aquifers: the combined effect input data. SISM J Numer Anal 46(5):2309–2345

of pore-scale dispersion, sampling, and linear sorption kinetics. Shi L, Yang J, Zhang D (2008) A stochastic approach to nonlinear

Water Resour. Res. 38(8). doi:10.1029/2001WR000678 unconfined flow subject to multiple random fields. Stoch Env

Fiorotto V, Caroni E (2002) Solute concentration statistics in Res Risk Assess 23(6):823–835

heterogeneous aquifers for finite Pèclet values. Transp Porous Shi L, Yang J, Zhang D, Li H (2009) Probabilistic collocation method

Media 48:331–351 for unconfined flow in heterogeneous media. J Hydrol 365(1–2):

Foo J, Yosibash Z, Karniadakis GE (2007) Stochastic simulation of 4–10

riser-sections with uncertain measured pressure loads and/or Smolyak SA (1963) Quadrature and interpolation formulas for tensor

uncertain material properties. Comput Methods Appl Mech Eng products of certain classes of functions. Soviet Math Dokl

196:4250–4271 4:240–243

Ganapathysubramanian B, Zabaras N (2006) Sparse grid collocation Storck P, Eheart JW, Valocchi AJ (1997) A method for optimal

schemes for stochastic natural convection problems. J Comp location of monitoring wells for detection of groundwater

Phys. doi:10.1016/j.jcp.2006.12.014 contamination in three-dimensional heterogeneous aquifers.

Ghanem R, Spanos P (1991) Stochastic finite elements: a spectral Water Resour Res 33(9):2081–2088

approach. Springer, Berlin Tatang MA, Pan WW, Prin RG, McRae GJ (1997) An efficient

Goovaerts P (1997) Geostatistics for natural resources evaluation. method for parametric uncertainty analysis of numerical geo-

Oxford University Press, New York physical model. J Geophys Res 102:21925–21932

Hamed M, Bedient P (1999) Reliability-based uncertainty analysis of Vose D (1996) Quantitative risk analysis: a guide to Monte Carlo

groundwater contaminant transport and remediation. USEPA simulation modelling. Wiley, Chichester

Report EPA/600/R-99/028 Wasilkowski GW, Wozniakowski H (1995) Explicit cost bounds of

Harbaugh AW, Banta ER, Hill MC, McDonald MG (2000) MOD- algorithms for multivariate tensor product problems. J Complex

FLOW-2000, the U.S. Geological Survey modular ground-water 11:1–56

123

984 Stoch Environ Res Risk Assess (2010) 24:971–984

William JM, Russel EC (1994) Quasi-random sequences and their Zhang D, Lu Z (2004) An efficient, high-order perturbation approach

discrepancies. SIAM J Sci Comput 15(6):1251–1279 for flow in random porous media via Karhunen-Loeve and

Xiu D (2007) Numerical integration formulas of degree two. Appl polynomial expansions. J Comput Phys 194:773–794

Numer Math 58(10):1515–1520 Zhang D, Neuman SP (1996) Effect of local dispersion on solute

Xiu D, Hesthaven JS (2005) High-order collocation methods for transport in randomly heterogeneous media. Water Resour Res

differential equations with random inputs. SIAM J Sci Comput 32(9):2715–2723

27(3):1118–1139 Zheng C, Wang PP (1999) MT3DMS: a modular three-dimensional

Xiu D, Karniadakis GE (2002) The Wiener-Askey polynomial chaos multispecies model for simulation of advection, dispersion and

for stochastic differential equations. SIAM J Sci Comput chemical reactions of contaminants in groundwater systems;

24:619–644 documentation and user’s guide, Contract Rep. SERDP-99–1,

Yenigul NB, Elfekia AMM, Gehrels JC, van den Akkera C, U.S. Army Eng Res and Dev Cent, Vicksburg

Hensbergenb AT, Dekking FM (2005) Reliability assessment Zsolt S, Andras P (2004) Alternative sampling methods for estimating

of groundwater monitoring networks at landfill sites. J Hydrol multivariate normal probabilities. J Econ 120(2):207–234

308:1–17

Zhang D (2002) Stochastic methods for flow in porous media:

copying with uncertainties. Academic Press, San Diego

123

- Homework StatisticsUploaded byLemery
- ICCCBE08_157_A Framework for Evaluating Deep Excavation AlternativesUploaded byশেখ ফয়সাল কবির
- psychologyUploaded byulfatkhawaja
- Solver Fortran FunctionsUploaded bymaliq12
- Civil Engineering Problems for Probability and Numerical AnalysisUploaded byAmmar Kh
- Variance and mean of a distribution powerpoint presentationUploaded byNikka Veron
- Important Probability DistributionsUploaded byyashar2500
- STAT1301,2601A (13-14, 1st) Chapter 4Uploaded by林小明
- Caliot Dom Fvm McmUploaded byshreedharkolekar
- Selective Maintenance Strategies Applied to a Bridge Deteriorating Steel TrussUploaded bylucasgambi
- Wind Turbines, EurocodeUploaded byIvan Jovanovic
- CHAPTER3 Continuous Probability DistributionUploaded byMari Parian Ü
- Risk-Based-Design.pdfUploaded bymanjumtech
- Session+Plan_DSUploaded byUdit Agrawal
- WalkthroughUploaded byjairocardenas
- Uniform DistributionUploaded byHaider Shah
- Montecarlo Simulation and Related Methods Option Values DerivativesUploaded byShweta Srivastava
- Monte CarloUploaded byPrateek Vyas
- lee_0119Uploaded byLaily Fauziah
- Monte PartUploaded byC Sai Sudarshan
- Prac06_AnalysisIIUploaded byHà Văn
- IAS Mains Statistics 2016Uploaded byHari Nfa
- Numerical MethodsUploaded byVishal Hansdah
- 2Dtomographypaper(Monte Carlo)Uploaded byDimas S Putra
- ps8_solUploaded byBrian Dunn
- Assignment 1&2Uploaded bynagas123
- Exerc12 Zeh (1)Uploaded byJordana Colman
- PaperUploaded byAssignment CST
- Sums and Averages of Large Samples Using Standard Transformations - The Central Limit Theorem and the Law of Large NumbersUploaded byHugo Hernández
- 10.1.1.30.4850.pdfUploaded byChris Ponners

- 02-Chapitre-02Uploaded byAbigor45
- Analysis Too Lpak GuideUploaded byahida742
- wk4lec3Uploaded byangel
- UWO 1228 Final Exam 2010Uploaded byCarol Shereen
- Quality Trainer Content OutlineUploaded byavinashonscribd
- b Da Lecture NotesUploaded byxolrax
- Capital One Simulation CourseUploaded bymanidev
- FYMATHUploaded byshoaib8682
- M.tech. Digital CommunicationUploaded bySaurabh Mishra
- Prelim Lec 2017Uploaded byMarc Alamo
- Consumer Acceptance of Functional FoodsUploaded byshakshi7
- Probability and ComputingUploaded byNanjunda Swamy
- Chapter 1 Probability DistributionUploaded bymfy
- Bickel, Mathematical Statistics, Basic Ideas and Selected TopicsUploaded byAlex Rodríguez Urbina
- Normal DistributionUploaded bykenechidukor
- Btech Electronics and Communication Engg Semester i to Viii Cbcegs gnduUploaded bySonakshi Gupta
- IGNOU STATISTICS2Uploaded bySatheesh Kalanilayam
- MBA1 SyllabusUploaded byTheRHKapadiaCollege
- BA2300 Syl W14 003Uploaded byboywonder1990
- 2. Probabilistic Engineering Critical Assessment of Circumferential Girth Weld Flaws in Sour ServiceUploaded byJae Ho LEE
- psheet7Uploaded byMichael Corleone
- Information TheoryUploaded bynumlock_
- Math 151 Fall 2017 NotesUploaded bySyed Tabrez
- Math288-Week10Uploaded byNina IsMe
- Statistics Q&AUploaded bysureshkiran
- Ch 8 Practice Test QuestionsUploaded byCopetan
- Crystal Ball 7 Manual EnUploaded byigiow
- Actuarial AdvantEDGE (Sample Manual)Uploaded byZaheer Ahmad
- The Normal Binomial and Poisson DistributionsUploaded bys_mahes
- 7-nopauseUploaded byharesh