Keith R. Dalbey

DAKOTA : a multilevel parallel object-oriented framework for design optimization, parameter estimation, uncertainty quantification, and sensitivity analysis.

The DAKOTA (Design Analysis Kit for Optimization and Terascale Applications) toolkit provides a e xible and extensible interface between simulation codes and iterative analysis methods. DAKOTA contains algorithms for

Dakota, a multilevel parallel object-oriented framework for design optimization, parameter estimation, uncertainty quantification, and sensitivity analysis version 6.0 theory manual

The Dakota (Design Analysis Kit for Optimization and Terascale Applications) toolkit provides a flexible and extensible interface between simulation codes and iterative analysis methods. Dakota contains algorithms for optimization with gradient and nongradient-based methods; uncertainty quantification with sampling, reliability, and stochastic expansion methods; parameter estimation with nonlinear least squares methods; and sensitivity/variance analysis with design of experiments and parameter study methods. These capabilities may be used on their own or as components within advanced strategies such as surrogate-based optimization, mixed integer nonlinear programming, or optimization under uncertainty. By employing object-oriented design to implement abstractions of the key components required for iterative systems analyses, the Dakota toolkit provides a flexible and extensible problem-solving environment for design and performance analysis of computational models on high performance computers. This report serves as a theoretical manual for selected algorithms implemented within the Dakota software. It is not intended as a comprehensive theoretical treatment, since a number of existing texts cover general optimization theory, statistical analysis, and other introductory topics. Rather, this manual is intended to summarize a set of Dakota-related research publications in the areas of surrogate-based optimization, uncertainty quantification, and optimization under uncertainty that provide the foundation for many of Dakota’s iterative analysis capabilities. Dakota Version 6.1 Theory Manual generated on November 7, 2014

k -d Darts: Sampling by k -dimensional flat searches

We formalize sampling a function using k-d darts. A k-d Dart is a set of independent, mutually orthogonal, k-dimensional hyperplanes called k-d flats. A dart has d choose k flats, aligned with the coordinate axes for efficiency. We show k-d darts are useful for exploring a functions properties, such as estimating its integral, or finding an exemplar above a threshold. We describe a recipe for converting some algorithms from point sampling to k-d dart sampling, if the function can be evaluated along a k-d flat. We demonstrate that k-d darts are more efficient than point-wise samples in high dimensions, depending on the characteristics of the domain: for example, the subregion of interest has small volume and evaluating the function along a flat is not too expensive. We present three concrete applications using line darts (1-d darts): relaxed maximal Poisson-disk sampling, high-quality rasterization of depth-of-field blur, and estimation of the probability of failure from a response surface for uncertainty quantification. Line darts achieve the same output fidelity as point sampling in less time. For Poisson-disk sampling, we use less memory, enabling the generation of larger point distributions in higher dimensions. Higher-dimensional darts provide greater accuracy for a particular volume estimation problem.

Fast Generation of Space-filling Latin Hypercube Sample Designs.

Latin Hypercube Sampling (LHS) and Jittered Sampling (JS) both achieve better convergence than standard Monte Carlo Sampling (MCS) by using stratification to obtain a more uniform selection of samples, although LHS and JS use different stratification strategies. The “Koksma-Hlawka-like inequality” bounds the error in a computed mean in terms of the sample design’s discrepancy, which is a common metric of uniformity. However, even the “fast” formulas available for certain useful L2 norm discrepancies requireO ( NM )