Unlocking Large Scale Uncertainty Quantification with In Transit Iterative Statistics

Overview & Synopsis

Multi-run numerical simulations using supercomputers are increasingly used by physicists and engineers for dealing with input data and model uncertainties. Most of the time, the input parameters of a simulation are modeled as random variables, then simulations are run a (possibly large) number of times with input parameters varied according to a specific design of experiments. Uncertainty quantification for numerical simulations is a hard computational problem, currently bounded by the large size of the produced results. This book chapter is about using in situ techniques to enable large scale uncertainty quantification studies. We provide a comprehensive description of Melissa, a file avoiding, adaptive, fault-tolerant, and elastic framework that computes in transit statistical quantities of interest. Melissa currently implements the on-the-fly computation of the statistics necessary for the realization of large scale uncertainty quantification studies: moment-based statistics (mean, standard deviation, higher orders), quantiles, Sobol' indices, and threshold exceedance.