Data-driven random process models have become increasingly important for uncertainty quantification (UQ) in science and engineering applications, due to their merit of capturing both the marginal distributions and the correlations of high-dimensional responses. However, the choice of a random process model is neither unique nor straightforward. To quantitatively validate the accuracy of random process UQ models, new metrics are needed to measure their capability in capturing the statistical information of high-dimensional data collected from simulations or experimental tests. In this work, two goodness-of-fit (GOF) metrics, namely, a statistical moment-based metric (SMM) and an M-margin U-pooling metric (MUPM), are proposed for comparing different stochastic models, taking into account their capabilities of capturing the marginal distributions and the correlations in spatial/temporal domains. This work demonstrates the effectiveness of the two proposed metrics by comparing the accuracies of four random process models (Gaussian process (GP), Gaussian copula, Hermite polynomial chaos expansion (PCE), and Karhunen–Loeve (K–L) expansion) in multiple numerical examples and an engineering example of stochastic analysis of microstructural materials properties. In addition to the new metrics, this paper provides insights into the pros and cons of various data-driven random process models in UQ.
PHYSICISTS ATTEMPT TO SCALE THE IVORY TOWERS OF FINANCE