Novel algorithm using Active Metamodel Learning and Importance Sampling: Application to multiple failure regions of low probability

• Published in: Journal of computational physics 2018-09, Vol.368, p.92-114
• Main Authors: Razaaly, Nassim, Congedo, Pietro Marco
• Format: Article
• Language: English
• Subjects: Algorithms; Cascades; Computational efficiency; Computational physics; Computer simulation; Failure; Fluid Dynamics; Gas turbine engines; Gas turbines; Ideal gas; Importance sampling; Low failure probability; Machine learning; Metamodels; Multiple failure regions; Normal distribution; Physical tests; Physics; Probability; Risk analysis; Risk assessment; Sampling; Simulation; Tail probability; Unbiased estimation
• ISSN: 0021-9991; 1090-2716
• DOI: 10.1016/j.jcp.2018.04.047

Calculation of tail probabilities is of fundamental importance in several domains, such as in risk assessment. One major challenge consists in the computation of low-failure probability in cases characterized by multiple-failure regions, especially when an unbiased estimation of the error is required. Methods developed in literature rely mostly on the construction of an adaptive surrogate, tackling some problems such as the metamodel building criterion and the global computational cost, at the price of a generally biased estimation of the failure probability. In this paper, we propose a novel algorithm suitable for low-failure probability and multiple-failure regions, permitting to both building an accurate metamodel and to provide a statistically consistent error. Indeed, an importance sampling technique is used, which is quasi-optimal since permits, by exploiting the knowledge of the metamodel, to provide two unbiased estimators of the failure probability. Additionally, a gaussian mixture-based importance sampling technique is proposed, permitting to drastically reduce the computational cost when estimating some reference values, or the failure probability directly from the metamodel. Several numerical examples are carried out, showing the very good performances of the proposed method with respect to the state-of-the-art in terms of accuracy and computational cost. A physical test-case, focused on the numerical simulation of non-ideal gas turbine cascades, is also investigated to illustrate the capabilities of the method on an industrial case.