Stochastic polynomial chaos expansions to emulate stochastic simulators

Xujia Zhu (1) , Bruno Sudret (2, 1)

1 Chair of Risk, Safety and Uncertainty Quantification [ETH Zurich]
2 GdR MASCOT-NUM - Méthodes d'Analyse Stochastique des Codes et Traitements Numériques

In the context of uncertainty quantification, computational models are required to be repeatedly evaluated. This task is intractable for costly numerical models. Such a problem turns out to be even more severe for stochastic simulators, the output of which is a random variable for a given set of input parameters. To alleviate the computational burden, we develop a new stochastic surrogate model called stochastic polynomial chaos expansions. To this aim, we introduce a latent variable and an additional noise variable, on top of the well-defined input variables, to represent the intrinsic stochasticity. As a result, for a given set of input parameters, the model output is given by a function of the latent variable with an additive noise, thus a random variable. We develop an adaptive algorithm to construct such a surrogate, which does not require repeated runs of the simulator for the same input parameters. The performance of the proposed method is compared with the generalized lambda model and a state-of-the-art kernel estimator on two case studies in mathematical finance and epidemiology and on an analytical example whose response distribution is bimodal. The results show that the proposed method is able to accurately represent general response distributions, i.e., not only normal or unimodal ones. In terms of accuracy, it generally outperforms both the generalized lambda model and the kernel density estimator.

Domaines: Calcul [stat.CO]

Xujia Zhu, Bruno Sudret. Stochastic polynomial chaos expansions to emulate stochastic simulators. 2022. ⟨hal-03610334⟩