Multi-fidelity modelling via recursive co-kriging and Gaussian-Markov random fields.
We propose a new framework for design under uncertainty based on stochastic computer simulations and multi-level recursive co-kriging. The proposed methodology simultaneously takes into account multi-fidelity in models, such as direct numerical simulations versus empirical formulae, as well as multi-fidelity in the probability space (e.g. sparse grids versus tensor product multi-element probabilistic collocation). We are able to construct response surfaces of complex dynamical systems by blending multiple information sources via auto-regressive stochastic modelling. A computationally efficient machine learning framework is developed based on multi-level recursive co-kriging with sparse precision matrices of Gaussian-Markov random fields. The effectiveness of the new algorithms is demonstrated in numerical examples involving a prototype problem inrisk-aversedesign, regression of random functions, as well as uncertainty quantification in fluid mechanics involving the evolution of a Burgers equation from a random initial state, and random laminar wakes behind circular cylinders.
Division of Applied Mathematics , Brown University , Providence, RI 02912, USA.
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Perdikaris
Division of Applied Mathematics , Brown University , Providence, RI 02912, USA.
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Venturi
Operations Research Department , Naval Postgraduate School , Monterey, CA 93943, USA.
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Royset
Division of Applied Mathematics , Brown University , Providence, RI 02912, USA.
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Karniadakis
big data; machine learning; response surfaces; risk-averse design; surrogate modelling; uncertainty quantification