Algorithms for Uncertainty Quantification

Lecture 11: Software for UQ

ST 2021

Tobias Neckel
Scientific Computing in Computer Science
TUM
Repetition of Previous Lecture

• random fields
• motivation
• application examples
• formal definition
• stochastic processes
• definition
• example: Brownian motion
• approximation of random fields
• the Karhunen-Loève expansion
• example: approximation of the Wiener process

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Concept of Building Block:

• Time: ≈ 80 minutes
• Content
• coding from scratch vs. using existing code
• UQ software vs. UQ packages
• the world of UQ software: what software is available?
• survey on selected UQ software
• Expected Learning Outcomes
• The participants can list a variety of different software packages or
libraries dealing with UQ aspects.
• They are able to indicate advantages or target use cases for those
implementations that are listed in more detail (i.e. in red in the
overview).
• For different use cases, the participants can indicated possible
software and are able to give arguments for their choice.

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Coding from scratch vs. Using Packages
from scratch
• no dependency on external packages/libraries (and their
changes/bugs/. . . )
at least: decision, on which to rely on
• Computer Science people like it :-)
• context UQ: “Monte Carlo is so easy”
reusing existing codes
• avoid reinventing the wheel over and over again
• rely on work of others
• faster time to solution (less debugging, testing, . . . )!
• quality of packages?
• flexibility/portability supported?
• maintainability of (own) code?
• API fix or not very flexible
• license issues?
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UQ Software vs. UQ Packages

difference between software and small code packages:

• size of developping group:
single Ph.D. candidates ⇔ many life-time positions
• goal of implementations:
specific tasks ⇔ many methods/approaches, for large user base
• ease of use:
direct start with (almost) no docu ⇔ a lot of docu (to read)
• quality assurance:
manual tests (if any) ⇔ software engineering aspects, user support
• ...

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World of UQ Software
The World of UQ Software

chaospy
Cossan

smartUQ Mystic
SG++
PSUADE UQLaB

Openturns
Dakota
MUQ Uranie

UQTk
TASMANIAN
Queso

source of world map: http://en.wikipedia.org

SIAM conference UQ 18, minisymposia 88, 102, 115, and 128: Software for UQ, Tobias Neckel & Dirk Pflüger
SIAM
see also UQ 18, MS Software for UQ, Dirk Pflüger & Tobias
https://www5.in.tum.de/wiki/index.php/SIAMUQ18_- Neckel
_Slides_Minisymp_Software4UQ

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List of UQ Software

alphabetical; for sure: incomplete!

• Chaospy • Psuade
• Dakota • (Queso)
• MUQ library • SG++
• Mystic • SmartUQ
• NASA UQTools • TASMANIAN
• OpenCossan (matlab) • UQLab (matlab)
• Openturns • UQ Toolkit (UQTk)
• Π4U • Uranie
• Promethee • ...

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List of UQ Software – Details

alphabetical; for sure: incomplete!

• Chaospy • Psuade
• Dakota • (Queso)
• MUQ library • SG++
• Mystic • SmartUQ
• NASA UQTools • TASMANIAN
• OpenCossan (matlab) • UQLab (matlab)
• Openturns • UQ Toolkit (UQTk)
• Π4U • Uranie
• Promethee • ...
for some: more detailed aspects

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Aspects of Chaospy

URL https://github.com/jonathf/chaospy
developping organisation Jonathan Feinberg (SIMULA / private)
existing since 2014?
main purpose forward UQ (PCE, sampling)
user support mail support, documentation, tutorials
type of SW framework/library, "full" license
programming language Python
interface language support / API Python
unique selling point high-level Python, fast prototyping,
PCE pseudospectral approach

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Aspects of Dakota

URL https://dakota.sandia.gov/
developping organisation Sandia National Laboratory
existing since 1994
main purpose UQ/optimisation for HPC applications
user support FAQs, maillists, trainings,
manuals & tutorials
type of SW toolkit, LGPL license
programming language C++
interface language support / API text input files
unique selling point large user base, very mature,
HPC aspects

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Aspects of MUQ

URL http://uqgroup.mit.edu/software
developping organisation UQ Group (Marzouk), MIT
existing since 2011
main purpose MCMC, PCE, KL, optimisation
user support Q&A, example page,
interactive test sessions, doxygen
type of SW collection of tools, "full" license
programming language C++
interface language support / API Python, C++
unique selling point advanced UQ algorithms

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Aspects of Openturns

URL http://openturns.org/
developping organisation 4 companies:
Airbus, EDF, IMACS, Phimeca Engineering
existing since 2005
main purpose forward UQ, data analysis
user support manuals, examp., mailing lists, user days
type of SW library, open source LGPL license
programming language C++
interface language support / API Python, symbolic
unique selling point larger user base?

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Aspects of SG++

URL http://sgpp.sparsegrids.org/
developping organisation University of Stuttgart, TUM
existing since 2007?
main purpose sparse grid toolbox for interpolation,
quadrature, PDEs, data mining & machine
learning, UQ, optimisation
user support manuals, coding days, doxygen
type of SW library, BSD-like license?
programming language C++
interface language support / API C++, Python, Java, MATLAB
unique selling point sparse grids
(spatially adaptive! combination technique)

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Aspects of TASMANIAN

URL http://tasmanian.ornl.gov/
developping organisation Oak Ridge National Laboratory
existing since 2013?
main purpose high-dimensional integration,
interpolation & parameter calibration
user support manuals
type of SW toolkit (libraries)
programming language C++
interface language support / API C++, Python
unique selling point sparse grids (combination technique)

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Aspects of UQTk

URL http://www.sandia.gov/UQToolkit/
developping organisation Sandia National Laboratory
existing since 2005+X?
main purpose forward/inverse UQ
user support mailing lists, doxygen, manuals
type of SW collection of libraries, LGPL license
programming language C++
interface language support / API C++, Python
unique selling point high-level UQ, fast prototyping,
many methods

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Aspects of Uranie

URL https://sourceforge.net/projects/uran
developping organisation CEA, France
existing since 2013?
main purpose data analysis, UQ, optimisation
user support mail support
type of SW (L)GPL
programming language Python, C++, C
interface language support / API CINT, Python
unique selling point many use cases, support for HPC
platforms

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Literature:

• References and manuals of software websites

• Overview of status at conference SIAM UQ 2018,
https://www5.in.tum.de/wiki/index.php/SIAMUQ18_-_Slides_
Minisymp_Software4UQ

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Summary

Software for UQ
• coding from scratch vs. using existing code
• UQ software vs. UQ packages
• the world of UQ software: what software is available?
• overview on selected UQ software
• maturity/features
• preparation for use case decisions

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