Title: Coupling the reduced-order model and the generative model for an importance sampling estimator,
Abstract: In this work, we develop an importance sampling estimator by coupling the
reduced-order model and the generative model in a problem setting of
uncertainty quantification. The target is to estimate the probability that the
quantity of interest (QoI) in a complex system is beyond a given threshold. To
avoid the prohibitive cost of sampling a large scale system, the reduced-order
model is usually considered for a trade-off between efficiency and accuracy.
However, the Monte Carlo estimator given by the reduced-order model is biased
due to the error from dimension reduction. To correct the bias, we still need
to sample the fine model. An effective technique to reduce the variance
reduction is importance sampling, where we employ the generative model to
estimate the distribution of the data from the reduced-order model and use it
for the change of measure in the importance sampling estimator. To compensate
the approximation errors of the reduced-order model, more data that induce a
slightly smaller QoI than the threshold need to be included into the training
set. Although the amount of these data can be controlled by a posterior error
estimate, redundant data, which may outnumber the effective data, will be kept
due to the epistemic uncertainty. To deal with this issue, we introduce a
weighted empirical distribution to process the data from the reduced-order
model. The generative model is then trained by minimizing the cross entropy
between it and the weighted empirical distribution. We also introduce a penalty
term into the objective function to deal with the overfitting for more
robustness. Numerical results are presented to demonstrate the effectiveness of
the proposed methodology.