Bayesian Deep Convolutional Encoder-Decoder Networks for Surrogate Modeling and Uncertainty Quantification

TL;DR

This paper develops a Bayesian deep convolutional encoder-decoder network for surrogate modeling and uncertainty quantification in stochastic PDEs, achieving high accuracy and reliable uncertainty estimates even with limited data.

Contribution

It introduces a scalable variational Bayesian approach using Stein's method for deep CNNs, enabling effective uncertainty quantification in high-dimensional stochastic problems.

Findings

State-of-the-art predictive accuracy and uncertainty quantification.

Effective performance with small training datasets.

Successful application to high-dimensional stochastic PDE problems.

Abstract

We are interested in the development of surrogate models for uncertainty quantification and propagation in problems governed by stochastic PDEs using a deep convolutional encoder-decoder network in a similar fashion to approaches considered in deep learning for image-to-image regression tasks. Since normal neural networks are data intensive and cannot provide predictive uncertainty, we propose a Bayesian approach to convolutional neural nets. A recently introduced variational gradient descent algorithm based on Stein's method is scaled to deep convolutional networks to perform approximate Bayesian inference on millions of uncertain network parameters. This approach achieves state of the art performance in terms of predictive accuracy and uncertainty quantification in comparison to other approaches in Bayesian neural networks as well as techniques that include Gaussian processes and ensemble methods even when the training data size is relatively small. To evaluate the performance of this approach, we consider standard uncertainty quantification benchmark problems including flow in heterogeneous media defined in terms of limited data-driven permeability realizations. The performance of the surrogate model developed is very good even though there is no underlying structure shared between the input (permeability) and output (flow/pressure) fields as is often the case in the image-to-image regression models used in computer vision problems. Studies are performed with an underlying stochastic input dimensionality up to $4,225$ where most other uncertainty quantification methods fail. Uncertainty propagation tasks are considered and the predictive output Bayesian statistics are compared to those obtained with Monte Carlo estimates.