REDUCED ORDER MODELING

HYBRID APPROACH HYBRID APPROACHFOR

UNCERTAINTY QUANTIFICATION,
SENSITIVITY ANALYSIS, AND
DATA ASSIMILATION
Workshop on Verification & Validation in
Computational Science
University of Notre Dam
Hany S. Abdel-Khalik, Assistant Professor
Department of Nuclear Engineering
October 17
th
, 2011
Department of Nuclear Engineering
North Carolina State University
OBJECTIVE
V&V is key to realizing promoted value of y g p
predictive science
Assuming we know how to V&V,
th t ti l ff t i till h l i the computational effort is still overwhelming:
Obtaining reference solutions
Verifying the solution y g
Quantifying uncertainties in the solution
Identifying key sources of uncertainties
R d i t i ti Reducing uncertainties
Needed is reduced order modeling that can preserve
accuracy of complex models y p
EXAMPLE: NUCLEAR REACTORS
Device that converts nuclear energy into gy
electricity via a thermodynamic cycle.
Nuclear energy is released primarily
i fi i f l f l via fission of nuclear fuel.
Physics governing behavior of nuclear reactor
include: include:
Radiation transport
Heat transport through the fuel
Fl id D i d Th l l i (Th l Fluid Dynamics and Thermal analysis (Thermal-
Hydraulics)
Chemistry
Fuel performance
Etc.
Nuclear Reactions
Interaction of single nuclear particles cannot be Interaction of single nuclear particles cannot be
predicted analytically.
However only ensemble average of interactions of However only ensemble average of interactions of
many particles can be statistically estimated.
The constant (cross section) characterizes probability

A B
A B C D R N N o + + =
The constant (cross-section) characterizes probability
of interaction between many particles of type A
and many particles with type B; and are and many particles with type B; and are
experimentally evaluated.
Cross-Section Resonances (Example) ( p )
U
238
cross-section uncertainty in resonance region U cross section uncertainty in resonance region
leads to 0.15%uncertainty in neutron multiplication
($600K in Fuel Cycle Cost)
21 eV
37 eV
66 eV 66 eV
EXAMPLE: NUCLEAR MODELS
Uranium is contained
in Ceramic fuel pellet
Fuel
Gapp
Clad
Stack is contained
Fuel pellets are
stacked together
Stack is contained
in metal rod
Rods are bundled
together in an assembly
Assemblies are combined
to create the reactor core Source: http://www.nei.org
SOURCES OF UNCERTAINTY
Input parameters
Parameters input to models are often measured or evaluated
by pre-processor models
Measurements and/or pre-process introduce uncertainties
Parameters uncertainties are the easiest to propagate Parameters uncertainties are the easiest to propagate
Numerical Discretization
Real complex models have no closed form solutions
Digitized forms of the continuous equations must be prepared g q p p
Numerical schemes vary in their stability and convergence properties
For well-behaved numerical schemes, numerical errors
can be estimated
M d l f Model form
Models are approximation to reality
The quality of approximation reflects level of insight into physical
phenomena. p
With more measurements, physicists are often able to
formulate better models
Most difficult to evaluate especially with limited measurements
OBJECTIVE: UNCERTAINTY MANAGEMENT
Employ UQ to estimate all possible outcomes and
their probabilities
Identify key sources of uncertainty and their Identify key sources of uncertainty and their
contribution to total uncertainty
Must be able to calculate the change in response due to
change in sources of uncertainty (sensitivity analysis SA)
Employ measurements to reduce epistemic
uncertainties
Must be able to correct for epistemic sources of
uncertainties to minimize differences between
measurements and predictions
(i bl k d t i il ti DA) (inverse problem, aka data assimilation DA)
UNCERTAINTY MANAGEMENT UNCERTAINTY MANAGEMENT
e
s

R
e
s
p
o
n
s
e
O
u
t
p
u
t

Input Parameters
MATHEMATICAL DESCRIPTION
Most real-world models consist of two stages: g
Constraints:
( )
, 0 x | H =
Response:
( )
, R x | = O
p
Example:
( )
, |
( ) ( ) ( ) ( )
( ).
a
D z z z z S z | | V V + E =
( ) ( ) ( ) ( )
( ) ( ) ( ) ( )
where
a d
x z D z z S z o = E (

( ) ( )
and
d
R z z dz o | =
}
UNCERTAINTY MANAGEMENT
REQUIREMENTS
To estimate uncertainty and sensitivities to y
enable UQ/SA/DA, one must calculate:
| | | A A A R R
R x
x x
|
|
| | A A A
A = + A
|
A A A
\ .
|
\ .
Indirect Effect
Direct Effect
( ) ( ) ( ) ( ) ( ) ( )
( ) ( ) ( )
( ) ( )
d d
d
R z z
R
x
x
R z
o o
o
+ A
A
A =
A

( ) ( ) ( )
( ) ( )
R z z
R
x
x
R z
| |
|
|
|
+ A
A A
A =
A A

R
R x
x
|
|
A A
A = A
A A
Sampling approach
Sample x and determine | and R
|
|
Perform statistical analysis on R
Employ (x, R) samples to estimate sensitivities of R wrt x
ROM approach pp
Response Surface Methods (RSM)
Use limited samples to find a ROM relating R and x
Sample the ROM many more times to get UQ results
Variational Methods
Bypass the evaluation of |, and directly find a ROM relating
Rs first order variations wrt x.
Use deterministic formula to get UQ; no further samples required Use deterministic formula to get UQ; no further samples required
Hybrid Subspace Methods
Employ variational methods to find first-order ROM
Sample ROM to find reduced set of input parameters x
rr
Use RSM to relate R and x
r
and get UQ results
PHILOSOPHY OF REDUCED ORDER MODELING PHILOSOPHY OF REDUCED ORDER MODELING
HOW TO DESCRIBE THE SHAPE OF A CURVE ON THE PHONE?
( )
image
x |
( )
x |
( ) | |
1 2
...
n
n
x | | | | e
( ) ( )
f ? | |
( ) ( )
Is for ?
image i
x x x x | | c s =
PHILOSOPHY OF REDUCED ORDER MODELING
HOW TO DESCRIBE THE SHAPE OF A CURVE ON THE PHONE?
PHILOSOPHY OF REDUCED ORDER MODELING
( )
i
x u
( )
image
x |
( )
x |
( ) ( ) ( ) ( )
1 1 2 2
....
r
r r
x x x x | u + u + + u e
( ) ( )
Is for all ?
image
x x x | | c s
Why is reduction possible in complex modeling?
Given the complexity of physics model, multi-scale strategies
are employed to render practical execution times
Multi-scale strategies are motivated by engineering intuition;
designers often interested in capturing macroscopic behavior designers often interested in capturing macroscopic behavior
Multi-scale strategies involve repeated
homogenization/averaging of fine-scale information to g g g
generate coarser information
Averaging = Integration = Lost degrees of Freedom
Why not design our solution algorithms to take advantage of
lost degrees of freedom?
Toy Problem Toy Problem
Consider:
i
j
b
1
2

x x i
x j
k
=
+
k
( )
2
y a x a x a x = + +
1 2 3
( ) ( , , ) y x y x x x =
a
3
x k +
( )
( )
1 1 2 2 3 3
4
1 1 2 2 3 3

y a x a x a x
b x b x b x
= + +
+ + +
i
( ) ( )
2 4
T T
y a x b x = +
| |
( )
2
R : active subspace
n
a b

= e A
A

( )
Toy Problem Toy Problem
Consider:
i
j
b
1
2

x x i
x j
k
=
+
k
( )
2
y a x a x a x = + +
1 2 3
( ) ( , , ) y x y x x x =
a
3
x k +
( )
( )
1 1 2 2 3 3
4
1 1 2 2 3 3

y a x a x a x
b x b x b x
= + +
+ + +
i
( ) ( )
2 4
T T
y a x b x = +
Note that:
( ) ( )
2 2 { , }
T T
dy
a x a b x b LC a b
d
= + =
( ) ( )
{ , }
dx
Modified Infinite Series Expansion Modified Infinite Series Expansion
Introduce modified Taylor Series Expansion: y
0 1 2 2
1 1
( ) ( ) ( ) ( )
n n
T T T
i i ij i j
i i j
y x y x x x o | o | |
= =
= + + + + +

1 , 1
3 3 3
( ) ( ) ( ) ...
i i j
n
T T T
ijk i j i
x x x o | | | + + + + +

This expression implies:

, , 1 i j k =
{ }
1 i
ij
dy
LC
d
|
=
=
{ }
1,...,
1,...,
i
ij
j n dx
|
=
=
Subspace Reduction Algorithm Subspace Reduction Algorithm
Assume matrix of influential directions is known
One can employ a rank revealing decomposition to find the
ff f
| |
11 12
...
n
n
| | |

= e A
effective range for
Range finding algorithm may be employed:
Employ random matrix vector products of the form:
A
Employ random matrix-vector products of the form:
Find the effective range:
, 1,...,
i i
q i r e = = A
g
Check the error:
| |
1
...
n r
r
q q

= e Q
( ) ( )
1,...,
2
10 max
T T
i
i s
e
t
=
> I QQ A I QQ A
Subspace Methods - Algorithm
I/O variability can be described by matrix operators
Given large dense operator A, find low rank approximation:
r
Matrix elements available:
1
T
i i i
i
s u v
=
=

A
A. Frieze, R. Kannan, and S. Vempala, Fast Monte Carlo algorithms
for finding low rank approximations, in Proc. 39th Ann. IEEE Symp.
Foundations of Computer Science (FOCS), 1998. p ( )
______, Fast Monte Carlo algorithms for finding low-rank
approximations, J. Assoc. Comput. Mach., 51 (2004)
Only matrix-(transpose)-vector product available: Only matrix (transpose) vector product available:
H. Abdel-Khalik, Adaptive Core Simulation, PhD, NCSU 2004.
P.-G. Martinsson, V. Rokhlin, and M. Tygert, A randomized algorithm
for the approximation of matrices Computer Science Dept Tech for the approximation of matrices, Computer Science Dept. Tech.
Report 1361, Yale Univ., New Haven, CT, 2006.
Singular Values Spectrum g p
e
1
s
How to determine a cut-off?
g
u
l
a
r

V
a
l
u
e
s
Well-Posed
S
i
n
g
2
s
3
s
4
s
s
Ill-Posed
Ill-Conditioned
r
r
u
| |
|
u
\ .
r
s
Singular Value Triplet Index
r \ .
Subspace-Based Hybridization: Approach #1
Forward
St t R d ti
Basic
Forward
State Reduction
Adjoint
Forward
Approach
Parameters State
Adjoint
Parameters Reduction
B i Adj i A h
Forward
Basic Adjoint Approach
Forward
Responses
Subspace-Based Hybridization: Approach #2
Methods Hybridization inside each components
Reduce subspace first, then employ forward method to
sample the reduced subspace
n
xe
m
y e
( ) r r
x e
Original
Mapping
g
Model
Mapping
Random Sampling of
1
st
Local Derivatives
Find Reduced
I P
1 Local Derivatives
Input Parameters
Example: Reactor Calculations
Parameters: Cross-sections = f(Isotope, Type, Energy)
10
2
-10
5
parameters
State: Flux = f(Space, Angle, Energy)
10
4
10
6
l 10
4
-10
6
state values
Responses: Power, Reaction Rates = f(space, time)
10
5
10
6
responses 10 -10 responses
Cross-section Fuel Assembly Reactor Core
ROM-based Flux Error
10
0

10
-4
10
-2
10
-6
10
-10
10
-8
14
10
-12
Residual of Flux Variation
Perturbed Flux
0 0.5 1 1.5 2 2.5
x 10
5
10
-14
Flux Variations Index

ROM-based Flux Error
10
-3
10
-4
10
-5
u
x

r
m
s
10
-6
F
l
u
8
10
-7
0 50 100 150 200 250 300 350
10
-8
Size of Active Subspace
SINGULAR VALUES
FOR TYPICAL REACTOR MODELS
10
0

r

V
a
l
u
e
10
5

S
i
n
g
u
l
a
r

V
ENDF
MG
10
e
l
a
t
i
v
e

S
i
n
MG
MG2
FG
10
10
R
e
l

FG
CA
10
0
10
2
10
Singular Value Index

CONCLUDING REMARKS
Most complex models can be ROMed. This is not p
coincidental due to the multi-scale strategy often
employed.
Recent research in engineering and applied
mathematics communities has shown that: mathematics communities has shown that:
It is possible to find ROM efficiently
One can preserve accuracy of original complex model
Hybrid algorithms appear to have potential of
leveraging the benefits of various ROM leveraging the benefits of various ROM
techniques
Thank you for your attention
abdelkhalik@ncsu.edu
UQ CHALLENGES:
CURRENTLY NOT ADDRESSED
Nonlinear non-smooth models
(e.g. bifurcated models and discrete type events)
Nonlinear models coupled with feedback
How to estimate uncertainties for low-probability How to estimate uncertainties for low probability
events, e.g. tails of probability distributions?
How to evaluate uncertainties on a routine basis for
multi-physics multi-scale models? multi physics multi scale models?
How to efficiently aggregate all sources of
uncertainties, including parameters, numerical, and
model form errors? model form errors?
How to identify validation domain beyond the
available experimental data?
How to design experiments that are most sensitive to How to design experiments that are most sensitive to
key sources of uncertainties?