Entrance hall of the ICMS

Uncertainty Quantification

May 24, 2010 - May 28, 2010

Royal Society of Edinburgh, 22-26 George Street, Edinburgh EH2 2PQ

Organisers

Name Institution
Cliffe, Andrew University of Nottingham
Gunzburger, Max Florida State University
Houston, Paul University of Nottingham
Powell, Catherine University of Manchester

In deterministic modelling, complete knowledge of input parameters is assumed; this leads to simplified, tractable computations and produces simulations of outputs that correspond to specific choices of inputs. However, most physical, biological, social, economic and financial processes, etc, involve some degree of uncertainty. Uncertainty quantification (UQ) is the task of determining statistical information about the outputs of a process of interest, given only statistical (i.e., incomplete) information about the inputs. It has long been recognised that mathematical models need to account for uncertainty. The science of UQ has been in its infancy in any application areas until relatively recently but is now rapidly developing.  This workshop will concentrate on UQ for processes that are governed by partial differential equations (PDEs).

There is much current activity in disparate areas of mathematics that is relevant to UQ. Advances in analysis of stochastic PDEs are being made by numerical analysts and probabilists alike, although there is often very little communication between these groups. Other important advances are being made in sparse sampling methods in high dimensions, high-dimensional quadrature, approximation theory, statistics, computation and linear algebra. However, fundamental and challenging mathematical problems remain unsolved, in particular combating the so-called `curse of dimensionality' and solving problems in high dimension.

This workshop will bring together mathematicians, scientists and engineers from academia and industry researching all aspects of UQ.


We wish to thank the following organisations for their kind support: ICMS, LMS, the US National Science Foundation and the European Office of Aerospace Research and Development, Air Force Office of Scientific Research, United States Air Force Research Laboratory.

 

 

Report

The workshop report is available here

 

Arrangements

Participation is by invitation only. 

Venue
The workshop will be held in the Wolfson lecture theatre at the Royal Society of Edinburgh(RSE), 22-26 George Street. The Wellcome Room East and West will be used for poster sessions and catering. There is WiFi in the building.

Registration
Registration will take place in the lobby of the RSE on Monday 24 May. Exact time to be confirmed.

UK Visas
If you are travelling from overseas you may require an entry visa. A European visa does not guarantee entry to the UK. Please use this link to the UK Visas site to find out if you need a visa and if so how to apply for one.

Accommodation
ICMS will arrange en-suite rooms in hotels/guest houses, including breakfast, nearby for those who request this. Accommodation is typically about 10 to 20 minutes walk from the RSE. Delegates who have requested accommodation have been informed of accommodation details by e-mail. Internet access is not guaranteed. Participants making their own arrangements may claim back the cost, with original receipts, up to a maximum of 65.00 GBP per night bed and breakfast for a maximum of five or six nights. A list of Edinburgh accommodation of various sorts and prices is available here. Sections 1-3 are particularly relevant.

Map
This map may be helpful for delegates when making the way to the accommodation and to the conference venue.

Catering
Morning and afternoon tea/coffee/biscuits will be provided on each day of the workshop. A lunch sandwich buffet will be provided on Monday 24 May, Thursday 27 May and Friday 28 May. Thereafter, participants are free to explore the many cafés, sandwich shops, restaurants and bars nearby. 

There will be a reception on Monday 24 May, 2010 at 14 India Street, Edingburgh, EH3 6EZ.  This house is the birthplace of James Clerk Maxwell and is situated in the historic New Town of Edinburgh, near the city centre. There are plans for an informal dinner on Tuesday 25 May as well as a joint workshop dinner and Knowledge Transfer event on Thursday 27 May. The workshop grant will cover the cost of this catering. Spouses are welcome to join the informal dinner on Tuesday 25 May (although this has to be notified to Helene in advance, and the spouse will have to pay for their meal). The meal on Thursday 27 May is in a restaurant with a limited capacity, and we cannot guarantee that there is room for significant others to join. 

Travel
Information about travel to the UK and Edinburgh is available here

The airport bus costs 3.50 GBP for a single and 6.00 GBP for an open return journey. A taxi directly from the airport will cost approximately 15.00 to 20.00 GBP to the city centre for a one-way journey.

If travelling by train, please note that Edinburgh has two railway stations - Waverley Railway Station being the main station and closest to the workshop venue at 22-26 George Street. If you alight at Edinburgh Waverley, the workshop venue is an easy 10 minute walk. The second railway station is called Haymarket and is at the West End of the city centre.

In the light of recent travel disruptions across Europe due to the Icelandic volcano eruption: IF YOU EXPERIENCE ANY DELAYS TO YOUR TRAVEL TO EDINBURGH THAT WILL AFFECT WHICH DAY YOU ARRIVE, PLEASE ADVICE HELENE FROSSLING BY E-MAIL A.S.A.P. 

Insurance
All delegates have to make sure they have adequate travel insurance (and other applicable insurance policies) in place for their visit to Edinburgh.

Workshop Format
The workshop will begin with three short courses that will survey and summarise the state of the art in uncertainty quantification.

Numerical methods for partial differential equations having random inputs (Max Gunzberger)
Sparse Sampling Techniques (Ian Sloan)
Sensitivity Analysis and Dimension Reduction  (Andrea Saltelli)

For the rest of the workshop, each participant is invited to give a short talk and provide a poster. The talk should introduce the main points of the poster which can be discussed at greater length during the poster session. Posters must fit a poster board sized 87cm by 117cm, preferably portrait format. The poster may only be displayed during the allocated poster session, and delegates are responsible for making sure their own poster is displayed. The timetable for when posters should be displayed and removed can be found here. For those wishing to print their poster in Edinburgh, the following businesses offer printing services: ServicePoint, CopyCat and ProntaPrint. You can also consider The University of Edinburgh printing services. It is strongly recommended to contact your chosen printing services in advance to enquirew about times, formats, availability and cost.

On Thursday 27 May the focus of the workshop will be on knowledge transfer and interactions with industry.

There will be a future directions panel discussion on the last day of the workshop.

Contact
The conference is co-ordinated by Helene Frossling, ICMS.

Programme

Draft programme (updated 19 May)

Monday 24 May

08.00 - 08.50

Registration

08.50 - 09.00

Opening remarks

09.00 - 10.30

Max Gunzburger (Florida State University)
Tutorial 1: Numerical methods for partial differential equations having random inputs

10.30 - 11.00

Coffee

11.00 - 12.30

Max Gunzburger (Florida State University)
Tutorial 1: Numerical methods for partial differential equations having random inputs

12.30 - 14.00

Lunch Buffet in Wellcome Room East

14.00 - 15.30

Ian Sloan (University of New South Wales)
Tutorial 2: Sparse sampling techniques view presentation

15.30 - 16.00

Coffee

16.00 - 17.30

Ian Sloan (University of New South Wales)
Tutorial 2: Sparse sampling techniques view presentation

17.30 - 19.00

Wine reception at 14 India Street

 

Tuesday 25 May

09.00 - 10.30

Andrea Saltelli (JRC ISPRA)
Tutorial 3: Sensitivity analysis and dimension reduction

10.30 - 11.00

Coffee

11.00 - 12.30

Andrea Saltelli (JRC ISPRA)
Tutorial 3: Sensitivity analysis and dimension reduction

12.30 - 14.00

Lunch

14.00 - 14.15

Ed Allen ( Texas Tech University)
Derivation of SPDEs for randomly varying problems in physics, biology, or finance view presentation

14.15 - 14.30

Olivier Le Maitre (LIMSI)
Multi-resolution for stochastic hyperbolic systems view presentation

14.30 - 14.45

Joakim Hove (Statoil)
Uncertainty in the petroleum industry view presentation(part 1) (part 2)

14.45 - 15.00

Des Higham (University of Strathclyde)
Statistical inference in a zombie outbreak model: is it safe to go out yet? view presentation

15.00 - 15.15

Angela Kunoth (Universitaet Paderborn)
Multiscale methods for the valuation of American options with stochastic volatility view presentation

15.15 - 15.30

Peter Challenor (University of Southampton)
Using emulators to account for uncertainty in climate models view presentation

15.30 - 15.45

Sebastien Boyaval (Université Paris Est)
The reduced-basis method for uncertainty quantification view presentation

15.45 - 16.00

Rob Scheichl (University of Bath)
Novel Monte Carlo type methods for elliptic PDEs with random coefficients view presentation

16.00 - 16.30

Coffee

16.30 - 16.45

Aretha Teckentrup (University of Bath)
Multilevel Monte Carlo for partial differential equations with random coefficients view presentation

16.45 - 17.00

Eric Phipps (Sandia Labs)
Intrusive stochastic Galerkin methods for uncertainty quantification of nonlinear stochastic PDEs view presentation

17.00 - 17.15

Nathaniel Burch (Colorado State University)
Sensitivity analysis for solutions of elliptic PDEs on domains with randomly perturbed boundaries

17.15 - 17.30

Mike Christie (Heriot-Watt University)
Uncertainty quantification in reservoir modelling

17.30 - 17.45

Andrew Gordon (University of Manchester)
Solving stochastic collocation systems with algebraic multigrid

17.45 - 18.00

Ivan Graham (University of Bath)
Quasi-Monte Carlo methods for flow in porous media with random data view presentation

19.00

Dinner at Howie's Waterloo Place

 

Wednesday 26 May

09.00 - 09.15

Andrew Stuart (University of Warwick)
Bayesian well-posedness for inverse problems

09.15 - 09.30

Masoumeh Dashti (University of Warwick)
Bayesian approach to an elliptic inverse problem view presentation

09.30 - 11.30

Poster session 1

11.30 - 11.45

Oliver Ernst (TU Freiberg)
Efficient solution of large-scale covariance eigenproblems view presentation

11.45 - 12.00

Houman Owhadi (CalTech)
Optimal uncertainty quantification

12.00 - 12.15

Julia Charrier (ENS Cachan)
A weak error estimate for the solution of an elliptic partial differential equation with random coefficients view presentation

12.15 - 12.30

Tim Barth (NASA)
Propagation of statistical model parameter uncertainty in compressible flow simulations view presentation

12.30 - 14.00

Lunch

14.00 - 14.15

Sondipon Adhikari (University of Swansea)
Elliptic stochastic partial differential equations: An orthonormal vector basis approach

14.15 - 14.30

Michael Goldstein (University of Durham)
Bayesian uncertainty analysis for complex physical models view presentation

14.30 - 14.45

Marta D'Elia (Emory University)
A data assimilation technique for including noisy velocity measurements into Navier-Stokes simulations view presentation

14.45 - 15.00

Habib Najm (Sandia Labs)
Uncertainty quantification in reacting flow

15.00 - 15.15

Elisabeth Ullmann (TU Freiberg)
Iterative solvers for stochastic Galerkin discretizations of PDEs with random data view presentation

15.15 - 15.30

Tuhin Sahai (United Technologies Research Center)
Uncertainty quantification of hybrid dynamical systems view presentation

15.30 - 15.45

John Burkhardt (Virginia Tech)
Sparse grids for anisotropic problems view presentation

15.45 - 16.00

Nicholas Zabaras (Cornell University)
Model reduction for stochastic PDEs view presentation

16.00 - 16.30

Coffee

16.30 - 16.45

Yanzhao Cao (Auburn University)
Sparse grid collocation method for stochastic integral equations

16.45 - 17.00

Junping Wang (NSF)
Mathematics and computation of sediment transport in open channels view presentation

17.00 - 17.15

Howard Elman (University of Maryland)
Numerical solution algorithms for discrete partial differential equations with random data view presentation

17.15 - 17.30

Clayton Webster (Florida State University)
The analysis and applications of sparse grid stochastic collocation techniques within the context of uncertainty quantification

17.30 - 17.45

Doug Allaire (MIT)
A Bayesian-based approach to multi-fidelity multidisciplinary design optimization

17.45 - 18.00

Chad Liebermann (MIT)
Optimal design under uncertainty

 

Thursday 27 May

09.00 - 11.00

Poster session 2

11.00 - 11.15

Dongbin Xiu (Purduee University)
Uncertainty analysis for complex systems: algorithms and data

11.15 - 11.30

Keith Worden (University of Sheffield)
Bayesian sensitivity analysis of a heart valve model view presentation

11.30 - 11.45

Simon Tavener (Colorado State University)
Sensitivity analysis for parametrized nonlinear maps and o.d.e.s view presentation

11.45 - 12.00

Daniel Tartakovsky (University of California at San Diego)
PDF methods for uncertainty quantification view presentation

12.00 - 12.15

Hermann Matthies (TU Braunschweig)
Low rank-representation numerical methods for uncertainty quantification equations view presentation

12.15 - 12.30

Erik von Schwerin (KAUST)
Adaptive multi-level Monte Carlo simulation view presentation

12.30 - 14.00

Lunch Buffet in Wellcome Room East

14.00 - 16.00

Knowledge Transfer Event

14.00 - 14.20

David Kerridge (BGS)
Earthquakes, volcanoes and space weather; dealing with unpredictable natural hazards 

14.20 - 14.40

Hilmi Kurt-Elli  (Rolls Royce)
Vibration related examples of uncertainty issues in the design and validation of gas turbine components and systems view presentation

14.40 - 15.00

David Holton (SERCO)
Uncertainty quantification issues in radioactive waste disposal

15.00 - 15.20

Joakim Hove (Statoil)
Uncertainty quantification issues in the oil industry

15.20 - 16.00

Discussion

16.00 - 16.30

Coffee

16.30 - 17.30

Presentations by funding bodies

16.30 - 17.00

Fariba Fahroo (AFSOR)

17.00 - 17.30

Junping Wang (NSF)

19.00 

Dinner at The Magnum Restaurant



Friday 28 May

09.00 - 09.15

Jim Hall (University of Newcastle)
Calibration of flood models for risk analysis

09.15 - 09.30

Fabio Nobile (Politecnico di Milano) view presentation
Stochastic Galerkin and collocation methods for PDEs with random coefficients: a numerical comparison

09.30 - 09.45

Youssef Marzouk (MIT)
Tractable Bayesian inference and experimental design in complex physical systems view presentation

09.45 - 10.00

Hyung-Chun Lee ( Ajou University)
Approximation of an optimal control problem for stochastic PDEs view presentation

10.00 - 10.15

Tarek El Moselhy (MIT)
A dominant singular vectors approach for stochastic partial differential equations

10.15 - 10.30

Alexander Labovsky (Florida State University)
Effects of approximate deconvolution models on the solution models on the solution of the stochastic Navier-Stokes equations view presentation

10.30 - 11.00

Coffee break

11.00 - 11.15

Jon Helton (Sandia National Laboratories)
Uncertainty and sensitivity analysis in the 2008 performance assessment for the proposed Yucca Mountain repository for high-level radioactive waste
view presentation

11.15 - 11.30

Miroslav Stoyanov (Florida State University)
Stochastic peridynamics and finite temperature molecular dynamics view presentation

11.30 - 11.45

Alberto Giovanni Busetto (ETH Zurich)
Active uncertainty reduction for dynamical systems view presentation

11.45 - 12.05

Tony Shardlow (University of Manchester)
Milstein method for stochastic delay differential equations

12.05 - 14.00

Poster session 3 and Lunch buffet

14.00 - 15.00

Wrap-up session - Open Discussion on Future Directions in UQ

 

Presentations:

Presentation Details
Adhikari, Sondipon
Elliptic stochastic partial differential equations: An orthonormal vector basis approach
View Abstract Down
Allaire, Douglas
A Bayesian-Based Approach to Multi-Fidelity Multidisciplinary Design Optimization
View Abstract Down
Allen, Ed
Derivation of SPDEs for randomly varying problems in physics, biology, or finance
View Abstract Down
Barth, Tim
Propagation of Statistical Model Parameter Uncertainty in Compressible Flow Simulations
View Abstract Down
Boyaval, Sebastien
The reduced-basis method for uncertainty quantification
View Abstract Down
Burch, Nathanial
Sensitivity analysis for solutions of elliptic PDEs on domains with randomly perturbed boundaries
View Abstract Down
Burkardt, John
Sparse Grids for Anisotropic Problems
View Abstract Down
Busetto, Alberto Giovanni
Active Uncertainty Reduction for Dynamical Systems
View Abstract Down
Cao, Yanzhao
Sparse grid collocation method for stochastic integral equations
View Abstract Down
Challenor, Peter
Using emulators to account for uncertainty in climate models
View Abstract Down
Charrier, Julia
A weak error estimate for the solution of an elliptic partial differential equation with random coefficients
View Abstract Down
Christie, Mike
Uncertainty Quantification in Reservoir Modelling
View Abstract Down
D'Elia, Marta
A data assimilation technique for including noisy velocity measurements into Navier-Stokes simulations
View Abstract Down
Dashti, Masoumeh
Bayesian Approach to an Elliptic Inverse Problem
View Abstract Down
El Moselhy, Tarek
A Dominant Singular Vectors Approach for Stochastic Partial Differential Equations
View Abstract Down
Elman, Howard
Numerical Solution Algorithms for Discrete Partial Differential Equations with Random Data
View Abstract Down
Ernst, Oliver
Efficient Solution of Large-Scale Covariance Eigenproblems
View Abstract Down
Goldstein, Michael
Bayesian uncertainty analysis for complex physical models
View Abstract Down
Gordon, Andrew
Solving Stochastic collocation systems with algebraic multigrid
View Abstract Down
Graham, Ivan
Quasi-Monte Carlo Methods for flow in porous media with random data
View Abstract Down
Gunzburger, Max
Numerical methods for partial differential equations having random inputs
View Abstract Down
Hall, Jim
Calibration of flood models for risk analysis
View Abstract Down
Helton, Jon
Uncertainty and sensitivity analysis in performance assessment for the proposed high-level radioactive waste repository at Yucca Mountain, Nevada
View Abstract Down
Higham, Des
Statistical inference in a Zombie outbreak model: is it safe to go out yet?
View Abstract Down
Hove, Joakim
Uncertainty in the petroleum industry
View Abstract Down
Kunoth, Angela
Multiscale methods for the valuation of American options with stochastic volatility
View Abstract Down
Labovsky, Alexander
Effects of approximate deconvolution models on the solution of the stochastic Navier-Stokes equations
View Abstract Down
Le Maitre, Olivier
Multi-resolution for stochastic hyperbolic systems
View Abstract Down
Lee, Hyung-Chun
Approximation of an optimal control problem for Stochastic PDEs
View Abstract Down
Lieberman, Chad
Optimal design under uncertainty
View Abstract Down
Marzouk, Youssef
Tractable Bayesian inference and experimental design in complex physical systems
View Abstract Down
Matthies, Hermann
Low rank-representation numerical methods for uncertainty quantification equations
View Abstract Down
Najm, Habib
Uncertainty quantification in reacting flow
View Abstract Down
Nobile, Fabio
Stochastic Galerkin and collocation methods for PDEs with random coefficients: a numerical comparison
View Abstract Down
Owhadi, Houman
Optimal uncertainty quantification
View Abstract Down
Phipps, Eric
Intrusive Stochastic Galerkin methods for uncertainty quantification of nonlinear Stochastic PDEs
View Abstract Down
Sahai, Tuhin
Uncertainty quantification of hybrid dynamical systems
View Abstract Down
Scheichl, Rob
Novel Monte Carlo type methods for elliptic PDEs with random coefficients
View Abstract Down
Shardlow, Tony
Milstein method for stochastic delay differential equations
View Abstract Down
Sloan, Ian
High dimensional integration and approximation
View Abstract Down
Stoyanov, Miroslav
Stochastic Peridynamics and Finite Temperature Molecular Dynamics
View Abstract Down
Stuart, Andrew
Bayesian well-posedness for inverse problems
View Abstract Down
Tartakovsky, Daniel
PDF methods for uncertainty quantification
View Abstract Down
Tavener, Simon
Sensitivity analysis for parametrized nonlinear maps and o.d.e.s
View Abstract Down
Teckentrup, Aretha
Multilevel Monte Carlo for partial differential equations with random coefficients
View Abstract Down
Ullmann, Elisabeth
Iterative Solvers for Stochastic Galerkin discretizations of PDEs with random data
View Abstract Down
von Schwerin, Erik
Adaptive Multi Level Monte Carlo Simulation
View Abstract Down
Webster, Clayton
The analysis and applications of sparse grid stochastic collocation techniques within the context of uncertainty quanti cation
View Abstract Down
Worden, Keith
Bayesian sensitivity analysis of a heart valve model
View Abstract Down
Xiu, Dongbin
Uncertainty analysis for complex systems: algorithms and data
View Abstract Down
Zabaras, Nicholas
Model reduction for Stochastic PDEs
View Abstract Down

Participants

Name Institution
Adhikari, Sondipon Swansea University
Allaire, Douglas MIT
Allen, Ed Texas Tech University
Barth, Tim NASA Ames Reseach Center
Boyaval, Sebastien Université Paris Est
Burch, Nathanial Colorado State University
Burkardt, John Virginia Tech
Busetto, Alberto Giovanni ETH Zurich
Cao, Yanzhao Auburn University
Challenor, Peter University of Exeter
Charrier, Julia INRIA Rennes /ENS Cachan Bretagne
Christie, Mike Heriot-Watt University
Cliffe, Andrew University of Nottingham
Collis, Joe University of Nottingham
D'Elia, Marta Emory University
Dashti, Masoumeh University of Warwick
El Moselhy, Tarek MIT
Elman, Howard University of Maryland
Ernst, Oliver TU Bergakademie Freiberg
Fahroo, Fariba AFOSR
Goldstein, Michael Durham University
Gordon, Andrew University Of Manchester
Graham, Ivan University of Bath
Gunzburger, Max Florida State University
Hall, Jim Newcastle University
Helton, Jon Sandia National Laboratories
Higham, Des University of Strathclyde
Holton, David Serco
Houston, Paul University of Nottingham
Hove, Joakim Statoil
Kunoth, Angela Universitaet Paderborn
Kurt-Elli, Hilmi Rolls Royce
Labovsky, Alexander Florida State University
Law, Kody KAUST
Le Maitre, Olivier LIMSI
Lee, Hyung-Chun Ajou University
Lieberman, Chad MIT
Lord, Gabriel Heriot-Watt University
Marzouk, Youssef MIT
Matthies, Hermann TU Braunschweig
Najm, Habib Sandia National Laboratories
Nobile, Fabio Politecnico di Milano
Owhadi, Houman California Institute of Technology
Phipps, Eric Sandia National Laboratories
Powell, Catherine University of Manchester
Sahai, Tuhin United Technologies Research Center
Saltelli, Andrea JRC Ispra
Scheichl, Rob University of Bath
Shardlow, Tony
Silvester, David University of Manchester
Sloan, Ian University of New South Wales
Stoyanov, Miroslav Florida State University
Stuart, Andrew University of Warwick
Tartakovsky, Daniel University of California at San Diego
Tavener, Simon Colorado State University
Taylor, Phillip University of Manchester
Teckentrup, Aretha University of Warwick
Ullmann, Elisabeth TU Freiberg
Van Wyk, Hans-Werner Virginia Tech
von Schwerin, Erik KAUST
Wang, Junping NSF
Webster, Clayton Oak Ridge National Laboratory
Willcox, Karen MIT
Worden, Keith University of Sheffield
Xiu, Dongbin Purdue University
Zabaras, Nicholas Cornell University