Efficient Markov Chain Monte Carlo Sampling Using Polynomial Chaos Expansion

Author(s):  
Hamid Bazargan ◽  
Mike Christie ◽  
Hamdi Tchelepi
2019 ◽  
Vol 4 (3) ◽  
pp. 397-406 ◽  
Author(s):  
Pietro Bortolotti ◽  
Helena Canet ◽  
Carlo L. Bottasso ◽  
Jaikumar Loganathan

Abstract. The present paper characterizes the performance of non-intrusive uncertainty quantification methods for aeroservoelastic wind turbine analysis. Two different methods are considered, namely non-intrusive polynomial chaos expansion and Kriging. Aleatory uncertainties are associated with the wind inflow characteristics and the blade surface state, on account of soiling and/or erosion, and propagated throughout the aeroservoelastic model of a large conceptual offshore wind turbine. Results are compared with a brute-force extensive Monte Carlo sampling, which is used as benchmark. Both methods require at least 1 order of magnitude less simulations than Monte Carlo, with a slight advantage of Kriging over polynomial chaos expansion. The analysis of the solution space clearly indicates the effects of uncertainties and their couplings, and highlights some possible shortcomings of current mostly deterministic approaches based on safety factors.


2019 ◽  
Vol 29 ◽  
pp. 01008
Author(s):  
Bartosz Sawicki ◽  
Artur Krupa

The paper deals with numerical modeling of objects with a natural origin. The stochastic approach based on description using random variables allows processing such challenges. The Monte-Carlo methods are known a tool for simulations containing stochastic parameters however, they require significant computational power to obtain stable results. Authors compare Monte- Carlo with more advanced Polynomial Chaos Expansion (PCE) method. Both statistical tools have been applied for simulation of the electric field used in ohmic heating of potato tuber probes. Results indicate that PCE is remarkably faster, however, it simplifies some probabilistic features of the solution.


2017 ◽  
Vol 12 (2) ◽  
pp. 465-490 ◽  
Author(s):  
Daniel Turek ◽  
Perry de Valpine ◽  
Christopher J. Paciorek ◽  
Clifford Anderson-Bergman

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