Repository: Freie Universit├Ąt Berlin, Math Department

Hierarchical surrogate-based Approximate Bayesian Computation for an electric motor test bench

John, David N. and Stohrer, Livia and Schillings, Claudia and Schick, Michael and Heuveline, Vincent (2021) Hierarchical surrogate-based Approximate Bayesian Computation for an electric motor test bench. . . (Submitted)

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Official URL: https://doi.org/10.48550/arXiv.2106.09597

Abstract

Inferring parameter distributions of complex industrial systems from noisy time series data requires methods to deal with the uncertainty of the underlying data and the used simulation model. Bayesian inference is well suited for these uncertain inverse problems. Standard methods used to identify uncertain parameters are Markov Chain Monte Carlo (MCMC) methods with explicit evaluation of a likelihood function. However, if the likelihood is very complex, such that its evaluation is computationally expensive, or even unknown in its explicit form, Approximate Bayesian Computation (ABC) methods provide a promising alternative. In this work both methods are first applied to artificially generated data and second on a real world problem, by using data of an electric motor test bench. We show that both methods are able to infer the distribution of varying parameters with a Bayesian hierarchical approach. But the proposed ABC method is computationally much more efficient in order to achieve results with similar accuracy. We suggest to use summary statistics in order to reduce the dimension of the data which significantly increases the efficiency of the algorithm. Further the simulation model is replaced by a Polynomial Chaos Expansion (PCE) surrogate to speed up model evaluations. We proof consistency for the proposed surrogate-based ABC method with summary statistics under mild conditions on the (approximated) forward model. David N. John, Livia Stohrer, Claudia Schillings, Michael Schick, Vincent Heuveline

Item Type:Article
Subjects:Mathematical and Computer Sciences > Mathematics > Applied Mathematics
Divisions:Department of Mathematics and Computer Science > Institute of Mathematics > Deterministic and Stochastic PDEs Group
ID Code:2830
Deposited By: Ulrike Eickers
Deposited On:04 May 2022 05:57
Last Modified:04 May 2022 05:57

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