ENBIS-18 in Nancy

2 – 25 September 2018; Ecoles des Mines, Nancy (France) Abstract submission: 20 December 2017 – 4 June 2018

Sequential Design of Experiments to Estimate a Probability of Failure in a Multi-Fidelity Stochastic Simulator

4 September 2018, 10:50 – 11:10


Submitted by
Séverine Demeyer
Séverine Demeyer (Laboratoire National de Métrologie et d'Essais), Rémi Stroh (Laboratoire National de Métrologie et d'Essais), Nicolas Fischer (Laboratoire National de Métrologie et d'Essais)
The use of computational codes has become common practice when experiments are not feasible or when their number is too parsimonious. The statistical modelling of numerical experiments with Gaussian processes yields a probabilistic decision framework to perform uncertainty quantification (UQ). Multifidelity simulators are considered here for their ability to further reduce computational costs of UQ studies by producing cheap low fidelity approximations of the system and costly high fidelity simulations. A sequential sampling strategy building on the stepwise uncertainty reduction (SUR) criterion is derived for multifidelity simulators (stochastic or deterministic) that compromises at each step between the cost of future observations and the expected reduction of uncertainty of the quantity of interest. The work is applied to a fire safety study to estimate the probability of failure of a smoke extraction system and its associated uncertainty.
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