Cristin-resultat-ID: 1953738
Sist endret: 11. november 2021, 14:45
Vitenskapelig artikkel

Adaptive stratified sampling for non-smooth problems

  • Per Pettersson og
  • Sebastian Krumscheid

ISSN 2331-8422

Om resultatet

Vitenskapelig artikkel
Publiseringsår: 2021
Publisert online: 2021

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Adaptive stratified sampling for non-smooth problems


Science and engineering problems subject to uncertainty are frequently both computationally expensive and feature nonsmooth parameter dependence, making standard Monte Carlo too slow, and excluding efficient use of accelerated uncertainty quantification methods relying on strict smoothness assumptions. To remedy these challenges, we propose an adaptive stratification method suitable for nonsmooth problems and with significantly reduced variance compared to Monte Carlo sampling. The stratification is iteratively refined and samples are added sequentially to satisfy an allocation criterion combining the benefits of proportional and optimal sampling. Theoretical estimates are provided for the expected performance and probability of failure to correctly estimate essential statistics. We devise a practical adaptive stratification method with strata of the same kind of geometrical shapes, cost-effective refinement satisfying a greedy variance reduction criterion. Numerical experiments corroborate the theoretical findings and exhibit speedups of up to three orders of magnitude compared to standard Monte Carlo sampling.


Per Pettersson

  • Tilknyttet:
    ved NORCE Energi ved NORCE Norwegian Research Centre AS

Sebastian Krumscheid

  • Tilknyttet:
    ved Rheinisch-Westfälische Technische Hochschule Aachen
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