ADAPTIVE STRATIFIED SAMPLING FOR NONSMOOTH PROBLEMS

International Journal for Uncertainty Quantification, vol. 12, pp. 71–99

Abstract

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, and cost-effective refinement satisfying a greedy variance reduction criterion. A Python implementation of the presented methodology is available at https://pypi.org/project/adaptive-stratification. Numerical experiments corroborate the theoretical findings and exhibit speedups of up to three orders of magnitude compared to standard Monte Carlo sampling.

Authors 2

1. Per Pettersson

   NORCE Research AS

   Affiliation as printed

   NORCE Norwegian Research Centre, N-5838 Bergen, Norway

2. Sebastian Krumscheid Aachen

   RWTH Aachen University

   Affiliation as printed

   RWTH Aachen University, 52072 Aachen, Germany