Improved statistical models for limited datasets in uncertainty quantification using stochastic collocation

Aravind Alwan, N. R. Aluru

Research output: Contribution to journalArticlepeer-review


This paper presents a data-driven framework for performing uncertainty quantification (UQ) by choosing a stochastic model that accurately describes the sources of uncertainty in a system. This model is propagated through an appropriate response surface function that approximates the behavior of this system using stochastic collocation. Given a sample of data describing the uncertainty in the inputs, our goal is to estimate a probability density function (PDF) using the kernel moment matching (KMM) method so that this PDF can be used to accurately reproduce statistics like mean and variance of the response surface function. Instead of constraining the PDF to be optimal for a particular response function, we show that we can use the properties of stochastic collocation to make the estimated PDF optimal for a wide variety of response functions. We contrast this method with other traditional procedures that rely on the Maximum Likelihood approach, like kernel density estimation (KDE) and its adaptive modification (AKDE). We argue that this modified KMM method tries to preserve what is known from the given data and is the better approach when the available data is limited in quantity. We test the performance of these methods for both univariate and multivariate density estimation by sampling random datasets from known PDFs and then measuring the accuracy of the estimated PDFs, using the known PDF as a reference. Comparing the output mean and variance estimated with the empirical moments using the raw data sample as well as the actual moments using the known PDF, we show that the KMM method performs better than KDE and AKDE in predicting these moments with greater accuracy. This improvement in accuracy is also demonstrated for the case of UQ in electrostatic and electrothermomechanical microactuators. We show how our framework results in the accurate computation of statistics in micromechanical systems.

Original languageEnglish (US)
Pages (from-to)521-539
Number of pages19
JournalJournal of Computational Physics
StatePublished - Dec 15 2013


  • Density estimation
  • Microelectromechanical systems (MEMS)
  • Moment matching
  • Reproducing kernel Hilbert space (RKHS)
  • Stochastic collocation
  • Uncertainty quantification

ASJC Scopus subject areas

  • Computer Science Applications
  • Physics and Astronomy (miscellaneous)


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