A gradient-enhanced univariate dimension reduction method for uncertainty propagation

Abstract: The univariate dimension reduction (UDR) method stands as a way to estimate the statistical moments of the output that is effective in a large class of uncertainty quantification (UQ) problems. UDR's fundamental strategy is to approximate the original function using univariate functions so that the UQ cost only scales linearly with the dimension of the problem. Nonetheless, UDR's effectiveness can diminish when uncertain inputs have high variance, particularly when assessing the output's second and higher-order statistical moments. This paper proposes a new method, gradient-enhanced univariate dimension reduction (GUDR), that enhances the accuracy of UDR by incorporating univariate gradient function terms into the UDR approximation function. Theoretical results indicate that the GUDR approximation is expected to be one order more accurate than UDR in approximating the original function, and it is expected to generate more accurate results in computing the output's second and higher-order statistical moments. Our proposed method uses a computational graph transformation strategy to efficiently evaluate the GUDR approximation function on tensor-grid quadrature inputs, and use the tensor-grid input-output data to compute the statistical moments of the output. With an efficient automatic differentiation method to compute the gradients, our method preserves UDR's linear scaling of computation time with problem dimension. Numerical results show that the GUDR is more accurate than UDR in estimating the standard deviation of the output and has a performance comparable to the method of moments using a third-order Taylor series expansion.