Bayesian Model Updating Using Hybrid Monte Carlo Simulation with Application to Structural Dynamic Models with Many Uncertain Parameters
01 Apr 2009-Journal of Engineering Mechanics-asce (American Society of Civil Engineers)-Vol. 135, Iss: 4, pp 243-255
TL;DR: In this paper, the authors investigated the feasibility of the Hybrid Monte Carlo method to solve higher-dimensional Bayesian model updating problems and proposed a new formulae for Markov chain convergence assessment.
Abstract: In recent years, Bayesian model updating techniques based on measured data have been applied to system identification of structures and to structural health monitoring. A fully probabilistic Bayesian model updating approach provides a robust and rigorous framework for these applications due to its ability to characterize modeling uncertainties associated with the underlying structural system and to its exclusive foundation on the probability axioms. The plausibility of each structural model within a set of possible models, given the measured data, is quantified by the joint posterior probability density function of the model parameters. This Bayesian approach requires the evaluation of multidimensional integrals, and this usually cannot be done analytically. Recently, some Markov chain Monte Carlo simulation methods have been developed to solve the Bayesian model updating problem. However, in general, the efficiency of these proposed approaches is adversely affected by the dimension of the model parameter space. In this paper, the Hybrid Monte Carlo method is investigated (also known as Hamiltonian Markov chain method), and we show how it can be used to solve higher-dimensional Bayesian model updating problems. Practical issues for the feasibility of the Hybrid Monte Carlo method to such problems are addressed, and improvements are proposed to make it more effective and efficient for solving such model updating problems. New formulae for Markov chain convergence assessment are derived. The effectiveness of the proposed approach for Bayesian model updating of structural dynamic models with many uncertain parameters is illustrated with a simulated data example involving a ten-story building that has 31 model parameters to be updated.
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TL;DR: This application of Bayes' Theorem automatically applies a quantitative Ockham's razor that penalizes the data‐fit of more complex model classes that extract more information from the data.
Abstract: Probability logic with Bayesian updating provides a rigorous framework to quantify modeling uncertainty and perform system identification. It uses probability as a multi-valued propositional logic for plausible reasoning where the probability of a model is a measure of its relative plausibility within a set of models. System identification is thus viewed as inference about plausible system models and not as a quixotic quest for the true model. Instead of using system data to estimate the model parameters, Bayes' Theorem is used to update the relative plausibility of each model in a model class, which is a set of input–output probability models for the system and a probability distribution over this set that expresses the initial plausibility of each model. Robust predictive analyses informed by the system data use the entire model class with the probabilistic predictions of each model being weighed by its posterior probability. Additional robustness to modeling uncertainty comes from combining the robust predictions of each model class in a set of candidates for the system, where each contribution is weighed by the posterior probability of the model class. This application of Bayes' Theorem automatically applies a quantitative Ockham's razor that penalizes the data-fit of more complex model classes that extract more information from the data. Robust analyses involve integrals over parameter spaces that usually must be evaluated numerically by Laplace's method of asymptotic approximation or by Markov Chain Monte Carlo methods. An illustrative application is given using synthetic data corresponding to a structural health monitoring benchmark structure.
497 citations
Cites methods from "Bayesian Model Updating Using Hybri..."
...Various applications of Markov Chain Monte Carlo methods have been published recently for robust analysis, identification and health monitoring of structural dynamic systems; for example, calculating robust reliability [21,27], Bayesian updating of linear structural models for structural health monitoring using changes in modal parameter estimates [7,23], Bayesian updating and model class assessment of unidentifiable hysteretic structural models [8] and of dynamic structural models with a large number of uncertain parameters [25]....
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...Samples are generated from the posterior PDF pðhjD;MiÞ by using an MCMC (Markov chain Monte Carlo) method which is a hybrid algorithm based on TMCMC [22] and Hybrid MC [24,25]....
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TL;DR: In this paper, a non-probabilistic fuzzy approach and a probabilistic Bayesian approach for model updating for non-destructive damage assessment is presented. But the model updating problem is an inverse problem prone to ill-posedness and ill-conditioning.
338 citations
TL;DR: A review of kinetic uncertainty quantification in combustion chemistry can be found in this paper, where the authors provide a self-contained review about the mathematical principles and methods of uncertainty quantization and their application in highly complex, multi-parameter combustion chemistry problems.
233 citations
TL;DR: An algorithm for the implementation of BUS is proposed, which can be interpreted as an enhancement of the classic rejection sampling algorithm for Bayesian updating, and its efficiency is not dependent on the number of random variables in the model.
Abstract: Bayesian updating is a powerful method to learn and calibrate models with data and observations. Because of the difficulties involved in computing the high-dimensional integrals necessary for Bayesian updating, Markov chain Monte Carlo (MCMC) sampling methods have been developed and successfully applied for this task. The disadvantage of MCMC methods is the difficulty of ensuring the stationarity of the Markov chain. We present an alternative to MCMC that is particularly effective for updating mechanical and other computational models, termed Bayesian updating with structural reliability methods (BUS). With BUS, structural reliability methods are applied to compute the posterior distribution of uncertain model parameters and model outputs in general. An algorithm for the implementation of BUS is proposed, which can be interpreted as an enhancement of the classic rejection sampling algorithm for Bayesian updating. This algorithm is based on the subset simulation, and its efficiency is not dependent on the number of random variables in the model. The method is demonstrated by application to parameter identification in a dynamic system, Bayesian updating of the material parameters of a structural system, and Bayesian updating of a random field–based finite-element model of a geotechnical site.
186 citations
Cites methods from "Bayesian Model Updating Using Hybri..."
...Many authors have applied and adopted MCMC to Bayesian updating of mechanical models, including (Beck and Au 2002; Cheung and Beck 2009; Sundar and Manohar 2013)....
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...In the applications presented in this paper, the number of model evaluations required for Bayesian updating is on the order of 10(3) − 10(4), which is similar to existing state-of-the-art methods such as transitional MCMC proposed in (Ching and Chen 2007) or the hybrid MCMC approach of (Cheung and Beck 2009)....
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...…applications presented in this paper, the number of model evaluations required for Bayesian updating is on the order of 103 − 104, which is similar to existing state-of-the-art methods such as transitional MCMC proposed in (Ching and Chen 2007) or the hybrid MCMC approach of (Cheung and Beck 2009)....
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TL;DR: A short overview on stochastic modeling of uncertainties can be found in this paper, where the authors introduce the types of uncertainties, the variability of real systems, the type of probabilistic approaches, the representations for the stochastically models of uncertainties.
156 citations
Cites methods from "Bayesian Model Updating Using Hybri..."
...Many works have been published in the literature (see for instance textbooks on the Bayesian method such as [59, 60, 61, 62] and papers devoted to the use of the Bayesian method in the context of uncertain mechanical and dynamical systems such as [12, 128, 129, 130, 131, 132, 133]....
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References
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TL;DR: In this article, a modified Monte Carlo integration over configuration space is used to investigate the properties of a two-dimensional rigid-sphere system with a set of interacting individual molecules, and the results are compared to free volume equations of state and a four-term virial coefficient expansion.
Abstract: A general method, suitable for fast computing machines, for investigating such properties as equations of state for substances consisting of interacting individual molecules is described. The method consists of a modified Monte Carlo integration over configuration space. Results for the two‐dimensional rigid‐sphere system have been obtained on the Los Alamos MANIAC and are presented here. These results are compared to the free volume equation of state and to a four‐term virial coefficient expansion.
35,161 citations
TL;DR: The analogy between images and statistical mechanics systems is made and the analogous operation under the posterior distribution yields the maximum a posteriori (MAP) estimate of the image given the degraded observations, creating a highly parallel ``relaxation'' algorithm for MAP estimation.
Abstract: We make an analogy between images and statistical mechanics systems. Pixel gray levels and the presence and orientation of edges are viewed as states of atoms or molecules in a lattice-like physical system. The assignment of an energy function in the physical system determines its Gibbs distribution. Because of the Gibbs distribution, Markov random field (MRF) equivalence, this assignment also determines an MRF image model. The energy function is a more convenient and natural mechanism for embodying picture attributes than are the local characteristics of the MRF. For a range of degradation mechanisms, including blurring, nonlinear deformations, and multiplicative or additive noise, the posterior distribution is an MRF with a structure akin to the image model. By the analogy, the posterior distribution defines another (imaginary) physical system. Gradual temperature reduction in the physical system isolates low energy states (``annealing''), or what is the same thing, the most probable states under the Gibbs distribution. The analogous operation under the posterior distribution yields the maximum a posteriori (MAP) estimate of the image given the degraded observations. The result is a highly parallel ``relaxation'' algorithm for MAP estimation. We establish convergence properties of the algorithm and we experiment with some simple pictures, for which good restorations are obtained at low signal-to-noise ratios.
18,761 citations
TL;DR: A generalization of the sampling method introduced by Metropolis et al. as mentioned in this paper is presented along with an exposition of the relevant theory, techniques of application and methods and difficulties of assessing the error in Monte Carlo estimates.
Abstract: SUMMARY A generalization of the sampling method introduced by Metropolis et al. (1953) is presented along with an exposition of the relevant theory, techniques of application and methods and difficulties of assessing the error in Monte Carlo estimates. Examples of the methods, including the generation of random orthogonal matrices and potential applications of the methods to numerical problems arising in statistics, are discussed. For numerical problems in a large number of dimensions, Monte Carlo methods are often more efficient than conventional numerical methods. However, implementation of the Monte Carlo methods requires sampling from high dimensional probability distributions and this may be very difficult and expensive in analysis and computer time. General methods for sampling from, or estimating expectations with respect to, such distributions are as follows. (i) If possible, factorize the distribution into the product of one-dimensional conditional distributions from which samples may be obtained. (ii) Use importance sampling, which may also be used for variance reduction. That is, in order to evaluate the integral J = X) p(x)dx = Ev(f), where p(x) is a probability density function, instead of obtaining independent samples XI, ..., Xv from p(x) and using the estimate J, = Zf(xi)/N, we instead obtain the sample from a distribution with density q(x) and use the estimate J2 = Y{f(xj)p(x1)}/{q(xj)N}. This may be advantageous if it is easier to sample from q(x) thanp(x), but it is a difficult method to use in a large number of dimensions, since the values of the weights w(xi) = p(x1)/q(xj) for reasonable values of N may all be extremely small, or a few may be extremely large. In estimating the probability of an event A, however, these difficulties may not be as serious since the only values of w(x) which are important are those for which x -A. Since the methods proposed by Trotter & Tukey (1956) for the estimation of conditional expectations require the use of importance sampling, the same difficulties may be encountered in their use. (iii) Use a simulation technique; that is, if it is difficult to sample directly from p(x) or if p(x) is unknown, sample from some distribution q(y) and obtain the sample x values as some function of the corresponding y values. If we want samples from the conditional dis
14,965 citations
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01 Jan 1999TL;DR: This new edition contains five completely new chapters covering new developments and has sold 4300 copies worldwide of the first edition (1999).
Abstract: We have sold 4300 copies worldwide of the first edition (1999). This new edition contains five completely new chapters covering new developments.
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TL;DR: In this article, a survey of elementary applications of probability theory can be found, including the following: 1. Plausible reasoning 2. The quantitative rules 3. Elementary sampling theory 4. Elementary hypothesis testing 5. Queer uses for probability theory 6. Elementary parameter estimation 7. The central, Gaussian or normal distribution 8. Sufficiency, ancillarity, and all that 9. Repetitive experiments, probability and frequency 10. Advanced applications: 11. Discrete prior probabilities, the entropy principle 12. Simple applications of decision theory 15.
Abstract: Foreword Preface Part I. Principles and Elementary Applications: 1. Plausible reasoning 2. The quantitative rules 3. Elementary sampling theory 4. Elementary hypothesis testing 5. Queer uses for probability theory 6. Elementary parameter estimation 7. The central, Gaussian or normal distribution 8. Sufficiency, ancillarity, and all that 9. Repetitive experiments, probability and frequency 10. Physics of 'random experiments' Part II. Advanced Applications: 11. Discrete prior probabilities, the entropy principle 12. Ignorance priors and transformation groups 13. Decision theory: historical background 14. Simple applications of decision theory 15. Paradoxes of probability theory 16. Orthodox methods: historical background 17. Principles and pathology of orthodox statistics 18. The Ap distribution and rule of succession 19. Physical measurements 20. Model comparison 21. Outliers and robustness 22. Introduction to communication theory References Appendix A. Other approaches to probability theory Appendix B. Mathematical formalities and style Appendix C. Convolutions and cumulants.
4,641 citations