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Reliability analysis is a sub-field of uncertainty quantification that assesses the probability of a system performing as intended under various uncertainties. Traditionally, this analysis relies on deterministic models, where experiments are repeatable, i.e., they produce consistent outputs for a given set of inputs. However, real-world systems often exhibit stochastic behavior, leading to non-repeatable outcomes. These so-called stochastic simulators produce different outputs each time the model is run, even with fixed inputs. This paper formally introduces reliability analysis for stochastic models and addresses it by using suitable surrogate models to lower its typically high computational cost. Specifically, we focus on the recently introduced generalized lambda models and stochastic polynomial chaos expansions. These emulators are designed to learn the inherent randomness of the simulator's response and enable efficient uncertainty quantification at a much lower cost than traditional Monte Carlo simulation. We validate our methodology through three case studies. First, using an analytical function with a closed-form solution, we demonstrate that the emulators converge to the correct solution. Second, we present results obtained from the surrogates using a toy example of a simply supported beam. Finally, we apply the emulators to perform reliability analysis on a realistic wind turbine case study, where only a dataset of simulation results is available.

We propose a novel feature-centric approach to surrogate modeling of dynamical systems driven by time-varying exogenous excitations. This approach, named Functional Nonlinear AutoRegressive with eXogenous inputs (F-NARX), aims to approximate the system response based on temporal features of both the exogenous inputs and the system response, rather than on their values at specific time lags. This is a major step away from the discrete-time-centric approach of classical NARX models, which attempts to determine the relationship between selected time steps of the input/output time series. By modeling the system in a time-feature space instead of the original time axis, F-NARX can provide more stable long-term predictions and drastically reduce the reliance of the model performance on the time discretization of the problem. F-NARX, like NARX, acts as a framework and is not tied to a single implementation. In this work, we introduce an F-NARX implementation based on principal component analysis and polynomial basis functions. To further improve prediction accuracy and computational efficiency, we also introduce a strategy to identify and fit a sparse model structure, thanks to a modified hybrid least angle regression approach that minimizes the expected forecast error, rather than the one-step-ahead prediction error. Since F-NARX is particularly well-suited to modeling engineering structures typically governed by physical processes, we investigate the behavior and capabilities of our F-NARX implementation on two case studies: an eight-story building under wind loading and a three-story steel frame under seismic loading. Our results demonstrate that F-NARX has several favorable properties over classical NARX, making it well suited to emulate engineering systems with high accuracy over extended time periods.

Multi-fidelity surrogate models combining dimensionality reduction and an intermediate surrogate in the reduced space allow a cost-effective emulation of simulators with functional outputs. The surrogate is an input-output mapping learned from a limited number of simulator evaluations. This computational efficiency makes surrogates commonly used for many-query tasks. Diverse methods for building them have been proposed in the literature, but they have only been partially compared. This paper introduces a unified framework encompassing the different surrogate families, followed by a methodological comparison and the exposition of practical considerations. More than a dozen of existing multi-fidelity surrogates have been implemented under the unified framework and evaluated on a set of benchmark problems. Based on the results, guidelines and recommendations are proposed regarding multi-fidelity surrogates with functional outputs. Our study shows that most multi-fidelity surrogates outperform their tested single-fidelity counterparts under the considered settings. But no particular surrogate is performing better on every test case. Therefore, the selection of a surrogate should consider the specific properties of the emulated functions, in particular the correlation between the low- and high-fidelity simulators, the size of the training set, the local nonlinear variations in the residual fields, and the size of the training datasets.

Bayesian analysis enables combining prior knowledge with measurement data to learn model parameters. Commonly, one resorts to computing the maximum a posteriori (MAP) estimate, when only a point estimate of the parameters is of interest. We apply MAP estimation in the context of structural dynamic models, where the system response can be described by the frequency response function. To alleviate high computational demands from repeated expensive model calls, we utilize a rational polynomial chaos expansion (RPCE) surrogate model that expresses the system frequency response as a rational of two polynomials with complex coefficients. We propose an extension to an existing sparse Bayesian learning approach for RPCE based on Laplace's approximation for the posterior distribution of the denominator coefficients. Furthermore, we introduce a Bayesian optimization approach, which allows to adaptively enrich the experimental design throughout the optimization process of MAP estimation. Thereby, we utilize the expected improvement acquisition function as a means to identify sample points in the input space that are possibly associated with large objective function values. The acquisition function is estimated through Monte Carlo sampling based on the posterior distribution of the expansion coefficients identified in the sparse Bayesian learning process. By combining the sparsity-inducing learning procedure with the sequential experimental design, we effectively reduce the number of model evaluations in the MAP estimation problem. We demonstrate the applicability of the presented methods on the parameter updating problem of an algebraic two-degree-of-freedom system and the finite element model of a cross-laminated timber plate.

Reliability analysis aims at estimating the failure probability of an engineering system. It often requires multiple runs of a limit-state function, which usually relies on computationally intensive simulations. Traditionally, these simulations have been considered deterministic, i.e., running them multiple times for a given set of input parameters always produces the same output. However, this assumption does not always hold, as many studies in the literature report non-deterministic computational simulations (also known as noisy models). In such cases, running the simulations multiple times with the same input will result in different outputs. Similarly, data-driven models that rely on real-world data may also be affected by noise. This characteristic poses a challenge when performing reliability analysis, as many classical methods, such as FORM and SORM, are tailored to deterministic models. To bridge this gap, this paper provides a novel methodology to perform reliability analysis on models contaminated by noise. In such cases, noise introduces latent uncertainty into the reliability estimator, leading to an incorrect estimation of the real underlying reliability index, even when using Monte Carlo simulation. To overcome this challenge, we propose the use of denoising regression-based surrogate models within an active learning reliability analysis framework. Specifically, we combine Gaussian process regression with a noise-aware learning function to efficiently estimate the probability of failure of the underlying noise-free model. We showcase the effectiveness of this methodology on standard benchmark functions and a finite element model of a realistic structural frame.

Emulating high-accuracy computationally expensive models is crucial for tasks requiring numerous model evaluations, such as uncertainty quantification and optimization. When lower-fidelity models are available, they can be used to improve the predictions of high-fidelity models. Multi-fidelity surrogate models combine information from sources of varying fidelities to construct an efficient surrogate model. However, in real-world applications, uncertainty is present in both high- and low-fidelity models due to measurement or numerical noise, as well as lack of knowledge due to the limited experimental design budget. This paper introduces a comprehensive framework for multi-fidelity surrogate modeling that handles noise-contaminated data and is able to estimate the underlying noise-free high-fidelity model. Our methodology quantitatively incorporates the different types of uncertainty affecting the problem and emphasizes on delivering precise estimates of the uncertainty in its predictions both with respect to the underlying high-fidelity model and unseen noise-contaminated high-fidelity observations, presented through confidence and prediction intervals, respectively. Additionally, the proposed framework offers a natural approach to combining physical experiments and computational models by treating noisy experimental data as high-fidelity sources and white-box computational models as their low-fidelity counterparts. The effectiveness of our methodology is showcased through synthetic examples and a wind turbine application.

We propose a novel surrogate modelling approach to efficiently and accurately approximate the response of complex dynamical systems driven by time-varying exogenous excitations over extended time periods. Our approach, namely manifold nonlinear autoregressive modelling with exogenous input (mNARX), involves constructing a problem-specific exogenous input manifold that is optimal for constructing autoregressive surrogates. The manifold, which forms the core of mNARX, is constructed incrementally by incorporating the physics of the system, as well as prior expert- and domain- knowledge. Because mNARX decomposes the full problem into a series of smaller sub-problems, each with a lower complexity than the original, it scales well with the complexity of the problem, both in terms of training and evaluation costs of the final surrogate. Furthermore, mNARX synergizes well with traditional dimensionality reduction techniques, making it highly suitable for modelling dynamical systems with high-dimensional exogenous inputs, a class of problems that is typically challenging to solve. Since domain knowledge is particularly abundant in physical systems, such as those found in civil and mechanical engineering, mNARX is well suited for these applications. We demonstrate that mNARX outperforms traditional autoregressive surrogates in predicting the response of a classical coupled spring-mass system excited by a one-dimensional random excitation. Additionally, we show that mNARX is well suited for emulating very high-dimensional time- and state-dependent systems, even when affected by active controllers, by surrogating the dynamics of a realistic aero-servo-elastic onshore wind turbine simulator. In general, our results demonstrate that mNARX offers promising prospects for modelling complex dynamical systems, in terms of accuracy and efficiency.

System reliability analysis aims at computing the probability of failure of an engineering system given a set of uncertain inputs and limit state functions. Active-learning solution schemes have been shown to be a viable tool but as of yet they are not as efficient as in the context of component reliability analysis. This is due to some peculiarities of system problems, such as the presence of multiple failure modes and their uneven contribution to failure, or the dependence on the system configuration (e.g., series or parallel). In this work, we propose a novel active learning strategy designed for solving general system reliability problems. This algorithm combines subset simulation and Kriging/PC-Kriging, and relies on an enrichment scheme tailored to specifically address the weaknesses of this class of methods. More specifically, it relies on three components: (i) a new learning function that does not require the specification of the system configuration, (ii) a density-based clustering technique that allows one to automatically detect the different failure modes, and (iii) sensitivity analysis to estimate the contribution of each limit state to system failure so as to select only the most relevant ones for enrichment. The proposed method is validated on two analytical examples and compared against results gathered in the literature. Finally, a complex engineering problem related to power transmission is solved, thereby showcasing the efficiency of the proposed method in a real-case scenario.

Stochastic simulators are non-deterministic computer models which provide a different response each time they are run, even when the input parameters are held at fixed values. They arise when additional sources of uncertainty are affecting the computer model, which are not explicitly modeled as input parameters. The uncertainty analysis of stochastic simulators requires their repeated evaluation for different values of the input variables, as well as for different realizations of the underlying latent stochasticity. The computational cost of such analyses can be considerable, which motivates the construction of surrogate models that can approximate the original model and its stochastic response, but can be evaluated at much lower cost. We propose a surrogate model for stochastic simulators based on spectral expansions. Considering a certain class of stochastic simulators that can be repeatedly evaluated for the same underlying random event, we view the simulator as a random field indexed by the input parameter space. For a fixed realization of the latent stochasticity, the response of the simulator is a deterministic function, called trajectory. Based on samples from several such trajectories, we approximate the latter by sparse polynomial chaos expansion and compute analytically an extended Karhunen-Lo\`eve expansion (KLE) to reduce its dimensionality. The uncorrelated but dependent random variables of the KLE are modeled by advanced statistical techniques such as parametric inference, vine copula modeling, and kernel density estimation. The resulting surrogate model approximates the marginals and the covariance function, and allows to obtain new realizations at low computational cost. We observe that in our numerical examples, the first mode of the KLE is by far the most important, and investigate this phenomenon and its implications.

Variance-based global sensitivity analysis, in particular Sobol' analysis, is widely used for determining the importance of input variables to a computational model. Sobol' indices can be computed cheaply based on spectral methods like polynomial chaos expansions (PCE). Another choice are the recently developed Poincar\'e chaos expansions (PoinCE), whose orthonormal tensor-product basis is generated from the eigenfunctions of one-dimensional Poincar\'e differential operators. In this paper, we show that the Poincar\'e basis is the unique orthonormal basis with the property that partial derivatives of the basis form again an orthogonal basis with respect to the same measure as the original basis. This special property makes PoinCE ideally suited for incorporating derivative information into the surrogate modelling process. Assuming that partial derivative evaluations of the computational model are available, we compute spectral expansions in terms of Poincar\'e basis functions or basis partial derivatives, respectively, by sparse regression. We show on two numerical examples that the derivative-based expansions provide accurate estimates for Sobol' indices, even outperforming PCE in terms of bias and variance. In addition, we derive an analytical expression based on the PoinCE coefficients for a second popular sensitivity index, the derivative-based sensitivity measure (DGSM), and explore its performance as upper bound to the corresponding total Sobol' indices.

To date, the analysis of high-dimensional, computationally expensive engineering models remains a difficult challenge in risk and reliability engineering. We use a combination of dimensionality reduction and surrogate modelling termed partial least squares-driven polynomial chaos expansion (PLS-PCE) to render such problems feasible. Standalone surrogate models typically perform poorly for reliability analysis. Therefore, in a previous work, we have used PLS-PCEs to reconstruct the intermediate densities of a sequential importance sampling approach to reliability analysis. Here, we extend this approach with an active learning procedure that allows for improved error control at each importance sampling level. To this end, we formulate an estimate of the combined estimation error for both the subspace identified in the dimension reduction step and surrogate model constructed therein. With this, it is possible to adapt the design of experiments so as to optimally learn the subspace representation and the surrogate model constructed therein. The approach is gradient-free and thus can be directly applied to black box-type models. We demonstrate the performance of this approach with a series of low- (2 dimensions) to high- (869 dimensions) dimensional example problems featuring a number of well-known caveats for reliability methods besides high dimensions and expensive computational models: strongly nonlinear limit-state functions, multiple relevant failure regions and small probabilities of failure.

Sparse polynomial chaos expansions (PCE) are an efficient and widely used surrogate modeling method in uncertainty quantification for engineering problems with computationally expensive models. To make use of the available information in the most efficient way, several approaches for so-called basis-adaptive sparse PCE have been proposed to determine the set of polynomial regressors ("basis") for PCE adaptively. The goal of this paper is to help practitioners identify the most suitable methods for constructing a surrogate PCE for their model. We describe three state-of-the-art basis-adaptive approaches from the recent sparse PCE literature and conduct an extensive benchmark in terms of global approximation accuracy on a large set of computational models. Investigating the synergies between sparse regression solvers and basis adaptivity schemes, we find that the choice of the proper solver and basis-adaptive scheme is very important, as it can result in more than one order of magnitude difference in performance. No single method significantly outperforms the others, but dividing the analysis into classes (regarding input dimension and experimental design size), we are able to identify specific sparse solver and basis adaptivity combinations for each class that show comparatively good performance. To further improve on these findings, we introduce a novel solver and basis adaptivity selection scheme guided by cross-validation error. We demonstrate that this automatic selection procedure provides close-to-optimal results in terms of accuracy, and significantly more robust solutions, while being more general than the case-by-case recommendations obtained by the benchmark.

Sparse polynomial chaos expansions (PCE) are a popular surrogate modelling method that takes advantage of the properties of PCE, the sparsity-of-effects principle, and powerful sparse regression solvers to approximate computer models with many input parameters, relying on only few model evaluations. Within the last decade, a large number of algorithms for the computation of sparse PCE have been published in the applied math and engineering literature. We present an extensive review of the existing methods and develop a framework for classifying the algorithms. Furthermore, we conduct a unique benchmark on a selection of methods to identify which approaches work best in practical applications. Comparing their accuracy on several benchmark models of varying dimensionality and complexity, we find that the choice of sparse regression solver and sampling scheme for the computation of a sparse PCE surrogate can make a significant difference, of up to several orders of magnitude in the resulting mean-squared error. Different methods seem to be superior in different regimes of model dimensionality and experimental design size.

Human exposure induced by wireless communication systems increasingly draws the public attention. Here, an indoor down-link scenario is concerned and the exposure level is statistically analyzed. The electromagnetic field (EMF) emitted by a WiFi box is measured and electromagnetic dosimetry features are evaluated from the whole-body specific absorption rate as computed with a Finite-Difference Time-Domain (a.k.a. FDTD) code. Due to computational cost, a statistical analysis is performed based on a surrogate model, which is constructed by means of so-called sparse polynomial chaos expansion (PCE), where the inner cross validation (ICV) is used to select the optimal hyperparameters during the model construction and assess the model performance. However, the ICV error is optimized and the model assessment tends to be overly optimistic with small data sets. The method of cross-model validation is used and outer cross validation is carried out for the model assessment. The effects of the data preprocessing are investigated as well. Based on the surrogate model, the global sensitivity of the exposure to input parameters is analyzed from Sobol' indices.

Metamodeling of complex numerical systems has recently attracted the interest of the mathematical programming community. Despite the progress in high performance computing, simulations remain costly, as a matter of fact, the assessment of the exposure to radio frequency electromagnetic fields is computationally prohibitive since one simulation can require hours. Moreover, in many engineering problems, carrying out deterministic numerical operations without considering uncertainties can lead to unreliable designs. In this paper we focus on the surrogate modeling of a particular type of computational models called stochastic simulators. In contrast to deterministic simulators which yield a unique output for each set of input parameters, stochastic simulators inherently contain some sources of randomness and the output at a given point is a probability density function. Characterizing the stochastic simulators is even more time consuming. This paper represents stochastic simulators as a stochastic process and describes a metamodeling approach based on the Karhunen-Lo\`eve spectral decomposition., Comment: 24 pages, 7 figures, submitted to the 'International Journal for Uncertainty Quantification'

We present a new power spectrum emulator named EuclidEmulator that estimates the nonlinear correction to the linear dark matter power spectrum. It is based on a spectral decomposition method called polynomial chaos expansion. All steps in the construction of the emulator have been tested and optimized: the large high-resolution N-body simulations carried out with PKDGRAV3 were validated using a simulation from the Euclid Flagship campaign and demonstrated to have converged up to wavenumbers $k\approx 5\,h\,{\rm Mpc}^{-1}$ for redshifts $z\leq 5$. The emulator is constructed using the uncertainty quantification software UQLab and it has been optimized first by creating mock emulators based on Takahashi's HALOFIT. We show that it is possible to successfully predict the performance of the final emulator in this way prior to performing any N-body simulations. We provide a C-code to calculate the nonlinear correction at a relative accuracy of $\sim0.3\%$ with respect to N-body simulations within 50 ms. The absolute accuracy of the final nonlinear power spectrum is comparable to one obtained with N-body simulations, i.e. $\sim 1\%$ for $k\lesssim 1\,h\,{\rm Mpc}^{-1}$ and $z\lesssim 3.5$. This enables efficient forward modeling in the nonlinear regime allowing for maximum likelihood estimation of cosmological parameters. EuclidEmulator has been compared to HALOFIT and CosmicEmu, an alternative emulator based on the Mira-Titan Universe, and shown to be more accurate than these other approaches. This work paves a new way for optimal construction of future emulators that also consider other cosmological observables, use higher resolution input simulations and investigate higher dimensional cosmological parameter spaces., Comment: 19 pages, 13 figures

This paper presents an efficient surrogate modeling strategy for the uncertainty quantification and Bayesian calibration of a hydrological model. In particular, a process-based dynamical urban drainage simulator that predicts the discharge from a catchment area during a precipitation event is considered. The goal of the case study is to perform a global sensitivity analysis and to identify the unknown model parameters as well as the measurement and prediction errors. These objectives can only be achieved by cheapening the incurred computational costs, that is, lowering the number of necessary model runs. With this in mind, a regularity-exploiting metamodeling technique is proposed that enables fast uncertainty quantification. Principal component analysis is used for output dimensionality reduction and sparse polynomial chaos expansions are used for the emulation of the reduced outputs. Sobol' sensitivity indices are obtained directly from the expansion coefficients by a mere post-processing. Bayesian inference via Markov chain Monte Carlo posterior sampling is drastically accelerated.

Polynomial chaos expansions (PCE) have proven efficiency in a number of fields for propagating parametric uncertainties through computational models of complex systems, namely structural and fluid mechanics, chemical reactions and electromagnetism, etc. For problems involving oscillatory, time-dependent output quantities of interest, it is well-known that reasonable accuracy of PCE-based approaches is difficult to reach in the long term. In this paper, we propose a fully non-intrusive approach based on stochastic time warping to address this issue: each realization (trajectory) of the model response is first rescaled to its own time scale so as to put all sampled trajectories in phase in a common virtual time line. Principal component analysis is introduced to compress the information contained in these transformed trajectories and sparse PCE representations using least angle regression are finally used to approximate the components. The approach shows remarkably small prediction error for particular trajectories as well as for second-order statistics of the latter. It is illustrated on different benchmark problems well known in the literature on time-dependent PCE problems, ranging from rigid body dynamics, chemical reactions to forced oscillations of a non linear system.

In modern engineering, physical processes are modelled and analysed using advanced computer simulations, such as finite element models. Furthermore, concepts of reliability analysis and robust design are becoming popular, hence, making efficient quantification and propagation of uncertainties an important aspect. In this context, a typical workflow includes the characterization of the uncertainty in the input variables. In this paper, input variables are modelled by probability-boxes (p-boxes), accounting for both aleatory and epistemic uncertainty. The propagation of p-boxes leads to p-boxes of the output of the computational model. A two-level meta-modelling approach is proposed using non-intrusive sparse polynomial chaos expansions to surrogate the exact computational model and, hence, to facilitate the uncertainty quantification analysis. The capabilities of the proposed approach are illustrated through applications using a benchmark analytical function and two realistic engineering problem settings. They show that the proposed two-level approach allows for an accurate estimation of the statistics of the response quantity of interest using a small number of evaluations of the exact computational model. This is crucial in cases where the computational costs are dominated by the runs of high-fidelity computational models.

The growing need for uncertainty analysis of complex computational models has led to an expanding use of meta-models across engineering and sciences. The efficiency of meta-modeling techniques relies on their ability to provide statistically-equivalent analytical representations based on relatively few evaluations of the original model. Polynomial chaos expansions (PCE) have proven a powerful tool for developing meta-models in a wide range of applications; the key idea thereof is to expand the model response onto a basis made of multivariate polynomials obtained as tensor products of appropriate univariate polynomials. The classical PCE approach nevertheless faces the "curse of dimensionality", namely the exponential increase of the basis size with increasing input dimension. To address this limitation, the sparse PCE technique has been proposed, in which the expansion is carried out on only a few relevant basis terms that are automatically selected by a suitable algorithm. An alternative for developing meta-models with polynomial functions in high-dimensional problems is offered by the newly emerged low-rank approximations (LRA) approach. By exploiting the tensor-product structure of the multivariate basis, LRA can provide polynomial representations in highly compressed formats. Through extensive numerical investigations, we herein first shed light on issues relating to the construction of canonical LRA with a particular greedy algorithm involving a sequential updating of the polynomial coefficients along separate dimensions. Canonical LRA exhibit smaller errors than sparse PCE in cases when the number of available model evaluations is small with respect to the input dimension. By introducing the conditional generalization error, we further demonstrate that canonical LRA tend to outperform sparse PCE in the prediction of extreme model responses.

A spectral approach to Bayesian inference is presented. It pursues the emulation of the posterior probability density. The starting point is a series expansion of the likelihood function in terms of orthogonal polynomials. From this spectral likelihood expansion all statistical quantities of interest can be calculated semi-analytically. The posterior is formally represented as the product of a reference density and a linear combination of polynomial basis functions. Both the model evidence and the posterior moments are related to the expansion coefficients. This formulation avoids Markov chain Monte Carlo simulation and allows one to make use of linear least squares instead. The pros and cons of spectral Bayesian inference are discussed and demonstrated on the basis of simple applications from classical statistics and inverse modeling.

Polynomial chaos expansions (PCE) are widely used in the framework of uncertainty quantification. However, when dealing with high dimensional complex problems, challenging issues need to be faced. For instance, high-order polynomials may be required, which leads to a large polynomial basis whereas usually only a few of the basis functions are in fact significant. Taking into account the sparse structure of the model, advanced techniques such as sparse PCE (SPCE), have been recently proposed to alleviate the computational issue. In this paper, we propose a novel approach to SPCE, which allows one to exploit the model's hierarchical structure. The proposed approach is based on the adaptive enrichment of the polynomial basis using the so-called principle of heredity. As a result, one can reduce the computational burden related to a large pre-defined candidate set while obtaining higher accuracy with the same computational budget.