An Adaptive Hierarchical Sparse Grid Collocation Algorithm For The Solution

An adaptive hierarchical sparse grid
collocation algorithm for the solution of

stochastic differential equations
Nicholas Zabaras and Xiang Ma

Materials Process Design and Control Laboratory
Sibley School of Mechanical and Aerospace Engineering
101 Frank H. T. Rhodes Hall
Cornell University
Ithaca, NY 14853-3801
Email: zabaras@cornell.edu
URL: http://mpdc.mae.cornell.edu/
Symposium on `Numerical Methods for Stochastic Computation and Uncertainty Quantification'

in the 2008 SIAM Annual Meeting, San Diego CA, July 7-11, 2008
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Materials Process Design and Control Laboratory 1
Outline of the presentation
o Stochastic analysis
o Issues with gPC and ME-gPc
o Collocation based approach
o Basics of stochastic collocation
o Issues with existing stochastic sparse grid collocation method
(Smolyak algorithm)
o Adaptive sparse grid collocation method
o Some numerical examples
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Motivation
All physical systems have an inherent associated randomness
SOURCES OF UNCERTAINTIES
Process
•Multiscale material information –
inherently statistical in nature.
Engineering
•Uncertainties in process conditions component
•Input data
•Model formulation – approximations,
assumptions. Heterogeneous
random
Why uncertainty modeling ? Microstructural
features
Assess product and process reliability.
Estimate confidence level in model predictions.
Identify relative sources of randomness. Control?
Provide robust design solutions.
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Problem definition
 Define a complete probability space ( Ω, F , P ) . We are interested to find a
stochastic function u : Ω × D → ¡ such that for P-almost everywhere (a.e.) ω ∈ Ω ,
the following equation hold:
L ( x, ω ; u ) = f ( x, ω ) , ∀x ∈ D
B ( x, u ) = g ( x ) , ∀x ∈ ∂D
where x = ( x1 , x2 ,K , xd ) are the coordinates in ¡ d , L is (linear/nonlinear) differential

operator, and B is a boundary operators.
 In the most general case, the operator L and B as well as the driving terms f and
g, can be assumed random.
 In general, we require an infinite number of random variables to completely
characterize a stochastic process. This poses a numerical challenge in modeling
uncertainty in physical quantities that have spatio-temporal variations, hence
necessitating the need for a reduced-order representation.
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Representing Randomness
Interpreting random variables as functions 1. Interpreting random variables
Random 2. Distribution of the random variable
variable ξ
MAP
E.g. inlet velocity, inlet temperature
S
Real line
Sample space of
Each outcome is
mapped to a
θ = θ o ( 1 + 0.1ξ )
elementary events
corresponding real
Collection of all value
possible outcomes
A general stochastic process is a random field 3. Correlated data

with variations along space and time – A
function with domain (Ω, Τ, S) Ex. Presence of impurities, porosity
Usually represented with a correlation function
We specifically concentrate on this.
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Representing Randomness
Karhunen-Loèvè expansion 1. Representation of random process
Based on the spectral decomposition of the - Karhunen-Loeve, Polynomial Chaos
covariance kernel of the stochastic process
expansions
2. Infinite dimensions to finite dimensions
Random
process Mean
- depends on the covariance
Set of random
variables to
be found
• Need to know covariance
Eigenpairs of
• Converges uniformly to covariance
any second order process kernel
Set the number of stochastic dimensions, N

Dependence of variables
Pose the (N+d) dimensional problem
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Karhunen-Loeve expansion
∞
X ( x, t , ω ) = X ( x, t ) + ∑ X i ( x, t )Yi (ω )
i =1
ON random variables
Stochastic Mean
process function Deterministic functions
 Deterministic functions ~ eigen-values, eigenvectors of

the covariance function
 Orthonormal random variables ~ type of stochastic
process
 In practice, we truncate (KL) to first N terms
X ( x, t , ω ) = fn( x, t , Y1 ,K , YN )
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The finite-dimensional noise assumption
 By using the Doob-Dynkin lemma, the solution of the problem can be described
by the same set of random variables, i.e.
u ( x, ω ) = u ( x, Y1 ( ω ) ,L , YN ( ω ) )
 So the original problem can be restated as: Find the stochastic function u : Γ × D → ¡
such that
L ( x, Y; u ) = f ( x, Y ) , ∀x ∈ D × Γ
B ( x, Y; u ) = g ( x, Y ) , ∀x ∈ ∂D × Γ
 In this work, we assume that { Yi ( ω ) } iN=1 are independent random variables with
probability density function .ρiLet Γbe
i
the image of . YThen
i
N
ρ ( Y ) = ∏ ρi ( Yi ) , ∀Y ∈ Γ
i =1
is the joint probability density of Y = ( Y1 ,L , YN ) with support

N
Γ ≡ ∏ Γi ∈ ¡ N
i =1
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Uncertainty analysis techniques
 Monte-Carlo : Simple to implement, computationally
expensive
 Perturbation, Neumann expansions : Limited to small
fluctuations, tedious for higher order statistics
 Sensitivity analysis, method of moments : Probabilistic
information is indirect, small fluctuations
 Spectral stochastic uncertainty representation: Basis in
probability and functional analysis, can address second
order stochastic processes, can handle large fluctuations,
derivations are general
 Stochastic collocation: Results in decoupled equations
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Spectral stochastic presentation
 A stochastic process = spatially, temporally varying
random function
X : ( x, t , Ω ) a ¡
CHOOSE APPROPRIATE
BASIS FOR THE
PROBABILITY SPACE
GENERALIZED POLYNOMIAL
HYPERGEOMETRIC ASKEY POLYNOMIALS
CHAOS EXPANSION
SUPPORT-SPACE
PIECEWISE POLYNOMIALS (FE TYPE)
REPRESENTATION
KARHUNEN-LOÈVE
SPECTRAL DECOMPOSITION
EXPANSION
SMOLYAK QUADRATURE,
COLLOCATION, MC (DELTA FUNCTIONS)
CUBATURE, LH
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Generalized polynomial chaos (gPC)
 Generalized polynomial chaos expansion is used to
represent the stochastic output in terms of the input
X ( x, t , ω ) = fn( x, t , Y1 ,K , YN )
Stochastic input
P
Z ( x, t , ω ) = ∑ Zi ( x, t )ψ i (Y (ω ))
i =0
Askey polynomials in input

Stochastic
output Deterministic functions
 Askey polynomials ~ type of input stochastic process

 Usually, Hermite, Legendre, Jacobi etc.
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Advantages:
1) Fast convergence1.
2) Very successful in solving various problems in solid and fluid
mechanics – well understood 2,3 .
3) Applicable to most random distributions 4,5 .
4) Theoretical basis easily extendable to other phenomena
1. P Spanos and R Ghanem, Stochastic finite elements: A spectral approach, Springer-Verlag (1991)
2. D. Xiu and G. Karniadakis, Modeling uncertainty in flow simulations via generalized polynomial chaos
, Comput. Methods Appl. Mech. Engrg. 187 (2003) 137--167.
3. S. Acharjee and N. Zabaras, Uncertainty propagation in finite deformations -- A spectral stochastic
Lagrangian approach, Comput. Methods Appl. Mech. Engrg. 195 (2006) 2289--2312.
4. D. Xiu and G. Karniadakis, The Wiener-Askey polynomial chaos for stochastic differential equations,
SIAM J. Sci. Comp. 24 (2002) 619-644.
5. X. Wan and G.E. Karniadakis, Beyond Wiener-Askey expansions: Handling arbitrary PDFs, SIAM J
Sci Comp 28(3) (2006) 455-464.
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Disadvantages:
1) Coupled nature of the formulation makes implementation nontrivial1.
2) Substantial effort into coding the stochastics: Intrusive
3) As the order of expansion (p) is increased, the number of unknowns
(P) increases factorially with the stochastic dimension (N):
combinatorial explosion2,3 .
( N + p) !
P +1 =
N ! p!
4) Furthermore, the curse of dimensionality makes this approach
particularly difficult for large stochastic dimensions
1. B. Ganapathysubramaniana and N. Zabaras,
Sparse grid collocation schemes for stochastic natural convection problems, J. Comp Physics,
2007, doi:10.1016/j.jcp.2006.12.014
2. D Xiu, D Lucor, C.-H. Su, and G Karniadakis,
Performance evaluation of generalized polynomial chaos, P.M.A. Sloot et al. (Eds.): ICCS 2003,
LNCS 2660 (2003) 346-354
3. B. J. Debusschere, H. N. Najm, P. P. Pebray, O. M. Knio, R. G. Ghanem and O. P. Le Maître,
Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes,
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SIAM Journal of Scientific Computing 26(2) (2004) 698-719.
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Failure of gPC
 Gibbs phenomenon: Due to its global support, it fails to capture the
stochastic discontinuity in the stochastic space.
9.2E-07 5.7E-06 1.0E-05 1.5E-05 2.0E-05 2.5E-05 3.0E-05 3.4E-05 -6.4E-08 4.3E-07 9.3E-07 1.4E-06 1.9E-06 2.4E-06 2.9E-06 3.4E-06
1 1
X-velocity
Y-velocity
Capture unsteady 0.75 0.75
equilibrium in
natural convection
0.5 0.5
Y
Y
0.25 0.25
0 0
0 0.25 0.5 0.75 1 0 0.25 0.5 0.75 1
X X
 Therefore, we need some method which can resolve the

discontinuity locally. This motivates the following Multi - element
gPC method.
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Multi-element generalized polynomial chaos (ME-gPC)
 Basic concept:
 Decompose the space of random inputs into small elements.
 In each element of the support space, we generate a new random
variable and apply gPCE.
 The global PDF is also simultaneously discretized. Thus, the global PC
basis is not orthogonal with the local PDF in a random element. We
need to reconstruct the orthogonal basis numerically in each random
element. The only exception is the uniform distribution whose PDF is a
constant.
 We can also decompose the random space adaptively to increase its
efficiency.
1. X. Wan and G.E. Karniadakis, An adaptive multi-element generalized polynomial chaos method for
stochastic differential equations, SIAM J Sci Comp 209 (2006) 901-928.
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Decomposition of the random space
 We define a decomposition B of Γ as
Γ k = [ak ,1 , bk ,1 ) × [ak ,2 , bk ,2 ) ×L × [ak ,d , bk ,d ]


B = Γ = UMk=1 Γk
Γ I Γ = φ
 k1 k2
where k1 , k2 = 1, 2K , M
 Based on the decomposition B , we define the following indicator
random variables:
1 Y ∈ Γk ,
I Γk =  k = 1, 2K , M
0 otherwise
 Then a local random vector Yi is defined in each element Γi subject to
a conditional PDF
f (Yk )
fˆk ( Yk | I Γk = 1) =
Pr( I Γk = 1)
where J k = Pr( I Bk = 1) > 0
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An adaptive procedure
 Let us assume that the gPC expansion of random field in element k is
Np
uˆk (ξ k ) = ∑ uˆk , iψ k ,i (ξ k )
i =0
 From the orthogonality of gPC, the local variance approximated by PC

with order p is given by Np
σ k , p = ∑ uˆk2,i ψ i2
2
i =1
 The approximate global mean u and variance σ 2 can be expressed by

N N
u = ∑ uˆk ,0 Pr( I Bk = 1), σ = ∑ [σ k2, p + (uˆk ,0 − u ) 2 ]Pr( I B k = 1)
2
k =1 k =1
 Let γ k denote the error of local variance. We can write the exact global
variance as N
σ 2 = σ 2 + ∑ γ k Pr( I Bk = 1)
k =1
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 We define the local decay rate of relative error of the gPC approximation
in each element as follows:
∑
Np
σ 2
−σ 2
i = N p −1 +1
uˆk2,i ψ i2
k , p −1
ηk = k, p
=
σ k2, p σ k2, p
 Based on ηk and the scaled parameter Pr( I B = 1) , a random element will k
be selected for potential refinement when the following condition is

satisfied α
ηk Pr( I Bk = 1) ≥ θ1 , 0 <α <1
where α and θ1 are prescribed constants.
 Furthermore, in the selected random element k , we use another
threshold parameter θ 2 to choose the most sensitive random dimension.
We define the sensitivity of each random dimension as
(uˆi , p ) 2 ψ i2, p
ri = N p , i = 1, 2,K , d ,
∑ j = N p−1 +1 uˆ j ψ j
2 2
where we drop the subscript k for clarity and the subscript ⋅i , p denotes
the mode consisting only of random dimension Yi with polynomial order
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p
 All random dimensions which satisfy
ri ≥ θ 2 ⋅ max rj , 0 < θ2 < 1, i = 1, 2,K , d ,

j =1,K d
will be split into two equal random elements in the next time step
while all other random dimensions will remain unchanged.
 If Yk corresponds to element [a, b] in the original random space [−1,1] , the

a +b a+b
element [a, 2 ] and [ 2 , b] will be generated in the next level if the two
criteria are both satisfied.
 Through this adaptive procedure, we can reduce the total element

number while gaining the same accuracy and efficiency.
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An Example: K-O problem
So it can successfully resolve the discontinuity in stochastic space.

However, due to its gPC nature in each element and the tree like adaptive
refinement, this method still suffers from the curse of dimensionality.
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First summary
 The traditional gPC method fails when there are steep gradients/finite
discontinuities in stochastic space.
 gPC related method suffers from the so called curse of dimensionality
when the input stochastic dimension is large. High CPU cost for large
scale problems.
 Although the h-adaptive ME-gPC can successfully resolve discontinuity in
stochastic space, the number of element grows fast at the order O(2 N ) . So
the method is still a dimension-dependent method.
 Therefore, an adaptive framework utilizing local basis functions that
scales linearly with increasing dimensionality and has the decoupled
nature of the MC method, offers greater promise in efficiently and
accurately representing high-dimensional non-smooth stochastic
functions.
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Collocation based framework
The stochastic variable at a point in the domain is an N dimensional
function. f : ¡ → ¡
N
The gPC method approximates this N dimensional function using a

spectral element discretization (which causes the coupled set of
equations)
Spectral descretization represents the

function as a linear combination of sets of
orthogonal polynomials.
Instead of a spectral discretization, use
other kinds of polynomial approximations
Use simple interpolation!
That is, sample the function at some points
and construct a polynomial approximation
f :¡ N
→¡
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Collocation based framework
Need to represent this function
f :¡ N
→¡
Sample the function at a finite
set of points Θ M = {Y }i =1
(i ) M
Use polynomials (Lagrange

polynomials) to get a
approximate
M
representation
I f (Y ) = ∑ f (Y ( i ) )a i (Y ( i ) )
i =1
Stochastic function in 2 dimensions Function value at any point is

simply I f (ξ )
Spatial domain is approximated using a FE, FD, or FV discretization.
Stochastic domain is approximated using multidimensional
interpolating functions
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From one-dimension to higher dimensions
 Denote the one dimensional interpolation formula as
with the set of support nodes:
 In higher dimension, a simple case is the tensor product formula
For instance, if M=10 dimensions and we use k points in each direction

Number of points Total number of This quickly becomes impossible to use.
in each direction, sampling points
k
2 1024 One idea is only to pick the
3 59049 most important points from the
4 1.05x106 tensor product grid.
5 9.76x106
10 1x1010
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Conventional sparse grid collocation (CSGC)
In higher dimensions, not all the points are
1D sampling
equally important.
Some points contribute less to the
accuracy of the solution (e.g. points where
the function is very smooth, regions where Tensor
the function is linear, etc.). Discard the product
points that contribute less: SPARSE GRID
COLLOCATION
2D sampling
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Conventional sparse grid collocation
 Both piecewise linear as well as polynomial functions, L, can be used to
construct the full tensor product formula above.
 The Smolyak construction starts from this full tensor product
representation and discards some multi-indices to construct the minimal
representation of the function
 Define the differential interpolant, ∆ as the difference between two
interpolating approximations
∆i = U i − U i −1 with U 0 = 0
 The sparse grid interpolation of the function f is given by
Aq , N ( f ) = ∑ (∆ i1 ⊗ L ∆ iN )( f )
i ≤q
where i = i1 + L + id , is the multi-index representation of the support

nodes. N is the dimension of the function f and q is an integer (q>N).
k = q-N is called the depth of the interpolation. As q is increased more
and more points are sampled.
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Conventional sparse grid collocation
 The interpolant can be represented in a recursive manner as
Aq , N ( f ) = ∑ ( ∆ i1 ⊗ L ∆ iN )( f ) = Aq −1, N ( f ) + ∑ ( ∆i1 ⊗ L ∆iN )( f ) with AN −1, N = 0
i ≤q i =q
 Can increase the accuracy of the interpolant based on Smolyak’s

construction WITHOUT having to discard previous results.
 Can build on previous interpolants due to the recursive formulation
 To compute the interpolant Aq ,N , one only needs the function values at
the sparse grid point given by:
H q , N = U ( X i1 × ...× X iN )
q − N +1≤ |i|≤ q
One could select the sets X i , in a nested fashion such that X i ⊂ X i +1

 Similar to the interpolant representation in a recursive form, the
sparse grid points can be represented as:
H q ,M = H q −1, M U ∆H q ,M
with ∆H q ,M = U ( X ∆i1 × ...× X ∆iM ) and X ∆ = X \ X
i i i −1
|i | = q
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Choice of collocation points and nodal basis functions
 One of the choice is the Clenshaw-Curtis grid at non-equidistant extrema
of the Chebyshev polynomials. ( D.Xiu etc, 2005, F. Nobile etc, 2006)
 By doing so, the resulting sets are nested. The corresponding univariate
nodal basis functions are Lagrangian characteristic polynomials:
 There are two problems with this grid:

(1) The basis function is of global support, so it will fail when there is
discontinuity in the stochastic space.
(2) The nodes are pre-determined, so it is not suitable for implementation
of adaptivity.
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Choice of collocation points and nodal basis functions
 Therefore, we propose to use the Newton-Cotes grid using equidistant
support nodes and use the linear hat function as the univariate nodal
basis. 1
Y ji − 21−i Y ji Y ji + 21−i
 It is noted that the resulting grid points are also nested and the grid has
the same number of points as that of the Clenshaw-Curtis grid.
 Comparing with the Lagrangian polynomial, the piecewise linear hat
function has a local support, so it is expected to resolve discontinuities in
the stochastic space.
 The N-dimensional multi-linear basis functions can be constructed using
tensor products:
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Comparison of the two grids
Clenshaw-Curtis grid Newton-Cotes grid
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From nodal basis to multivariate hierarchical basis
 We start from the 1D interpolating formula. By definition, we have
with and
we can obtain
since we have
For simplifying the notation, we consecutively number the elements in X ∆i ,

and denote the j-th point of X ∆i as Y ji
hierarchical
surplus
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Nodal basis vs. hierarchical basis
Nodal basis Hierarchical basis
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Multi-dimensional hierarchical basis
 For the multi-dimensional case, we define a new multi-index set
which leads to the following definition of hierarchical basis
 Now apply the 1D hierarchical interpolation formula to obtain the sparse

grid interpolation formula for the multivariate case in a hierarchical form:
Here we define the hierarchical surplus as:
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Error estimate
Depending on the order of the one-dimensional interpolant, one can come

up with error bounds on the approximating quality of the interpolant1,2 .
If piecewise linear 1D interpolating functions are used to construct the
sparse interpolant, the error estimate is given by:
f − Aq , N ( f ) = O (M −2 | log2 M |3( N−1) )
∞
Where N is the number of sampling points,
If 1D polynomial interpolation functions are used, the error bound is:
f − Aq , N ( f ) = O (M − k | log2 M | (k+ 2)(N+ 1)+ 1)
∞
assuming that f has k continuous derivatives
1. V. Barthelmann, E. Novak and K. Ritter, High dimensional polynomial interpolation on sparse grids,
Adv. Comput. Math. 12 (2000), 273–288
2. E. Novak, K. Ritter, R. Schmitt and A. Steinbauer,
On an interpolatory method for high dimensional integration, J. Comp. Appl. Math. 112 (1999),
215–228
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Hierarchical integration
 So now, any function u ∈ Γ can now be approximated by the following
reduced form
 It is just a simple weighted sum of the value of the basis for all collocation
points in the current sparse grid. Therefore, we can easily extract the
useful statistics of the solution from it.
 For example, we can sample independently N times from the uniform
distribution [0,1] to obtain one random vector Y, then we can place this
vector into the above expression to obtain one realization of the solution.
In this way, it is easy to plot realizations of the solution as well as the PDF.
 The mean of the random solution can be evaluated as follows:
where the probability density function ρ ( Y ) is 1 since we have assumed

uniform random variables on a unit hypercube [0,1]N .
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 The 1D version of the integral in the equation above can be evaluated
analytically:
 Since the random variables are assumed independent of each other, the
value of the multi-dimensional integral is simply the product of the 1D
integrals.
 Denoting we rewrite the mean as
 Thus, the mean is just an arithmetic sum of the hierarchical surpluses and
the integral weights at each interpolation point.
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 To obtain the variance of the solution, we need to first obtain an
approximate expression for u 2
 Then the variance of the solution can be computed as
 Therefore, it is easy to extract the mean and variance analytically, thus

we only have the interpolation error. This is one of the advantages to use
this interpolation based collocation method rather than quadrature based
collocation method.
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Adaptive sparse grid collocation (ASGC)
 Let us first revisit the 1D hierarchical interpolation
 For smooth functions, the hierarchical
surpluses tend to zero as the interpolation w12 w22
w13 w23
level increases.
 On the other hand, for non-smooth function,
steep gradients/finite discontinuities are indicated
by the magnitude of the hierarchical surplus. y11
 The bigger the magnitude is, the stronger the y12 y22
underlying discontinuity is. y23
y13
 Therefore, the hierarchical surplus is a natural
candidate for error control and implementation y14 y24
of adaptivity. If the hierarchical surplus is
larger than a pre-defined value (threshold), we
simply add the 2N neighbor points of the
current point.
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Adaptive sparse grid collocation
 As we mentioned before, by using the equidistant nodes, it is easy to
refine the grid locally around the non-smooth region.
 It is easy to see this if we consider the 1D equidistant points of the sparse
grid as a tree-like data structure
 Then we can consider the interpolation

level of a grid point Y as the depth of the
tree D(Y). For example, the level of point
0.25 is 3.
 Denote the father of a grid point as F(Y),
where the father of the root 0.5 is itself,
i.e. F(0.5) = 0.5.
 Thus the conventional sparse grid in N-
dimensional random space can be
reconsidered as
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 Thus, we denote the sons of a grid point Y = ( Y1 ,K , YN ) by
 From this definition, it is noted that, in general, for

each grid point there are two sons in each
dimension, therefore, for a grid point in a N-
dimensional stochastic space, there are 2N sons.
 The sons are also the neighbor points of the father,
which are just the support nodes of the hierarchical
basis functions in the next interpolation level.
 By adding the neighbor points, we actually add the
support nodes from the next interpolation level, i.e.
we perform interpolation from level |i| to level |i|+1.
 Therefore, in this way, we refine the grid locally
while not violating the developments of the
Smolyak algorithm
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 To construct the sparse grid, we can either work through the multi-index
or the hierarchical basis. However, in order to adaptively refine the grid,
we need to work through the hierarchical basis. Here we first show the
equivalence of these two ways in a two dimensional domain.
 We always start from the multi-index (1, 1), which means the interpolation
level in first dimension is 1, in second dimension is also 1.
 For level 1, the associated point is only 0.5.
 So the tensor product of the coordinate is
0.5 ⊗ 0.5 = (0.5, 0.5)
 Thus, for interpolation level 0 of smolyak
construction, we have
A( N , N ) = w(0.5, 0.5)a(1,1)
(1,1)
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 Recalling, we define the interpolation level k as AN + k , N .
 So, now we come to the next interpolation level,k = 1, i = 3
For this requirement, the following two multi-indices are satisfied:
(1, 2), (2,1)
Let us look at the index (1,2)
i1 = 1 The associated set of points is 0.5 (j=1).
i2 = 2 The associated set of points is 0 (j=1) and 1 (j=2).
So the tensor product is
(0.5) ⊗ (0,1) = (0.5, 0), (0.5,1)

Then the associated sum is
(1,2)
w(0.5, 0)a(1,1) + w(0.5,1)a1,2
1,2
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 In the same way, for multi-index (2,1), we have the corresponding
collocation points
(0,1) ⊗ (0.5) = (0, 0.5), (1, 0.5)
So the associated sum is
(2,1)
w(0, 0.5)a(1,1) + w(1, 0.5)a2,1
2,1
Recall Aq , N ( f ) = ∑ (∆ 1 ⊗ L ∆ N )( f )
i i
i ≤q
So for Smolyak interpolation level 1, we have
( )
A2+1,2 = ∑ ∆i1 ⊗ L ⊗ ∆iN ( f ) = w(0.5, 0.5) a(1,1)
(1,1)
+ w(0.5, 0) a(1,1)
(1,2)
i ≤3
+ w(0.5,1) a1,2
1,2
+ w(0, 0.5)a(1,1)
(2,1)
+ w(1, 0.5)a2,1
2,1
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 So, from this equation, it is noted that we can store the points with the
surplus sequentially. When calculating interpolating value, we only
need to perform a simple sum of each term. We don’t need to search
for the point. Thus, it is very efficient to generate the realizations.
 Here, we give the first three level of multi-index and corresponding nodes.
(1,1) → (0.5, 0.5)

(1, 2) → (0.5, 0), (0.5,1)
(2,1) → (0, 0.5), (1, 0.5)
(2, 2) → (0, 0), (1, 0), (0,1), (1,1)
(1,3) → (0.5, 0.25), (0.5, 0.75)
(3,1) → (0.25, 0.5), (0.75, 0.5)
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 In fact, the most important formula is the following
From this equation, in order to calculate the surplus, we need the

interpolation value at just previous level. That is why it requires that we
construct the sparse grid level by level.
 Now, let us revisit the algorithm in a different view. we start from the
hierarchical basis. We still use the two-dimension grid as an example.
Recalling
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 As previous given, the first level in a sparse grid is always a point
(0.5,0.5). There is a possibility that the function value at this point is 0 and
thus the refinement terminates immediately. In order to avoid the early
stop for the refinement process, we always refine the first level and keep
a provision on the first few hierarchical surpluses.
 It is noted here, the associated multi-index with this point (0.5, 0.5) is
(1,1),i.e. (0.5, 0.5) → (1,1)
and it corresponds to level of interpolation k = 0.
So the associated sum is still
A( N , N ) = w(0.5, 0.5) a(1,1)

(1,1)
 Now if the surplus is larger than the threshold, we add sons

(neighbors) of this point to the grid.
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 In one-dimension, the sons of the point 0.5 are 0,1.
According to the definition, the sons of the point (0.5,0.5) are
(0, 0.5), (1, 0.5), (0.5, 0), (0.5,1)
which are just the points in the level 1 of sparse grid. Indeed,
the associated multi-index is
(0, 0.5), (0,1) → (2,1), (0.5, 0), (0.5,1) → (1, 2)
Recalling when we start from multi-index
(1, 2) → (0.5, 0), (0.5,1), (2,1) → (0, 0.5), (1,0.5)
So actually, we can see they are equivalent.
 Now, let us summarize what we have
k = 1: (0, 0.5), (1, 0.5), (0.5, 0), (0.5,1)
So the associated sum is
(1,2)
w(0.5, 0)a(1,1) + w(0.5,1)a1,2
1,2
+ w(0, 0.5)a(1,1)
(2,1)
+ w(1, 0.5)a2,1
2,1
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 After calculating the hierarchical surplus, now we need to refine.
Here we assume we refine all of the points, i.e. threshold is 0.
 Notice here, all of the son points are actually from next
interpolation level, so we still construct the sparse grid level by level.
 First, in one dimension, the sons of point 0 is 0.25, 1 is 0.75.
 So the sons of each point in this level are:
(0, 0.5) → (0.25, 0.5), (0,1), (0, 0)
(1, 0.5) → (0.75, 0.5), (1,1), (1, 0)
(0.5, 0) → (0.5, 0.25), (1, 0), (0, 0)
(0.5,1) → (0.5, 0.75), (1,1), (0,1)
 Notice here, we have some redundant points. Therefore, it is important
to keep track of the uniqueness of the newly generated (active) points.
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 After delete the same points, and arrange ,we can have
(0, 0), (1, 0), (0,1), (1,1) → (2, 2)
(0.5, 0.25), (0.5, 0.75) → (1,3)
(0.25, 0.5), (0.75, 0.5) → (3,1)
which are just all of the support nodes in k=2.
 Therefore, we can see by setting the threshold equal zero, conventional
sparse grid is exactly recovered.
 We actually work on point by point instead of the multi-index.
 In this way, we can control the local refinement of the point.
 Here, we equally treat each dimension locally, i.e., we still add the two
neighbor points in all N dimensions. So there are generally 2N son
(neighbor) points.
 If the discontinuity is along one dimension, this method can still detect it.
So in this way, we say this method can also detect the important dimension.
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Adaptive sparse grid collocation: implementation
 As shown before, we need to keep track of the uniqueness of the newly
active points.
 To this end, we use the data structure <set> from the standard template
library in C++ to store all the active points and we refer to this as the
active index set.
 Due to the sorted nature of the <set>, the searching and inserting is
always very efficient. Another advantage of using this data structure is
that it is easy for a parallel code implementation. Since we store all of
the active points from the next level in the <set>, we can evaluate the
surplus for each point in parallel, which increases the performance
significantly.
 In addition, when the discontinuity is very strong, the hierarchical
surpluses may decrease very slowly and the algorithm may not stop
until a sufficiently high interpolation level. Therefore, a maximum
interpolation level is always specified as another stopping criterion.
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Adaptive sparse grid collocation: Algorithms
 Let ε > 0 be the parameter for the adaptive refinement threshold. We propose the
following iterative algorithm beginning with a coarsest possible sparse grid , i.e.
with the N-dimensional multi-index i = (1,…,1), which is just the point (0.5,…,0.5).
1) Set level of Smolyak construction k = 0.

2) Construct the first level adaptive sparse grid .
• Calculate the function value at the point (0.5, …, 0.5).
• Generate the 2N neighbor points and add them to the active index set.
• Set k = k + 1;
3) While k ≤ kmax and the active index set is not empty
• Copy the points in the active index set to an old index set and clear the active index set.
• Calculate in parallel the hierarchical surplus of each point in the old index set according
to
Here, we use all of the existing collocation points in the current adaptive sparse grid
This allows us to evaluate the surplus for each point from the old index set in parallel.
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Adaptive sparse grid collocation: Algorithms
• For each point in the old index set, if
 Generate 2N neighbor points of the current active point according to the above
equation;
 Add them to the active index set.
• Add the points in the old index set to the existing adaptive sparse grid Now the
adaptive sparse grid becomes
• Set k = k + 1;
4) Calculate the mean and variance, the PDF and if needed realizations of the solution.
 In practice, instead of using surplus of the function value, it is sometimes preferable to

use surplus of the square of the function value as the error indicator. This is because
the hierarchical surplus is related to the calculation of the variance. In principle, we can
consider it like a local variance. Thus, is more sensitive to the local variation of the
stochastic function than .
 Error estimate of the adaptive interpolant
f − Aqε, N ( f ) ≤ f − Aq , N ( f ) + Aq , N ( f ) − Aεq , N ( f )
∞
= O (M −2 | log 2 M |3( N −1) ) + εC
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NUMERICAL EXAMPLES
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Adaptive sparse grid interpolation
Ability to detect and reconstruct steep gradients
1
f ( x, y ) = 1
|10 −3 − x 2 − y 2 | +10− 3 f ( x, y ) =
| 0.3 − x 2 − y 2 | +10 −1
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A dynamic system with discontinuity
 We consider the following governing equation for a particle moving under the
influence of a potential field and friction force:
d2X dX dh
+ f = − X ( t = 0 ) = x0 , dX / dt ( t = 0) = v0
dt 2 dt dx
If we set the potential field as h ( x ) = ( 35 / 8) x4 − ( 15 / 4) x 2, then the differential equation
has two stable fixed points x = ± 15 / 35 and an unstable fixed point at x = 0 .
 The stochastic version of this problem with random initial position in the interval
can be expressed as
d2X dX 35 3 15
2
+ f = − X + X,
dt dt 2 2
dX
with stochastic initial condition X ( t = 0, Y ) = X 0 + ∆X ⋅ Y , |t =0 = 0
dt
where X ( t , Y ) denotes the response of the stochastic system, X 0 ≡ ( x1 + x2 ) / 2,
[ −1,1] .
∆X =| x1 − x2 | / 2 Y [−1,1]
and is uniformly distributed random variable over .
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A dynamic system with discontinuity
 If we choose X 0 = 0.05, ∆X = 0.2 and a relatively large friction coefficient f = 2 , a
steady –state solution is achieved in a short time. The analytical steady-state
solution is given by
 X ( t → ∞, Y ) = − 15 / 35, Y < −0.25

 X ( t → ∞, Y ) = + 15 / 35, Y > −0.25
 This results in the following statistical moments
1
Ε  X ( t → ∞, Y )  = 15 / 35
4
45
Var  X ( t → ∞, Y )  =
112
 The analytic PDF is two dirac mass with unequal strength.
 In the following computations, the time integration of the ODE is performed using
a fourth-order Runge-Kutta scheme and a time step ∆t = 0.001 was used.
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Failure of gPC expansion
1 4
3.5
0.5
3
2.5
0
PDF
2
X
-0.5 1.5
1
-1
0.5
-1.5 0
-1 -0.5 0 0.5 1 -2 -1.5 -1 -0.5 0 0.5
Y Y
p = 10
1 3.5
3
0.5
2.5
0
2
PDF
X
1.5
-0.5
1
-1
0.5
-1.5 0
-1 -0.5 0 0.5 1 -2.5 -2 -1.5 -1 -0.5 0 0.5
Y Y
p = 20
Evolution of X (t , Y ) for 0 ≤ t ≤ 10 Solution at t = 10 PDF at t = 10
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0.3 0.43
0.25 0.42
0.2 0.41
0.15 0.4
Mean (X)
Var (X)
0.1 0.39
0.05 0.38
gPC gPC
0 Exact 0.37 Exact
-0.05 0.36
5 10 15 20 5 10 15 20
Order Order
Mean and variances exhibit oscillations with the increase of expansion

order
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0.5
Steady-state solution at t = 25
0
X
p=5
p = 10
p = 15
-0.5
p = 20
Exact
-1
-1 -0.5 0 0.5 1
Y
 Therefore, the gPC expansion fails to converge the exact solutions with
increasing expansion orders. It fails to capture the discontinuity in the
stochastic space due to its global support, which is the well known “Gibbs
phenomenon” when applying global spectral decomposition to problems with
discontinuity in the random space.
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Failure of Lagrange polynomial interpolation
1 10
0.8 9
0.6 8
0.4 7
0.2 6
PDF
0 5
X
-0.2 4
-0.4 3
-0.6 2
-0.8 1
-1 0
-1 -0.5 0 0.5 1 -1 -0.5 0 0.5 1
Y Y
k =5
0.8 35
0.6 30
0.4
25
0.2
20
PDF
0
X
15
-0.2
10
-0.4
-0.6 5
-0.8 0
-1 -0.5 0 0.5 1 -1 -0.5 0 0.5 1
Y Y
k = 10
Evolution of X (t, Y ) for 0 ≤ t ≤ 10 Solution at t = 10 PDF at t = 10
Much better than gPC, but still exhibit oscillation near discontinuity point.
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0.5 0.17
Lagrange Polynomial interpolation Lagrange Polynomial interpolation

Exact 0.168 Exact
0.4
0.166
Mean (X)
Mean (X)
0.3
0.164
0.2
0.162
0.1 0.16
2 4 6 8 10 12 10 11 12 13
Level Level
0.5 0.403
Lagrange Polynomial interpolation

0.45 Exact Lagrange Polynomial interpolation
Exact
0.4 0.402
Var (X)
Var (X)
0.35
0.3 0.401
0.25
0.2 0.4
2 4 6 8 10 12 10 11 12 13
Level Level
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1
0.5
0
Steady-state solution at t = 25
X
k=3
k=5
k=7
-0.5 k=9
Exact
-1
-1 -0.5 0 0.5 1
Y
 Similarly, the CSGC method with Lagrange polynomials also fails to capture
the discontinuity. However, better predictions of the low-order moments are
obtained than the gPC method. Though the results indeed converge, the
converged values are not accurate.
 Near the discontinuity point of the solution, there are still several wriggles,
which will not disappear even for higher interpolation levels.
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Sparse grid collocation with linear basis function
k =5 k = 10
Evolution of X (t , Y ) for 0 ≤ t ≤ 10
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Sparse grid collocation with linear basis function
1 60
50
0.5
40
PDF
0 30
X
k=3
k=5 20
k=7
-0.5 k=9
Exact
10
-1 0
-1 -0.75 -0.5 -0.25 0 0.25 0.5 0.75 1 -0.8 -0.6 -0.4 -0.2 0 0.2 0.4 0.6 0.8
Y Y
Solution at t = 25 PDF at t = 25
 Thus, it is correctly predicting the discontinuity behavior using linear basis
function. And it is also noted that there are no oscillations in the solutions
shown here.
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Adaptivity
-1
10 20
10-2
-3
10
15
Absolute error of variance
-4
10
10-5
Level
10
10-6
10-7 CSGC
ASGC: ε = 10-2
10-8 5
10-9
10-10 0
101 102 103 104 105 -1 -0.75 -0.5 -0.25 0 0.25 0.5 0.75 1
#Points Y
 For CSGC method, a maximum interpolation level of 15 is used and 32769

−5
points are need to reach accuracy of 1× 10 . For the ASGC method, a
maximum interpolation level of 30 is used. Only 115 number of points are
−10
required to achieve accuracy of 3 ×10 .
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Highly discontinuous solution
 Now we consider a more difficult problem. We set f = 0.05 , X 0 = 1 and ∆X = 0.1 .
All other conditions remain as before. The reduction of the friction coefficient,
together with higher initial energy will result in the oscillation of the particle for
several cycles between each of the two stable equilibrium points.
1.5 1
0.5
0.5
0
X
X
-0.5
-0.5
-1
-1.5
-1 -0.5 0 0.5 1 -1
Y -1 -0.5 0 0.5 1
Y
Failure of gPC (left) and polynomial interpolation (right) at t = 250s. The

failure of Lagrange polynomial interpolation is much more obvious.
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Highly discontinuous solution
k=4 k=6
0.8 0.8
0.6 0.6
0.4 0.4
0.2 0.2
0 0
X
X
-0.2 -0.2
Results using
-0.4 -0.4
the CSGC
-0.6 -0.6
-0.8 -0.8
method with
linear basis
-1 -0.5 0 0.5 1 -1 -0.5 0 0.5 1
Y Y
0.8
k=8
0.8
k = 10
functions.
0.6 0.6
0.4 0.4
0.2 0.2
0 0
X
-0.2 -0.2
-0.4 -0.4
-0.6 -0.6
-0.8 -0.8
-1 -0.5 0 0.5 1 -1 -0.5 0 0.5 1
Y Y
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The Kraichnan-Orszag three-mode problem
 The governing equations are (X.Wan, G. Karniadakis, 2005),
dx1
= x2 x3
dt
dx2
= x1 x3
dt
dx3
= −2 x1 x2
dt
subject to stochastic initial conditions:
x1 (0) = x1 (0; ω ), x2 (0) = x2 (0; ω ), x3 (0) = x3 (0; ω )
 There is a discontinuity when the random initial condition approaches

x1 = 1 and x2 = 1 (x1=x2) . So let us first look at the discontinuity in the
deterministic solution.
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1.5
x1(0) = 1, x2(0) = 0.95, x3(0) = 1
x1(0) = 1, x2(0) = 0.97, x3(0) = 1
x1(0) = 1, x2(0) = 0.99, x3(0) = 1
1 x1(0) = 1, x2(0) = 1.00, x3(0) = 1
0.5
x2
-0.5
-1
-1.5
0 5 10 15 20 25 30
Time
Singularity at plane x2 = 1
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 For computational convenience and clarity we first perform the following
transformation  2 2 
 0
2 2
 y1   x 
 y  = − 2 2  1
0   x2 
 2  2 2 (X.Wan, G. Karniadakis, 2005)
 y3    x 
 0 0 1  3 
 
 
 The resulting governing equations become:
dy1 dy2 dy3

= y1 y3 , = − y 2 y3 , = − y12 + y 22
dt dt dt
 The discontinuity then occurs at the planes y1 = 0 and y2 = 0 .
 Thus, we first study the stochastic response subject to the following

random 1D initial input:
y1 (0; ω ) = 1, y2 (0; ω ) = 0.1 Y (0; ω ), y3 (0; ω ) = 0
where Y : U (−1,1) . Since the random initial data y2 (0; ω ) can cross the plane
y2 = 0 we know that gPC will fail for this case.
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2
y1(0) = 0.1, y2(0) = 1.0, y3(0) = 1.0
y1(0) = 0.05, y2(0) = 1.0, y3(0) = 1.0
y1(0) = 0.02, y2(0) = 1.0, y3(0) = 1.0
1.5 y1(0) = 0.0, y2(0) = 1.0, y3(0) = 1.0
1
y1
0.5
-0.5
0 5 10 15 20 25 30
Time
Singularity at plane y1 = 0
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One-dimensional random input: variance
0.25 0.8
MC-SOBOL: 1,000,000 MC-SOBOL: 1,000,000
ASGC: ε = 10-1 ASGC: ε = 10-1
ASGC: ε = 10-2 ASGC: ε = 10-2
-3 -3
0.2 ASGC: ε = 10 ASGC: ε = 10
gPC: p = 30 0.6 gPC: p = 30
Variance of y1
Variance of y2
0.15
0.4
0.1 Var( y1 ) Var( y2 )

0.2
0.05
0 0
0 5 10 15 20 25 30 0 5 10 15 20 25 30
Time Time
0.8 MC-SOBOL: 1,000,000

ASGC: ε = 10-1
Var( y3 )
-2
ASGC: ε = 10
ASGC: ε = 10-3
gPC: p = 30
0.6
 gPC fails after t = 6s while the ASGC
Variance of y3
0.4
method converges even with a large
threshold. The solid line is the result
0.2 from MC-SOBOL sequence with 106
iterations.
0
0 5 10 15 20 25 30
Time
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One-dimensional random input: adaptive sparse grid
15
Adaptive
10
sparse grid
Level
with
5
ε = 10−2
0
-1 -0.5 0 0.5 1
Y
 From the adaptive sparse grid, it is seen that most of the refinement
after level 8 occurs around the discontinuity point Y = 0.0, which is
consistent with previous discussion.
 The refinement stops at level 16, which corresponds to 425 number of
points, while the conventional sparse grid requires 65537 points.
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One-dimensional random input
The ‘exact’
solution is taken
as the results
given by MC-
SOBOL
The error level

is defined as
max Var( yi ) − Var( yi ,MC ) t =30

i =1,2,3
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One-dimensional random input: long term behavior
0.2 1
MC-SOBOL: 1,000,000
0.9
MC-SOBOL: 1,000,000 ASGC: ε = 10-2
ASGC: ε = 10-2 ASGC: ε = 10-3
ASGC: ε = 10-3 0.8
0.15
0.7
Variance of y1
Mean of y1
0.6
0.1
0.5
0.4
0.05 0.3
0.2
0.1
0
0 20 40 60 80 100 0 20 40 60 80 100
Time Time
0.7 0.7 MC-SOBOL: 1,000,000

MC-SOBOL: 1,000,000 ASGC: ε = 10-2
ASGC: ε = 10
-2 ASGC: ε = 10-3
0.6 -3 0.6
ASGC: ε = 10
0.5 0.5
Variance of y2
Variance of y3
0.4 0.4
0.3 0.3
0.2 0.2
0.1 0.1
0 0
0 20 40 60 80 100 0 20 40 60 80 100
Time Time
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One-dimensional random input: Realizations
 These realizations are reconstructed using hierarchical surpluses. It is

seen that at earlier time, the discontinuity has not yet been developed,
which explains the reason that the gPC is accurate at earlier times.
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Two-dimensional random input
 Next, we study the K-O problem with 2D input:
y1 (0; ω ) = 1, y2 (0; ω ) = 0.1Y1 (0; ω ), y3 (0; ω ) = Y2 (0; ω )
 Now, instead of a point, the discontinuity region becomes a line.
0.25
MC-SOBOL: 1,000,000
1 ASGC: ε = 10-1
MC-SOBOL: 1,000,000 ASGC: ε = 10-2
-1
0.2 ASGC: ε = 10 ASGC: ε = 10-3
-2
ASGC: ε = 10 gPC: p = 10
ASGC: ε = 10
-3 0.8
gPC: p = 10
Variance of y1
Variance of y2
0.15
0.6
0.1
0.4
0.05 0.2
0 0
0 2 4 6 8 10 0 2 4 6 8 10
Time Time
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1
MC-SOBOL: 1,000,000
0.8 ASGC: ε = 10-1
ASGC: ε = 10-2
ASGC: ε = 10-3
gPC: p = 10 0.5
0.6
Variance of y3
Y2
0.4
-0.5
0.2
0 -1
0 2 4 6 8 10 -1 -0.5 0 0.5 1
Time Y1
 It can be seen that even though the gPC fails at a larger time, the
adaptive collocation method converges to the reference solution given
by MC-SOBOL with 106 iterations.
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The error level

is defined as
max Var( yi ) − Var( yi, MC ) t =10

i =1,2,3
The number of
points of the
conventional
grid with
interpolation 20
is 12582913.
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Two-dimensional random input: Long term behavior
-3 -3
x 10 x 10
5 3
4 ASGC: ε = 10-1 ASGC: ε = 10-1

2
3 ASGC: ε = 10-2 ASGC: ε = 10-2
Error in variance
ASGC: ε = 10-3 ASGC: ε = 10-3
Error in mean
2 1
1 0
0
-1
-1
-2 -2
0 10 20 30 40 50 0 10 20 30 40 50
Time Time
Error in the mean (left) and the variance (right) of y1 with different
thresholds for the 2D K-O problem in [0, 50].
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Three-dimensional random input
 Next, we study the K-O problem with 3D input:
y1 (0; ω ) = Y1 (0; ω ), y2 (0; ω ) = Y2 (0; ω ), y3 (0; ω ) = Y3 (0; ω )
 This problem is much more difficult than any of the other problems
examined previously. This is due to the strong discontinuity ( the
discontinuity region now consists of the planes Y1 = 0 and Y2 = 0) and the
moderately-high dimension.
 It can be verified from comparison with the result obtained by MC-SOBOL
that unlike the previous results, here 2 x 106 iterations are needed to
correctly resolve the discontinuity.
 Due to the symmetry of y1 and y2 and the corresponding random input,
the variances of y1 and y2 are the same.
 Finally, in order to show the accuracy of the current implementation of the

h-adaptive ME-gPC, we provide the results for this problem.
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Three-dimensional random input:ASGC
0.39 0.36
MC-SOBOL: 2,000,000 0.34 MC-SOBOL: 2,000,000

0.38 -1
ASGC: ε = 10-1
ASGC: ε = 10
ASGC: ε = 10-2 ASGC: ε = 10-2
ASGC: ε = 10-3 0.32 ASGC: ε = 10-3
0.37
Variance of y3
Variance of y1
0.3
0.36
0.28
0.35
0.26
0.34 0.24
0.33 0.22
0 1 2 3 4 5 6 7 8 9 10 0 1 2 3 4 5 6 7 8 9 10
Time Time
Evolution of the variance of y1=y2 (left) and y3 (right) for the 3D K-O
problem using ASGC
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Three-dimensional random input: ME-gPC
0.39 0.36
0.38 MC-SOBOL: 2,000,000 0.34 MC-SOBOL: 2,000,000

ME-gPC: p = 3 ME-gPC: p = 3
ME-gPC: p = 4 ME-gPC: p = 4
ME-gPC: p = 5 0.32 ME-gPC: p = 5
0.37 ME-gPC: p = 6 ME-gPC: p = 6
Variance of y1
Variance of y3
0.3
0.36
0.28
0.35
0.26
0.34 0.24
0.33 0.22
0 1 2 3 4 5 6 7 8 9 10 0 1 2 3 4 5 6 7 8 9 10
Time Time
Evolution of the variance of y1=y2 (left) and y3 (right) for the 3D K-O
problem using ME-gPC with θ1 = 10 and θ 2 = 10
−4 −3
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Three-dimensional random input
Due to the strong

discontinuity in this
problem, it took
much longer time
for both methods
to arrive at the
same accuracy.
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Stochastic elliptic problem
 In this example, we compare the convergence rate of the CSGC and
ASGC methods through a stochastic elliptic problem in two spatial
dimensions.
 As shown in previous examples, the ASGC method can accurately
capture the non-smooth region in the stochastic space. Therefore, when the
non-smooth region is along a particular dimension (i.e. one dimension is
more important than others), the ASGC method is expected to identify it
and resolve it.
 In this example, we demonstrate the ability of the ASGC method to detect
important dimensions when each dimension weigh unequally.
 This is similar to the dimension-adaptive method, especially in high
stochastic dimension problems.
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 Here, we adopt the model problem
−∇ ⋅ ( aN ( ω , ⋅ ) ∇u ( ω , ⋅ ) ) = f N ( ω , ⋅ ) in D × Γ
u ( ω , ⋅) = 0 on ∂ D × Γ
with the physical domain D = { x = ( x, y ) ∈ [ 0,1] } . To avoid introducing errors of
2
any significance from the domain discretization, we take a deterministic

smooth load f N ( ω , x, y ) = cos ( x ) sin ( y ) with homogeneous boundary conditions.
 The deterministic problem is solved using the finite element method with
900 bilinear quadrilateral elements. Furthermore, in order to eliminate the
errors associated with a numerical K-L expansion solver and to keep the
random diffusivity strictly positive, we construct the random diffusion
coefficient a ( ω,with
x) 1D spatial dependence as
N
1/ 2 − n −1 2 π 2 L2
( )
 πL N
log ( aN ( ω , x ) − 0.5) = 1 + ∑   e 8 cos( 2π x( n − 1) ) Yn ( ω)
n =1  2 
where Yn ( ω ) , n = 1,K N are independent uniformly distributed random variables
in the interval − 3, 3 
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 This expansion is similar to a K-L expansion of a 1D random field with
stationary covariance
 − ( x1 − x2 ) 2 
log ( aN ( ω , x ) − 0.5) ( x1 , x2 ) = exp  
L  2

 
 Small values of the correlation L correspond to a slow decay, i.e. each
stochastic dimension weighs almost equally. On the other hand, large
values of L results in fast decay rates, i.e., the first several stochastic
dimensions corresponds to large eigenvalues weigh relatively more.
 By using this expansion, it is assumed that we are given an analytic
stochastic input. Thus, there is no truncation error. This is different from the
discretization of a random filed using the K-L expansion, where for
different correlation lengths we keep different terms accordingly.
 In this example, we fix N and change L to adjust the importance of each

stochastic dimension. In this way, we investigate the effects of L on the
ability of the ASGC method to detect the important dimensions.
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Stochastic elliptic problem: N = 5
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Stochastic elliptic problem: N = 5
 We estimate the L2 ( D ) approximation error for the mean and variance.
Specifically, to estimate the computation error in the q-th level, we fix N
and compare the results at two consecutive levels, e.g. the error for the
mean is
E  Aq , N ( u N ) − Aq +1, N ( u N ) 
 The previous figures shows results for different correlation lengths at

N=5.
 For small L, the convergence rates for the CSGC and ASGC are nearly
the same. On the other hand, for large L, the ASGC method requires
much less number of collocation points than the CSGC for the same
accuracy.
 This is because more points are placed only along the important
dimensions which are associated with large eigenvalues.
 Next, we study some higher-dimensional cases. Due to the rapid increase
in the number of collocation points, we focus on moderate to higher
correlation lengths so that the ASGC is effective.
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Stochastic elliptic problem: higher-dimensions
#points:4193
Comparison:
CSGC: 3.5991x1011
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Stochastic elliptic problem: higher-dimensions
 In order to further verify our results, we compare the mean and the
variance when N = 75 using the AGSC method with ε = 10with −8
the ‘exact’
solution obtained by MC-SOBOL simulation with 106 iterations.
E ( Aq , N ( u N ) ) − E ( uMC )
E ( uMC )
Relative error of variance
Relative error of mean 0.0015

0.0004
0.0003 0.001
0.0002
0.0005
0.0001
0 0
0 0
0 0.2 0 0.2
0.2 0.2
0.4 0.4
0.4 0.4
0.6 x x
y 0.6 y 0.6
0.6
0.8 0.8 0.8
0.8
1 1 1 1
Computational time: ASGC : 0.5 hour MC: 2 hour
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Application to Rayleigh-Bénard instability
Cold wall θ = -0.5
1
Insulated
Insulated
0.75
0.5
Y
0.25
0
0 0.25 0.5 0.75 1
X
hot wall θ (ω )
 Filled with air (Pr = 0.7). Ra = 2500, which is larger than the critical
Rayleigh number, so that convection can be initialized by varying the hot
wall temperature. Thus, the hot wall temperature is assumed to be a
random variable.
 Prior stochastic simulation, several deterministic computations were
performed in order to find out the range where the critical point lies in.
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Rayleigh-Bénard instability: deterministic case
0
10
Evolution of the
10
-1 θh = 0.30 average kinetic
θh = 0.40
[K]1/2
θh = 0.50 energy for different

θh = 0.55
θh = 0.60 hot wall temperatures
θh = 0.70
10-2
10-3
20 40 60 80 100
Time
 As we know, below the critical temperature, the flow vanishes, which

corresponds to a decaying curve. On the other hand, the growing curve
represents the existence of heat convection. Therefore, the critical
temperature lies in the range [0.5,0.55].
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Rayleigh-Bénard instability: deterministic formulation
 Steady state Nusselt number which denotes the rate of heat transfer:
1 1 ∂θ
Nu ≡
θh − θc ∫0 ∂y y =0 dx
Nu = 1 → Conduction
Nu > 1 → Convection
 This again verifies the critical hot wall temperature lies in the range
[0.5,0.55]. However, the exact critical value is not known to us. So, now we
try to capture this unstable equilibrium using the ASGC method.
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Rayleigh-Bénard instability: stochastic formulation
 We assume the following stochastic boundary condition for the hot wall
temperature:
θ h = 0.4 + 0.3Y
where Y is a uniform random variable in the interval [0,1]. Following the
discussion before, both conductive and convective modes occur in this
range.
12
0.15
10
0.1
8
Level
δNu
6
0.05
0
2
0.4 0.45 0.5 0.55 0.6 0.65 0.7 0.4 0.45 0.5 0.55 0.6 0.65 0.7
θh θh
δ Nu = Nu − 1 0.541
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0.08 3
0.06
2
u
0.04
v
u 1
v
0.02
0 0
0.4 0.45 0.5 0.55 0.6 0.65 0.7

θh 0.4 0.45 0.5 0.55 0.6 0.65 0.7
θh
0.25
0.541
0.2
0.15
θ Solution of the
nonlinear: variables versus hot-
θ
0.1
0.05
convection wall temperature at
point (0.1,0.5)
0
Linear:
-0.05
0.4 0.45 0.5 0.55
θh
0.6 0.65 0.7 conduction
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Max = 0.436984 Max = 0.436984
0.35 0.35
0.25 0.25
0.15 0.15
0.05 0.05
-0.05 -0.05
-0.15 -0.15
-0.25 -0.25
-0.35 -0.35
-0.45 -0.45
 Prediction of the temperature when θ h = 0.436984 using ASGC (left) and the
solution of the deterministic problem using the sameθ h (right).
 Fluid flow vanishes, and the contour distribution of the temperature is
characterized by parallel horizontal lines which is a typical distribution for
heat conduction.
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Max = 4.33161 Max = 4.31858 Max = 0.667891
4 4 0.6
3 3 0.5
2 2 0.4
1 1 0.3
0 0 0.2
-1 -1 0.1
-2 -2 0
-3 -3 -0.1
-4 -4 -0.2
-0.3
-0.4
Max = 4.33384 Max = 4.3208 Max = 0.667891

4 4 0.6
3 3 0.5
2 2 0.4
1 1 0.3
0 0 0.2
-1 -1 0.1
-2 -2 0
-3 -3 -0.1
-4 -4 -0.2
-0.3
-0.4
 Prediction of the temperature when θ h = 0.66789 using ASGC (top) and the
solution of the deterministic problem using the same θ h (bottom).
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Rayleigh-Bénard instability: Mean
Max = 1.73709 Max = 1.73123 Max = 0.55
1.6 1.6 0.5

1.2 1.2 0.4
0.8 0.8 0.3
0.4 0.4 0.2
0 0 0.1
-0.4 -0.4 0
-0.8 -0.8 -0.1
-1.2 -1.2 -0.2
-1.6 -1.6 -0.3
-0.4
Max = 1.73715 Max = 1.73128 Max = 0.549918
1.6 1.6 0.5

1.2 1.2 0.4
0.8 0.8 0.3
0.4 0.4 0.2
0 0 0.1
-0.4 -0.4 0
-0.8 -0.8 -0.1
-1.2 -1.2 -0.2
-1.6 -1.6 -0.3
-0.4
ASGC (top) MC-SOBOL (bottom)

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Rayleigh-Bénard instability: Variance
Max = 3.30617 Max = 3.28535 Max = 0.0129218
3 3 0.012
2.6 2.6 0.011
2.2 2.2 0.01
1.8 1.8 0.009
1.4 1.4 0.008
1 1 0.007
0.6 0.6 0.006
0.2 0.2 0.005
0.004
0.003
0.002
0.001
Max = 3.29984 Max = 3.27903 Max = 0.0128783
3 3 0.012
2.6 2.6 0.011
2.2 2.2 0.01
1.8 1.8 0.009
1.4 1.4 0.008
1 1 0.007
0.6 0.6 0.006
0.2 0.2 0.005
0.004
0.003
0.002
0.001
ASGC (top) MC-SOBOL (bottom)

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Materials Process Design and Control Laboratory100
Conclusion
 An adaptive hierarchical sparse grid collocation method is developed
based on the error control of local hierarchical surpluses.
 Besides the detection of important and unimportant dimensions as
dimension-adaptive methods can do, additional singularity and local
behavior of the solution can also be revealed.
 By employing adaptivity, great computational saving is also achieved
than the conventional sparse grid method and traditional gPC related
method.
 Solution statistics is easily extracted with a higher accuracy due to the
analyticity of the linear basis function used.
 The current computational code is a highly efficient parallel program
and has a wider application in various uncertainty quantification area.
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Materials Process Design and Control Laboratory101

An Adaptive Hierarchical Sparse Grid Collocation Algorithm For The Solution

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An Adaptive Hierarchical Sparse Grid Collocation Algorithm For The Solution

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An adaptive hierarchical sparse grid

collocation algorithm for the solution of

Nicholas Zabaras and Xiang Ma

Symposium on `Numerical Methods for Stochastic Computation and Uncertainty Quantification'

where x = ( x1 , x2 ,K , xd ) are the coordinates in ¡ d , L is (linear/nonlinear) differential

A general stochastic process is a random field 3. Correlated data

Set the number of stochastic dimensions, N

 Deterministic functions ~ eigen-values, eigenvectors of

is the joint probability density of Y = ( Y1 ,L , YN ) with support

Askey polynomials in input

 Askey polynomials ~ type of input stochastic process

 Therefore, we need some method which can resolve the

Γ k = [ak ,1 , bk ,1 ) × [ak ,2 , bk ,2 ) ×L × [ak ,d , bk ,d ]

 From the orthogonality of gPC, the local variance approximated by PC

 The approximate global mean u and variance σ 2 can be expressed by

be selected for potential refinement when the following condition is

ri ≥ θ 2 ⋅ max rj , 0 < θ2 < 1, i = 1, 2,K , d ,

 If Yk corresponds to element [a, b] in the original random space [−1,1] , the

 Through this adaptive procedure, we can reduce the total element

So it can successfully resolve the discontinuity in stochastic space.

The gPC method approximates this N dimensional function using a

Spectral descretization represents the

Use polynomials (Lagrange

Stochastic function in 2 dimensions Function value at any point is

with the set of support nodes:

 In higher dimension, a simple case is the tensor product formula

For instance, if M=10 dimensions and we use k points in each direction

where i = i1 + L + id , is the multi-index representation of the support

 Can increase the accuracy of the interpolant based on Smolyak’s

One could select the sets X i , in a nested fashion such that X i ⊂ X i +1

 There are two problems with this grid:

Clenshaw-Curtis grid Newton-Cotes grid

For simplifying the notation, we consecutively number the elements in X ∆i ,

Nodal basis Hierarchical basis

which leads to the following definition of hierarchical basis

 Now apply the 1D hierarchical interpolation formula to obtain the sparse

Here we define the hierarchical surplus as:

Depending on the order of the one-dimensional interpolant, one can come

assuming that f has k continuous derivatives

where the probability density function ρ ( Y ) is 1 since we have assumed

 Then the variance of the solution can be computed as

 Therefore, it is easy to extract the mean and variance analytically, thus

 Then we can consider the interpolation

 From this definition, it is noted that, in general, for

(0.5) ⊗ (0,1) = (0.5, 0), (0.5,1)

So for Smolyak interpolation level 1, we have

(1,1) → (0.5, 0.5)

From this equation, in order to calculate the surplus, we need the

A( N , N ) = w(0.5, 0.5) a(1,1)

 Now if the surplus is larger than the threshold, we add sons

1) Set level of Smolyak construction k = 0.

 In practice, instead of using surplus of the function value, it is sometimes preferable to

 The analytic PDF is two dirac mass with unequal strength.

Mean and variances exhibit oscillations with the increase of expansion

Lagrange Polynomial interpolation Lagrange Polynomial interpolation

Lagrange Polynomial interpolation

 For CSGC method, a maximum interpolation level of 15 is used and 32769

Failure of gPC (left) and polynomial interpolation (right) at t = 250s. The

subject to stochastic initial conditions:

x1 (0) = x1 (0; ω ), x2 (0) = x2 (0; ω ), x3 (0) = x3 (0; ω )

 There is a discontinuity when the random initial condition approaches

dy1 dy2 dy3