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research article

Bayesian adaptation of chaos representations using variational inference and sampling on geodesics

Tsilifis, P.  
•
Ghanem, R. G.
September 1, 2018
Proceedings Of The Royal Society A-Mathematical Physical And Engineering Sciences

A novel approach is presented for constructing polynomial chaos representations of scalar quantities of interest (QoI) that extends previously developed methods for adaptation in Homogeneous Chaos spaces. In this work, we develop a Bayesian formulation of the problem that characterizes the posterior distributions of the series coefficients and the adaptation rotation matrix acting on the Gaussian input variables. The adaptation matrix is thus construed as a new parameter of the map from input to QoI, estimated through Bayesian inference. For the computation of the coefficients' posterior distribution, we use a variational inference approach that approximates the posterior with a member of the same exponential family as the prior, such that it minimizes a Kuilback-Leibler criterion. On the other hand, the posterior distribution of the rotation matrix is explored by employing a Geodesic Monte Carlo sampling approach, consisting of a variation of the Hamiltonian Monte Carlo algorithm for embedded manifolds, in our case, the Stiefel manifold of orthonormal matrices. The performance of our method is demonstrated through a series of numerical examples, including the problem of multiphase flow in heterogeneous porous media.

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Type
research article
DOI
10.1098/rspa.2018.0285
Web of Science ID

WOS:000446260500020

Author(s)
Tsilifis, P.  
Ghanem, R. G.
Date Issued

2018-09-01

Publisher

ROYAL SOC

Published in
Proceedings Of The Royal Society A-Mathematical Physical And Engineering Sciences
Volume

474

Issue

2217

Article Number

20180285

Subjects

Multidisciplinary Sciences

•

Science & Technology - Other Topics

•

polynomial chaos

•

variational inference

•

hamiltonian monte carlo

•

geodesic flows

•

stiefel manifold

•

matrix-langevin distribution

•

relevance vector machine

•

random-fields

•

homogeneous chaos

•

high-dimension

•

sensitivity-analysis

•

fisher distribution

•

physical systems

•

uncertainty

•

expansions

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
CSQI  
Available on Infoscience
December 13, 2018
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/152008
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