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Efficient Uncertainty Quantification using Gradient-Enhanced Kriging

Dwight, Richard and Zhong-Hua, Han (2009) Efficient Uncertainty Quantification using Gradient-Enhanced Kriging. 11th AIAA Non-Deterministic Approaches Conference, 4-7 May 2009, Palm Springs, Kalifornien, USA.

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A fexible non-intrusive approach to parametric uncertainty quantifcation problems is developed, aimed at problems with many uncertain parameters, and for applications with a high cost of functional evaluations. It employs a Kriging response surface in the parameter space, augmented with gradients obtained from the adjoint of the deterministic equations. The Kriging correlation parameter optimization problem is solved using the Subplex algorithm, which is robust for noisy functionals, and whose effort typically increases only linearly with problem dimension. Integration over the resulting response surface to obtain statistical moments is performed using sparse grid techniques, which are designed to scale well with dimensionality. The efficiency and accuracy of the proposed method is compared with probabilistic collocation, direct application of sparse grid methods, and Monte-Carlo initially for model problems, and finally for a 2d compressible Navier-Stokes problem with a random geometry parameterized by 4 variables.

Document Type:Conference or Workshop Item (Lecture)
Title:Efficient Uncertainty Quantification using Gradient-Enhanced Kriging
AuthorsInstitution or Email of Authors
Dwight, RichardUNSPECIFIED
Zhong-Hua, HanZhong-hua.Han@dlr.de
Date:May 2009
Keywords:Uncertainty Quantification, Gradient-Enhanced Kriging, Adjoint
Event Title:11th AIAA Non-Deterministic Approaches Conference
Event Location:Palm Springs, Kalifornien, USA
Event Type:international Conference
Event Dates:4-7 May 2009
HGF - Research field:Aeronautics, Space and Transport
HGF - Program:Aeronautics
HGF - Program Themes:Aircraft Research
DLR - Research area:Aeronautics
DLR - Program:L AR - Aircraft Research
DLR - Research theme (Project):L - Flight Physics
Location: Braunschweig
Institutes and Institutions:Institute of Aerodynamics and Flow Technology
Deposited By: Dr. Zhong-hua Han
Deposited On:16 Apr 2010 11:49
Last Modified:12 Dec 2013 20:55

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