Laplace approximation of the parameter posterior with embedded error for efficient uncertainty quantification of expensive model calibrations
Abstract
In practical engineering, there is a clear need for uncertainty quantification (UQ) of models used in design because forward UQ puts probabilities on performance predictions. However, without surrogate building, most forward engineering models are too expensive for traditional UQ methods like Markov chain Monte Carlo (MCMC) sampling. Our goal is to provide inexpensive, approxi- mate UQ that can be applied after an expensive traditional least squares fit, where the UQ handles both uncorrelated noise and parameter variance as in the embedded-error treatment developed by Sargsyan, Najm, and Ghanem (2015). After developing the basic theory to connect a Laplace-like approximation to Bayesian calibration, we compare the proposed method to black-box variational inference in terms of cost and fidelity. Then we demonstrate the method on real-world calibration of solid material models.
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BibTeX
@misc{jones2026laplace,
title = {{Laplace approximation of the parameter posterior with embedded error for efficient uncertainty quantification of expensive model calibrations}},
author = {Reese E. Jones and Kyle N. Karlson and Matt W. Kury and Moe Khalil and Ray S. Tuminaro},
howpublished = {arXiv},
year = {2026},
month = nov,
doi = {10.48550/arxiv.2611.10210},
eprint = {2611.10210},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2611.10210},
note = {CC BY 4.0},
}
RIS
TY - UNPB
TI - Laplace approximation of the parameter posterior with embedded error for efficient uncertainty quantification of expensive model calibrations
AU - Reese E. Jones
AU - Kyle N. Karlson
AU - Matt W. Kury
AU - Moe Khalil
AU - Ray S. Tuminaro
PY - 2026
DA - 2026/11/06
PB - arXiv
DO - 10.48550/arxiv.2611.10210
UR - https://arxiv.org/abs/2611.10210
AB - In practical engineering, there is a clear need for uncertainty quantification (UQ) of models used in design because forward UQ puts probabilities on performance predictions. However, without surrogate building, most forward engineering models are too expensive for traditional UQ methods like Markov chain Monte Carlo (MCMC) sampling. Our goal is to provide inexpensive, approxi- mate UQ that can be applied after an expensive traditional least squares fit, where the UQ handles both uncorrelated noise and parameter variance as in the embedded-error treatment developed by Sargsyan, Najm, and Ghanem (2015). After developing the basic theory to connect a Laplace-like approximation to Bayesian calibration, we compare the proposed method to black-box variational inference in terms of cost and fidelity. Then we demonstrate the method on real-world calibration of solid material models.
ER -