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The optimal uncertainty algorithm in the mystic framework

McKerns, M. and Owhadi, H. and Scovel, C. and Sullivan, T. J. and Ortiz, M. (2012) The optimal uncertainty algorithm in the mystic framework. . (Submitted) http://resolver.caltech.edu/CaltechAUTHORS:20160224-080348129

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Abstract

We have recently proposed a rigorous framework for Uncertainty Quantification (UQ) in which UQ objectives and assumption/information set are brought into the forefront, providing a framework for the communication and comparison of UQ results. In particular, this framework does not implicitly impose inappropriate assumptions nor does it repudiate relevant information. This framework, which we call Optimal Uncertainty Quantification (OUQ), is based on the observation that given a set of assumptions and information, there exist bounds on uncertainties obtained as values of optimization problems and that these bounds are optimal. It provides a uniform environment for the optimal solution of the problems of validation, certification, experimental design, reduced order modeling, prediction, extrapolation, all under aleatoric and epistemic uncertainties. OUQ optimization problems are extremely large, and even though under general conditions they have finite-dimensional reductions, they must often be solved numerically. This general algorithmic framework for OUQ has been implemented in the mystic optimization framework. We describe this implementation, and demonstrate its use in the context of the Caltech surrogate model for hypervelocity impact.


Item Type:Report or Paper (Discussion Paper)
Related URLs:
URLURL TypeDescription
http://arxiv.org/abs/1202.1055arXivDiscussion Paper
ORCID:
AuthorORCID
Owhadi, H.0000-0002-5677-1600
Scovel, C.0000-0001-7757-3411
Additional Information:August 21, 2010. (Submitted on 6 Feb 2012). The authors gratefully acknowledge portions of this work supported by the Department of Energy National Nuclear Security Administration under Award Number DE-FC52-08NA28613 and by the National Science Foundation under Award Number DMR-0520547.
Funders:
Funding AgencyGrant Number
Department of Energy (DOE) National Nuclear Security AdministrationDE-FC52-08NA28613
NSFDMR-0520547
Record Number:CaltechAUTHORS:20160224-080348129
Persistent URL:http://resolver.caltech.edu/CaltechAUTHORS:20160224-080348129
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:64716
Collection:CaltechAUTHORS
Deposited By: Ruth Sustaita
Deposited On:24 Feb 2016 18:08
Last Modified:11 Jul 2017 00:09

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