Stochastic optimization using a sparse grid collocation scheme

Abstract In computational sciences, optimization problems are frequently encountered in solving inverse problems for computing system parameters based on data measurements at specific sensor locations, or to perform design of system parameters. This task becomes increasingly complicated in the presence of uncertainties in boundary conditions or material properties. The task of computing the optimal probability density function (PDF) of parameters based on measurements of physical fields of interest in the form of a PDF, is posed as a stochastic optimization problem. This stochastic optimization problem is solved by dividing it into two problems—an auxiliary optimization problem to construct stochastic space representations from the PDF of measurement data, and a stochastic optimization problem to compute the PDF of problem parameters. The auxiliary optimization problem is solved using a downhill simplex method, whilst a gradient based approach is employed for solving the stochastic optimization problem. The gradients required for stochastic optimization are defined, using appropriate stochastic sensitivity problems. A computationally efficient sparse grid collocation scheme is utilized to compute the solution of these stochastic sensitivity problems. The implementation discussed, requires minimum intrusion into existing deterministic solvers, and it is thus applicable to a variety of problems. Numerical examples involving stochastic inverse heat conduction problems, contamination source identification problems and large deformation robust design problems are discussed.

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