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Publication# Structure-preserving approaches and data-driven closure modeling for model order reduction

Résumé

In this thesis, we propose model order reduction techniques for high-dimensional PDEs that preserve structures of the original problems and develop a closure modeling framework leveraging the Mori-Zwanzig formalism and recurrent neural networks. Since high-fidelity approximations of PDEs often result in a large number of degrees of freedom, the need for iterative evaluations for numerical optimizations and rapid feedback is computationally challenging.The first part of this thesis is devoted to conserving the high-dimensional equation's invariants, symmetries, and structures during the reduction process. Traditional reduction techniques are not guaranteed to yield stable reduced systems, even if the target problem is stable. In the context of fluid flows, the skew-symmetric structure of the problem entails the preservation of the kinetic energy of the system. By preserving the same structure at the level of the reduced model, we obtain enhanced stability, and accuracy and the reduced model acquires physical significance by preserving a surrogate of the energy of the original problem. Next, we focus on Hamiltonian systems, which, being driven by symmetry, are a source of great interest in the reduction community. It is well known that the breaking of these symmetries in the reduced model is accompanied by a blowup of the system energy and flow volume. In this thesis, geometric reduced models for Hamiltonian systems are further developed and combined with the dynamically orthogonal methods, addressing the poor reducibility in time of advection-dominated problems. The reduced solution is expressed as a linear combination of a finite number of modes and coincides with the symplectic projection of the high-fidelity Hamiltonian problem onto the tangent space of the approximating manifold. An error surrogate is used to monitor the approximation ability of the reduced model and make a change in the rank of the approximating system if necessary. The method is further developed through a combination of DEIM and DMD to reduce non-polynomial nonlinearities while preserving the symplectic structure of the problem and applied to the Vlasov-Poisson system.In the second part of the thesis, we consider several data-driven methods to address the poor accuracy in the under-resolved regime for Galerkin reduced models via a closure term. The closure term is developed systematically from the Mori-Zwanzig formalism by introducing projection operators on the spaces of resolved and unresolved scales, thus resulting in an additional memory integral term. The interaction between different scales turns out to be nonlocal in time and dominated by a high-dimensional orthogonal dynamics equation, which cannot be solved precisely and efficiently. Several classical methods in the field of statistical mechanics are used to approximate the memory term, exploiting the finiteness of the memory kernel support. We conclude this thesis by showing through numerical experiments how long short-term memory networks, i.e., machine learning structures characterized by feedback connections, represent a valid tool for approximating the additional memory term.

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In this work, we focus on the Dynamical Low Rank (DLR) approximation of PDEs equations with random parameters. This can be interpreted as a reduced basis method, where the approximate solution is expanded in separable form over a set of few deterministic basis functions at each time, with the peculiarity that both the deterministic modes and the stochastic coefficients are computed on the fly and are free to adapt in time so as best describe the structure of the random solution. Our first goal is to generalize and reformulate in a variational setting the Dynamically Orthogonal (DO) method, proposed by Sapsis and Lermusiaux (2009) for the approximation of fluid dynamic problems with random initial conditions. The DO method is reinterpreted as a Galerkin projection of the governing equations onto the tangent space along the approximate trajectory to the manifold M_S , given by the collection of all functions which can be expressed as a sum of S linearly independent deterministic modes combined with S linearly independent stochastic modes. Depending on the parametrization of the tangent space, one obtains a set of nonlinear differential equations, suitable for numerical integration, for both the coefficients and the basis functions of the approximate solution. By formalizing the DLR variational principle for parabolic PDEs with random parameters we establish a precise link with similar techniques developed in different contexts such as the Multi-Configuration Time-Dependent Hartree method in quantum dynamics and the Dynamical Low-Rank approximation in the finite dimensional setting. By the use of curvature estimates for the approximation manifold M_S , we derive a theoretical bound for the approximation error of the S-terms DO solution by the corresponding S-terms best approximation at each time instant. The bound is applicable for full rank DLR approximate solutions on the largest time interval in which the best S-terms approximation is continuously differentiable in time. Secondly, we focus on parabolic equations, especially incompressible Navier-Stokes equations, with random Dirichlet boundary conditions and we propose a DLR technique which allows for the strong imposition of such boundary conditions. We show that the DLR variational principle can be set in the constrained manifold of all S rank random fields with a prescribed value on the boundary, expressed in low-rank format, with rank M smaller than S. We characterize the tangent space to the constrained manifold by means of the Dual Dynamically Orthogonal formulation, in which the stochastic modes are kept orthonormal and the deterministic modes satisfy suitable boundary conditions, consistent with the original problem. The same formulation is also used to conveniently include the incompressibility constraint when dealing with incompressible Navier-Stokes equations with random parameters. Finally, we extend the DLR approach for the approximation of wave equations with random parameters. We propose the Symplectic DO method, according to which the governing equation is rewritten in Hamiltonian form and the approximate solution is sought in the low dimensional manifold of all complex-valued random fields with fixed rank. Recast in the real setting, the approximate solution is expanded over a set of a few dynamical symplectic deterministic modes and satisfies the symplectic projection of the Hamiltonian system into the tangent space of the approximation manifold along the trajectory.

Eleonora Musharbash, Fabio Nobile

In this paper we propose a dynamical low-rank strategy for the approximation of second order wave equations with random parameters. The governing equation is rewritten in Hamiltonian form and the approximate solution is expanded over a set of $2S$ dynamical symplectic-orthogonal deterministic basis functions with timedependent stochastic coefficients. The reduced (low rank) dynamics is obtained by a symplectic projection of the governing Hamiltonian system onto the tangent space to the approximation manifold along the approximate trajectory. The proposed formulation is equivalent to recasting the governing Hamiltonian system in complex setting and looking for a dynamical low rank approximation in the low dimensional manifold of all complex-valued random fields with rank equal to $S$. Thanks to this equivalence, we are able to properly define the approximation manifold in the real setting, endow it with a differential structure and obtain a proper parametrization of its tangent space, in terms of orthogonal constraints on the dynamics of the deterministic modes. Finally, we recover the Symplectic Dynamically Orthogonal reduced order system for the evolution of both the stochastic coefficients and the deterministic basis of the approximate solution. This consists of a system of $S$ deterministic PDEs coupled to a reduced Hamiltonian system of dimension $2S$. As a result, the approximate solution preserves the mean Hamiltonian energy over the flow.

2017The quantification of uncertainties can be particularly challenging for problems requiring long-time integration as the structure of the random solution might considerably change over time. In this respect, dynamical low-rank approximation (DLRA) is very appealing. It can be seen as a reduced basis method, thus solvable at a relatively low computational cost, in which the solution is expanded as a linear combination of a few deterministic functions with random coefficients. The distinctive feature of the DLRA is that both the deterministic functions and random coefficients are computed on the fly and are free to evolve in time, thus adjusting at each time to the current structure of the random solution. This is achieved by suitably projecting the dynamics onto the tangent space of a manifold consisting of all random functions with a fixed rank. In this thesis, we aim at further analysing and applying the DLR methods to time-dependent problems.Our first work considers the DLRA of random parabolic equations and proposes a class of fully discrete numerical schemes.Similarly to the continuous DLRA, our schemes are shown to satisfy a discrete variational formulation.By exploiting this property, we establish the stability of our schemes: we show that our explicit and semi-implicit versions are conditionally stable under a ``parabolic'' type CFL condition which does not depend on the smallest singular value of the DLR solution; whereas our implicit scheme is unconditionally stable. Moreover, we show that, in certain cases, the semi-implicit scheme can be unconditionally stable if the randomness in the system is sufficiently small. The analysis is supported by numerical results showing the sharpness of the obtained stability conditions. The discrete variational formulation is further applied in our second work, which derives a-priori and a-posteriori error estimates for the discrete DLRA of a random parabolic equation obtained by the three newly-proposed schemes. Under the assumption that the right-hand side of the dynamical system lies in the tangent space up to a small remainder, we show that the solution converges with standard convergence rates w.r.t. the time, spatial, and stochastic discretization parameters, with constants independent of singular values.We follow by presenting a residual-based a-posteriori error estimation for a heat equation with a random forcing term and a random diffusion coefficient which is assumed to depend affinely on a finite number of independent random variables. The a-posteriori error estimate consists of four parts: the finite element method error, the time discretization error, the stochastic collocation error, and the rank truncation error. These estimators are then used to drive an adaptive choice of FE mesh, collocation points, time steps, and time-varying rank.The last part of the thesis examines the idea of applying the DLR method in data assimilation problems, in particular the filtering problem. We propose two new filtering algorithms. They both rely on complementing the DLRA with a Gaussian component. More precisely, the DLR portion captures the non-Gaussian features in an evolving low-dimensional subspace through interacting particles, whereas each particle carries a Gaussian distribution on the whole ambient space. We study the effectiveness of these algorithms on a filtering problem for the Lorenz-96 system.