MULTILEVEL QUASI-MONTE CARLO FOR INTERVAL ANALYSIS

Abstract

This paper presents a multilevel quasi-Monte Carlo method for interval analysis, as a computationally efficient method for high-dimensional linear models. Interval analysis typically requires a global optimization procedure to calculate the interval bounds on the output side of a computational model. The main issue of such a procedure is that it requires numerous full-scale model evaluations. Even when simplified approaches such as the vertex method are applied, the required number of model evaluations scales combinatorially with the number of input intervals. This increase in required model evaluations is especially problematic for highly detailed numerical models containing thousands or even millions of degrees of freedom. In the context of probabilistic forward uncertainty propagation, multifidelity techniques such as multilevel quasi-Monte Carlo show great potential to reduce the computational cost. However, their translation to an interval context is not straightforward due to the fundamental differences between interval and probabilistic methods. In this work, we introduce a multilevel quasi-Monte Carlo framework. First, the input intervals are transformed to Cauchy random variables. Then, based on these Cauchy random variables, a multilevel sampling is designed. Finally, the corresponding model responses are post-processed to estimate the intervals on the output quantities with high accuracy. Two numerical examples show that the technique is very efficient for a medium to a high number of input intervals. This is in comparison with traditional propagation approaches for interval analysis and with results well within a predefined tolerance.