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Results for “Multivariate Copulas”

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.

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11 records
All sourcesNASA NTRSDOE OSTI
DOE OSTI2020

Stochastic Simulation of Daily Suspended Sediment Concentration Using Multivariate Copulas

Estimation of daily suspended sediment concentration (SSC) is required for water resources and environment management. In this paper, a copula-based stochastic method was proposed for daily SSC simulation. Here, the multivariate copula function, constructed based on a bivariate copula and two bivariate conditional probability distributions, was used to model the temporal and cross dependence structures in daily SSCs. Then, the daily SSCs were generated by sampling from the multivariate conditional distribution. As a result, synthetic long-term SSCs data beyond the limited observation period can be provided for water resources managers, which plays a critical role in accurately estimating frequency and magnitude of extreme SSCs events. The proposed method was under rigorous examination by applying to a case study at Pingshan station in the Jinsha River Basin, China. Results showed that the generated daily SSC sequences not only had a high degree of accuracy in preserving the statistical characteristics of the daily SSC observations, but also captured both the temporal correlation and the cross-correlation between the daily streamflow and daily SSC. Specifically, the average daily relative error values corresponding to mean, standard deviation, skewness, lag-1 temporal correlation, and cross correlation were 0.87%, 4.24%, 7.52%, 0.51% and 2.02%, respectively. The multivariate copula framework proposed here can accurately and efficiently generate long-term daily SSC data for water resources management such as frequency analysis and risk assessment of extreme SSC events.

54 ENVIRONMENTAL SCIENCES↗
DOE OSTI2020

Closure to “Coincidence Risk Analysis of Floods Using Multivariate Copulas: Case Study of Jinsha River and Min River, China” by Yang Peng, Yulong Shi, Hongxiang Yan, Kai Chen, and Jipeng Zhang

We would like to thank the discusser for his comments on the coincidence flood risk modeling in Jinsha River and Min River, China. The discusser’s comment brings focus to the discussion of extreme-value selection methodology and historical flood information. In flood risk analysis, we acknowledge that there is always an alternative modeling approach that could be used to generate desired prediction results. In this comment, the discusser made two valuable points regarding the original paper, and the following two paragraphs provide our responses.

42 ENGINEERING↗
DOE OSTI2020

Multivariate Frequency Analysis of Annual Maxima Suspended Sediment Concentrations and Floods in the Jinsha River, China

Streamflow plays a critical role in sediment transport. Traditional frequency analysis of annual maximal (AM) suspended sediment concentrations (SSCs) is usually based on univariate distribution of SSCs and may provide a limited assessment of SSC state, leading to an underestimate or overestimate of the corresponding probability. To address this issue, we propose a multivariate frequency analysis framework is proposed for extreme sediment events using copula functions that account for the joint behavior of SSC and flood flow (i.e., peak discharge and volume). The uncertainties associated with copula modeling are also discussed. The Jinsha River in China is used as a case study. The results show that the copula-based multivariate method provides a more comprehensive assessment of extreme SSCs and their recurrence intervals than univariate frequency analysis. The uncertainty of copula modeling decreases with longer observation time and increases with larger return periods. The uncertainty ranges of the most likely design quantiles vary with different copulas, and the uncertainty range for the best-fit copula is not the smallest. This study is useful for the risk assessment of extreme SSC events under flood conditions.

42 ENGINEERING↗
DOE OSTI2024

Modeling Spatial Asymmetries in Teleconnected Extreme Temperatures

Abstract Combining strengths from deep learning and extreme value theory can help describe complex relationships between variables where extreme events have significant impacts (e.g., environmental or financial applications). Neural networks learn complicated nonlinear relationships from large datasets under limited parametric assumptions. By definition, the number of occurrences of extreme events is small, which limits the ability of the data-hungry, nonparametric neural network to describe rare events. Inspired by recent extreme cold winter weather events in North America caused by atmospheric blocking, we examine several probabilistic generative models for the entire multivariate probability distribution of daily boreal winter surface air temperature. We propose metrics to measure spatial asymmetries, such as long-range anticorrelated patterns that commonly appear in temperature fields during blocking events. Compared to vine copulas, the statistical standard for multivariate copula modeling, deep learning methods show improved ability to reproduce complicated asymmetries in the spatial distribution of ERA5 temperature reanalysis, including the spatial extent of in-sample extreme events.

Krock, Mitchell L.↗
DOE OSTI2020

A Data-Driven Nonparametric Approach for Probabilistic Load-Margin Assessment Considering Wind Power Penetration

A modern power system is characterized by an increasing penetration of wind power, which results in large uncertainties in its states. These uncertainties must be quantified properly; otherwise, the system security may be threatened. Facing this challenge, here we propose a cost-effective, data-driven approach to assessing a power system's load margin probabilistically. Using actual wind data, a kernel density estimator is applied to infer the nonparametric wind speed distributions, which are further merged into the framework of a vine copula. The latter enables us to simulate complex multivariate and highly dependent model inputs with a variety of bivariate copulae that precisely represent the tail dependence in the correlated samples. Furthermore, to reduce the prohibitive computational time of traditional Monte-Carlo simulations that process a large amount of samples, we propose to use a nonparametric, Gaussian-process-emulator-based reduced-order model to replace the original complicated continuation power-flow model through a Bayesian-learning framework. To accelerate the convergence rate of this Bayesian algorithm, a truncated polynomial chaos surrogate, which serves as a highly efficient, parametric Bayesian prior, is developed. This emulator allows us to execute the time-consuming continuation power-flow solver at the sampled values with a negligible computational cost. Results of simulations that are performed on several test systems reveal the impressive performance of the proposed method in the probabilistic load-margin assessment.

17 WIND ENERGY↗
DOE OSTI2025

Copula based Damage Detection for Structural Health Monitoring

This project utilizes copulas for damage detection in a Structural Health Monitoring (SHM) application. A copula-based system was chosen for the benefit of multivariate joint distribution with a goal to detect damage based on how the system as a whole reacts rather than one or two sensors by themselves. Copulas are commonly used in the field of finance for risk modeling based on two or more random inputs. A few applications in the field of SHM and Non-Destructive Evaluation (NDE) have been researched mostly on risk or reliability of the structure. The goal of this project is to determine if a copula-based approach can be used for damage detection. An unsupervised learning method was desired to reduce the dimensionality, minimal training, and be a faster evaluation method than other unsupervised methods. If a copula method can be used to detect damage what additional information on the damage can be interpreted. The remainder of this report will go over the background needed, SHM methodology, SHM applications, conclusions, and future developments.

47 OTHER INSTRUMENTATION↗
DOE OSTI2021

An Iterative Response-Surface-Based Approach for Chance-Constrained AC Optimal Power Flow Considering Dependent Uncertainty

A modern power system is characterized by a stochastic variation of the loads and an increasing penetration of renewable energy generation, which results in large uncertainties in its states. These uncertainties bring formidable challenges to the power system planning and operation process. To address these challenges, we propose a cost-effective, iterative response-surface-based approach for the chance-constrained AC optimal power-flow problem that aims to ensure the secure operation of the power systems considering dependent uncertainties. Starting from a stochastic-sampling-based framework, we first utilize the copula theory to simulate the dependence among multivariate uncertain inputs. Then, to reduce the prohibitive computational time required in the traditional Monte-Carlo method, we propose, instead of using the original complicated power-system model, to rely on a polynomial-chaos-based response surface. This response surface allows us to efficiently evaluate the time-consuming power-system model at arbitrary distributed sampled values with a negligible computational cost. This further enables us to efficiently conduct an online stochastic testing for the system states that not only screens out the statistical active constraints, but also assists in a better design of the tightened bounds without using any Gaussian or symmetric assumption. Finally, an iterative procedure is executed to fine-tune the optimal solution that better satisfies a predefined probability. The simulations conducted in multiple test systems demonstrate the excellent performance of the proposed method.

24 POWER TRANSMISSION AND DISTRIBUTION↗
DOE OSTI2020

On the quantification and efficient propagation of imprecise probabilities with copula dependence

This paper addresses the problem of quantification and propagation of uncertainties associated with dependence modeling when data for characterizing probability models are limited. Practically, the system inputs are often assumed to be mutually independent or correlated by a multivariate Gaussian distribution. However, this subjective assumption may introduce bias in the response estimate if the real dependence structure deviates from this assumption. In this work, we overcome this limitation by introducing a flexible copula dependence model to capture complex dependencies. Here, a hierarchical Bayesian multimodel approach is proposed to quantify uncertainty in dependence model-form and model parameters that result from small data sets. This approach begins by identifying, through Bayesian multimodel inference, a set of candidate marginal models and their corresponding model probabilities, and then estimating the uncertainty in the copula-based dependence structure, which is conditional on the marginals and their parameters. The overall uncertainties integrating marginals and copulas are probabilistically represented by an ensemble of multivariate candidate densities. A novel importance sampling reweighting approach is proposed to efficiently propagate the overall uncertainties through a computational model. Through an example studying the influence of constituent properties on the out-of-plane properties of transversely isotropic E-glass fiber composites, we show that the composite property with copula-based dependence model converges to the true estimate as data set size increases, while an independence or arbitrary Gaussian correlation assumption leads to a biased estimate.

72 PHYSICS OF ELEMENTARY PARTICLES AND FIELDS↗
DOE OSTI2023

A new method for detecting abrupt changes in the dependence among multivariate hydrological series based on moving cut total correlation

Knowledge of how to define and estimate the dependence among multivariate hydrological series is essential for detecting abrupt changes in the dependence. Here, in this paper, a new method (BMCTC) is proposed to detect all possible abrupt change points in the dependence among multivariate hydrological series. The total correlation estimated by the matrix-based Renyi's alpha-order entropy functional is firstly introduced to define and measure the dependence strength among multivariate hydrological series. Then, the moving cut total correlation (MCTC) sequence is built by the moving window technique, which is used to measure changes in the dependence strength among multivariate hydrological series. Finally, the Bernaola-Galvan algorithm is used to detect all change points of the MCTC sequence. Simulations are performed to compare the effectiveness of BMCTC with Pearson correlation (BMCPC) and Spearman correlation (BMCSC), Cramer-von Mises (CvM) and copula-based likelihood-ratio (CLR). The results show that all change points are detected by BMCTC regardless of the samples size, but wrong change points or no change points are detected by other methods in most cases. BMCTC is applied to detect change points in the dependence among annual runoff, precipitation and sediment discharge series in the Xiliugou and the Kuyehe River, China. It is found that the dependence among runoff, precipitation and sediment discharge changed abruptly in 1980 and 1996 in the Kuyehe River and in 1999 in the Xiliugou River. These changes are mainly caused by human activities such as construction of water conservancy projects and coal mining.

54 ENVIRONMENTAL SCIENCES↗
DOE OSTI2021

A machine learning approach to galaxy properties: joint redshift–stellar mass probability distributions with Random Forest

We demonstrate that highly accurate joint redshift–stellar mass probability distribution functions (PDFs) can be obtained using the Random Forest (RF) machine learning (ML) algorithm, even with few photometric bands available. As an example, we use the Dark Energy Survey (DES), combined with the COSMOS2015 catalogue for redshifts and stellar masses. We build two ML models: one containing deep photometry in the griz bands, and the second reflecting the photometric scatter present in the main DES survey, with carefully constructed representative training data in each case. We validate our joint PDFs for 10 699 test galaxies by utilizing the copula probability integral transform and the Kendall distribution function, and their univariate counterparts to validate the marginals. Benchmarked against a basic set-up of the template-fitting code bagpipes, our ML-based method outperforms template fitting on all of our predefined performance metrics. In addition to accuracy, the RF is extremely fast, able to compute joint PDFs for a million galaxies in just under 6 min with consumer computer hardware. Such speed enables PDFs to be derived in real time within analysis codes, solving potential storage issues. As part of this work we have developed galpro 1, a highly intuitive and efficient python package to rapidly generate multivariate PDFs on-the-fly. galpro is documented and available for researchers to use in their cosmology and galaxy evolution studies.

79 ASTRONOMY AND ASTROPHYSICS↗