SURF Seminar: “A Matlab Toolbox for Uncertainty Quantification”

August 11, 2009, 11:00AM
Powell-Booth 120

Jing Qiang Goh, Caltech & National University of Singapore Undergraduate Research Exchange Program
Mentor: Dr. Mark Stalzer Co-mentor: Dr. Ufuk Topcu

We have developed a Matlab-based prototyping toolbox for uncertainty quantification. The underlying uncertainty quantification framework is based on the concentration-of-measure inequalities. We implemented two global optimization schemes, Simulated Annealing and Differential Evolution, for uncertainty quantification. The implementation exploits sources of parallelization at the optimization level and within uncertainty quantification. Our toolbox offers a user-friendly interface and a robust optimizer for uncertainty quantification on physical models.