Search NASA⌕ Search

SEARCH · Search NASA

Results for “Importance sampling”

Search indexed NASA NTRS and DOE OSTI research on propulsion, heat transfer, battery materials and energy systems. Follow report and document links to the original sources.

Quote a phrase for an exact phrase match. Source license links do not imply unrestricted reuse.

At least 55 records · Page 3
All sourcesNASA NTRSDOE OSTI
DOE OSTI2018

Convergence and Efficiency of Adaptive Importance Sampling Techniques with Partial Biasing

We propose a new Monte Carlo method to efficiently sample a multimodal distribution (known up to a normalization constant). We consider a generalization of the discrete-time Self Healing Umbrella Sampling method, which can also be seen as a generalization of well-tempered metadynamics. The dynamics is based on an adaptive importance technique. The importance function relies on the weights (namely the relative probabilities) of disjoint sets which form a partition of the space. These weights are unknown but are learnt on the fly yielding an adaptive algorithm. In the context of computational statistical physics, the logarithm of these weights is, up to an additive constant, the free-energy, and the discrete valued function defining the partition is called the collective variable. The algorithm falls into the general class of Wang–Landau type methods, and is a generalization of the original Self Healing Umbrella Sampling method in two ways: (i) the updating strategy leads to a larger penalization strength of already visited sets in order to escape more quickly from metastable states, and (ii) the target distribution is biased using only a fraction of the free-energy, in order to increase the effective sample size and reduce the variance of importance sampling estimators. We prove the convergence of the algorithm and analyze numerically its efficiency on a toy example.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2018

Importance sampling large deviations in nonequilibrium steady states. I

Large deviation functions hold information on the stability and response of systems driven into nonequilibrium steady states and in such a way are similar to free energies for systems at equilibrium. As with equilibrium free energies, evaluating large deviation functions numerically for all but the simplest systems is difficult because by construction they depend on exponentially rare events. In this first paper of a series, we assess different trajectory-based sampling methods capable of computing large deviation functions of time integrated observables within nonequilibrium steady states. We highlight some convergence criteria and best practices using a number of different models, including a biased Brownian walker, a driven lattice gas, and a model of self-assembly. We show how two popular methods for sampling trajectory ensembles, transition path sampling and diffusion Monte Carlo, suffer from exponentially diverging correlations in trajectory space as a function of the bias parameter when estimating large deviation functions. Improving the efficiencies of these algorithms requires introducing guiding functions for the trajectories.

74 ATOMIC AND MOLECULAR PHYSICS↗
DOE OSTI2023

nautilus : boosting Bayesian importance nested sampling with deep learning

ABSTRACT We introduce a novel approach to boost the efficiency of the importance nested sampling (INS) technique for Bayesian posterior and evidence estimation using deep learning. Unlike rejection-based sampling methods such as vanilla nested sampling (NS) or Markov chain Monte Carlo (MCMC) algorithms, importance sampling techniques can use all likelihood evaluations for posterior and evidence estimation. However, for efficient importance sampling, one needs proposal distributions that closely mimic the posterior distributions. We show how to combine INS with deep learning via neural network regression to accomplish this task. We also introduce nautilus, a reference open-source python implementation of this technique for Bayesian posterior and evidence estimation. We compare nautilus against popular NS and MCMC packages, including emcee, dynesty, ultranest, and pocomc, on a variety of challenging synthetic problems and real-world applications in exoplanet detection, galaxy SED fitting and cosmology. In all applications, the sampling efficiency of nautilus is substantially higher than that of all other samplers, often by more than an order of magnitude. Simultaneously, nautilus delivers highly accurate results and needs fewer likelihood evaluations than all other samplers tested. We also show that nautilus has good scaling with the dimensionality of the likelihood and is easily parallelizable to many CPUs.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2015

Preserving correlations between trajectories for efficient path sampling

Importance sampling of trajectories has proved a uniquely successful strategy for exploring rare dynamical behaviors of complex systems in an unbiased way. Carrying out this sampling, however, requires an ability to propose changes to dynamical pathways that are substantial, yet sufficiently modest to obtain reasonable acceptance rates. Satisfying this requirement becomes very challenging in the case of long trajectories, due to the characteristic divergences of chaotic dynamics. Here, we examine schemes for addressing this problem, which engineer correlation between a trial trajectory and its reference path, for instance using artificial forces. Our analysis is facilitated by a modern perspective on Markov chain Monte Carlo sampling, inspired by non-equilibrium statistical mechanics, which clarifies the types of sampling strategies that can scale to long trajectories. Viewed in this light, the most promising such strategy guides a trial trajectory by manipulating the sequence of random numbers that advance its stochastic time evolution, as done in a handful of existing methods. In cases where this “noise guidance” synchronizes trajectories effectively, as the Glauber dynamics of a two-dimensional Ising model, we show that efficient path sampling can be achieved for even very long trajectories.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2017

Calculating Probability Densities with Homotopy and Applications to Particle Filters

In this work, we explore a homotopy sampling procedure and its generalization, loosely based on importance sampling, known as annealed importance sampling. The procedure makes use of a known probability distribution to find, via homotopy, the unknown normalization of a target distribution, as well as samples of the target distribution. We propose a reformulation of the method that leads to a rejection sampling alternative. Estimates of the error as a function of homotopy stages and sample averages are derived for the algorithmic version of the method. These estimates are useful in making computational efficiency decisions on how the calculation should proceed, given a computer architecture. Consideration is given to how the procedure can be adapted to Bayesian stationary and nonstationary estimation problems. The connection between homotopy sampling and thermodynamic integration is made. Emphasis is placed on the non-stationary problems, and in particular, on a sequential estimation technique known as particle filtering. It is shown that a modification of the particle filter framework to include the homotopy process can improve the computational robustness of particle filters.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2017

Advances in the Assessment of Wind Turbine Operating Extreme Loads via More Efficient Calculation Approaches

A new adaptive stratified importance sampling (ASIS) method is proposed as an alternative approach for the calculation of the 50 year extreme load under operational conditions, as in design load case 1.1 of the the International Electrotechnical Commission design standard. ASIS combines elements of the binning and extrapolation technique, currently described by the standard, and of the importance sampling (IS) method to estimate load probability of exceedances (POEs). Whereas a Monte Carlo (MC) approach would lead to the sought level of POE with a daunting number of simulations, IS-based techniques are promising as they target the sampling of the input parameters on the parts of the distributions that are most responsible for the extreme loads, thus reducing the number of runs required. We compared the various methods on select load channels as output from FAST, an aero-hydro-servo-elastic tool for the design and analysis of wind turbines developed by the National Renewable Energy Laboratory (NREL). Our newly devised method, although still in its infancy in terms of tuning of the subparameters, is comparable to the others in terms of load estimation and its variance versus computational cost, and offers great promise going forward due to the incorporation of adaptivity into the already powerful importance sampling concept.

17 WIND ENERGY↗
DOE OSTI2026

CADIS and FW-CADIS Variance Reduction in Gamma Transport for Predicting Prompt Forensics Signatures

The goal of prompt nuclear forensics is to determine the characteristics of a nuclear detonation based on the signatures available almost immediately after the explosion. An important characteristic is the reaction time history (RTH), a measure of the device’s rate of neutron multiplication. The RTH can be estimated by observation of the gamma radiation emitted from the detonation, which can be detected directly or observed indirectly as Teller light. Gamma transport simulations used to predict these radiation fields are often modeled stochastically using the Monte Carlo N-Particle (MCNP) code, which can be a computationally demanding task due to the number of particle histories needed to achieve statistical convergence. In an attempt to improve the efficiency of these calculations, we evaluate two variance reduction techniques: Consistent Adjoint-Driven Importance Sampling (CADIS) and Forward-Weighted Consistent Adjoint-Driven Importance Sampling (FW-CADIS). These methods use a deterministically calculated adjoint flux to create weight windows and source biasing that guide MCNP sampling. We study the utility of CADIS and FW-CADIS for their use in MCNP gamma transport for nuclear forensics prediction simulations. Furthermore, the results demonstrate that both CADIS and FW-CADIS improve the accuracy for forensics-focused simulations, with CADIS being most beneficial in direct detection and FW-CADIS being ideal for computing a global Teller light source.

CADIS↗