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Confidence Region Estimation Techniques for Nonlinear SANDIA REPORT SAND2005-6893 Unlimited Release Printed October 2005 Confidence Region Estimation Techniques for Nonlinear Regression: Three Case Studies Kay White Vugrin, Laura Painton Swiler, Randall M. Roberts, Nicholas J. Stucky–Mack, and Sean P. Sullivan Prepared by Sandia National Laboratories Albuquerque, New Mexico 87185 and Livermore, California 94550 Sandia is a multiprogram laboratory operated by Sandia Corporation, a Lockheed Martin Company, for the United States Department of Energy's National Nuclear Security Administration under Contract DE-AC04-94-AL85000. Approved for public release; further dissemination unlimited. Issued by Sandia National Laboratories, operated for the United States Department of Energy by Sandia Corporation. NOTICE: This report was prepared as an account of work sponsored by an agency of the United States Government. Neither the United States Government, nor any agency thereof, nor any of their employees, nor any of their contractors, subcontractors, or their employees, make any warranty, express or implied, or assume any legal liability or re- sponsibility for the accuracy, completeness, or usefulness of any information, appara- tus, product, or process disclosed, or represent that its use would not infringe privately owned rights. Reference herein to any specific commercial product, process, or service by trade name, trademark, manufacturer, or otherwise, does not necessarily constitute or imply its endorsement, recommendation, or favoring by the United States Govern- ment, any agency thereof, or any of their contractors or subcontractors. The views and opinions expressed herein do not necessarily state or reflect those of the United States Government, any agency thereof, or any of their contractors. Printed in the United States of America. This report has been reproduced directly from the best available copy. Available to DOE and DOE contractors from U.S. Department of Energy Office of Scientific and Technical Information P.O. Box 62 Oak Ridge, TN 37831 Telephone: (865) 576-8401 Facsimile: (865) 576-5728 E-Mail: [email protected] Online ordering: http://www.doe.gov/bridge Available to the public from U.S. Department of Commerce National Technical Information Service 5285 Port Royal Rd Springfield, VA 22161 Telephone: (800) 553-6847 Facsimile: (703) 605-6900 E-Mail: [email protected] Online ordering: http://www.ntis.gov/ordering.htm T O EN F E TM N R E A R P G E Y D U • • N A I C T I E R D E S M T A ATES OF SAND2005-6893 Unlimited Release Printed October 2005 Confidence Region Estimation Techniques for Nonlinear Regression: Three Case Studies Kay White Vugrin Performance Assessment and Decision Analysis Department Sandia National Laboratories 4100 National Parks Highway Carlsbad, NM 88220 [email protected] Laura Painton Swiler Optimization and Uncertainty Estimation Department Sandia National Laboratories P.O. Box 5800, MS 0370 Albuquerque, NM 87185-0370 [email protected] Randall M. Roberts Nicholas J. Stucky–Mack Repository Performance Department Harvard University Sandia National Laboratories University Hall 4100 National Parks Highway Cambridge, MA 02138 Carlsbad, NM 88220 [email protected] [email protected] Sean P. Sullivan University of Texas 226 Blanton 2500 University Ave. Austin, TX 78705-9012 [email protected] 3 Abstract This work focuses on different methods to generate confidence regions for nonlinear pa- rameter identification problems. Three methods for confidence region estimation are con- sidered: a linear approximation method, an F–test method, and a Log–Likelihood method. Each of these methods are applied to three case studies. One case study is a problem with synthetic data, and the other two case studies identify hydraulic parameters in groundwater flow problems based on experimental well–test results. The confidence regions for each case study are analyzed and compared. Although the F–test and Log–Likelihood methods result in similar regions, there are differences between these regions and the regions gen- erated by the linear approximation method for nonlinear problems. The differing results, capabilities, and drawbacks of all three methods are discussed. Acknowledgments The first three authors all work at Sandia National Laboratories, and the final two authors were summer interns at Sandia in 2005. Sandia is a multiprogram laboratory operated by Sandia Corporation, a Lockheed Martin Company, for the United States Department of Energy under Contract DE-AC04-94AL8500. This work was supported by the Advanced Simulation and Computing (ASC) program of the National Nuclear Security Administra- tion (NNSA), part of the Department of Energy. The authors wish to thank Jon Helton and Bill Oberkampf for technical reviews. We also thank Scott Mitchell and Tom Kirchner for providing valuable background informa- tion. 4 Contents 1 Introduction . 7 2 Nonlinear Regression . 8 3 Confidence Regions . 10 3.1 Confidence Regions for Individual Parameters . 10 3.2 Confidence Regions for Joint Parameters . 10 4 Test Problems. 13 4.1 Test Problem 1: Polynomials . 13 4.2 Groundwater Flow Model Parameters . 14 4.3 Test Problem 2: Groundwater Parameters . 17 4.4 Test Problem 3: Groundwater Parameters . 17 5 Results and Discussion . 21 5.1 Visualization of Confidence Regions . 21 5.2 Test Problem 1 . 21 5.3 Test Problem 2 . 22 5.4 Test Problem 3 . 25 6 Conclusions . 25 References . 30 5 Figures 1 Test Problem 1: Underlying Polynomial and Perturbed Data Set . 14 2 Test Problem 2: Matching Points . 18 3 Test Problem 3: Matching Flow Rate Points . 20 4 Test Problem 3: Matching Pressure Points . 20 5 Test Problem 1: Confidence Regions . 22 6 Test Problem 2: F–test Method and Log–Likelihood Confidence Regions . 23 7 Test Problem 2: Confidence Regions . 24 8 Test Problem 3: F–test Method and Log–Likelihood Confidence Regions . 26 9 Test Problem 3: Confidence Regions . 27 Tables 1 Test Problem 1: Factors Affecting Confidence Region Calculations . 15 2 Test Problem 2: Factors Affecting Confidence Region Calculations . 19 3 Test Problem 3: Values used for Confidence Region Calculations . 19 6 Confidence Region Estimation Techniques for Nonlinear Regression: Three Case Studies 1 Introduction Nonlinear models are frequently used to model physical phenomena and engineering ap- plications. In this paper, we refer to a nonlinear model very broadly: the output of the model is a nonlinear function of the parameters (Draper and Smith, 1998). Thus, nonlin- ear models can include systems of partial differential equations (PDEs). Some examples include CFD (computational fluid dynamics) (Oberkampf and Barone, 2005), groundwater flow (Beauheim and Roberts, 2002), heat transport (Stanley, 2001), etc. Nonlinear models also include functional approximations of uncertain data via regression or response surface models. Many nonlinear models require the solution of some type of optimization problem to determine the optimal parameter settings for the model. Statisticians have long worried about how to determine the optimal parameters for nonlinear regression models (Seber and Wild, 2003). In the case of nonlinear regression, optimization methods have been used to determine the parameters which “best fit” the data, according to minimizing a least squares expression. The optimization methods may not always converge and find the true solu- tion, although advances in the optimization methods have improved nonlinear least squares solvers. In this paper, we are concerned about determining confidence intervals around the pa- rameter values in a nonlinear model. The parameters may be parameters in an approxi- mation model such as a regression model, or physics modeling parameters which are used in physical simulation models such as PDEs. We refer to data as separate from param- eters: data are physical data which is input either to a regression or physical simulation, and parameters are variables which are used in the representation and solution of the non- linear model. For example, in groundwater flow modeling, parameters include hydraulic conductivity, specific storage, etc. Data may included measured flow rate from well data. The focus of this paper is on calculating and evaluating joint confidence intervals. A joint confidence interval is one that simultaneously bounds the parameters; it is also called a simultaneous confidence interval. It is not a set of individual confidence intervals for each parameter in the problem. Individual confidence intervals on parameters usually assume independence of the parameters which may lead to large errors if one is trying to infer a region where the parameters may jointly exist, for example, with 95% confidence. A joint confidence interval for a problem with two parameters may be an ellipse, where all points within the ellipse represent potential combinations of the parameters that fall within the confidence region. We are interested in calculating joint confidence intervals to understand the range or 7 potential spread in the parameter values. Given various sources of uncertainty, it is un- likely that the optimal parameters which minimize some least squares formulation are the only reasonable parameters. There are several sources of uncertainty that can contribute to difficulty in identifying optimal parameter values in nonlinear problems. The data itself may have significant uncertainties: there may be missing values, measurement error, sys- tematic biases, etc. Nonlinear inverse problems may involve discontinuities which result in multiple values for the optimal parameters, due to complexities
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