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International Journal for Uncertainty Quantification

Impact factor: 1.000

ISSN Print: 2152-5080
ISSN Online: 2152-5099

Open Access

International Journal for Uncertainty Quantification

DOI: 10.1615/Int.J.UncertaintyQuantification.2017020027
Forthcoming Article

Adaptive selection of sampling points for Uncertainty Quantification

Enrico Camporeale
Centrum Wiskunde & Informatica
Ashutosh Agnihotri
Centrum Wiskunde & Informatica
Casper Rutjes
Centrum Wiskunde & Informatica

ABSTRACT

We present a simple and robust strategy for the selection of sampling points in Uncertainty Quantification. The goal is to achieve the fastest possible convergence in the cumulative distribution function of a stochastic output of interest. We assume that the output of interest is the outcome of a computationally expensive nonlinear mapping of an input random variable, whose probability density function is known. We use a radial function basis to construct an accurate interpolant of the mapping. This strategy enables adding new sampling points one at a time, \emph{adaptively}. This takes into full account the previous evaluations of the target nonlinear function. We present comparisons with a stochastic collocation method based on the Clenshaw-Curtis quadrature rule, and with an adaptive method based on hierarchical surplus, showing that the new method often results in a large computational saving.