On off-line and on-line Bayesian filtering for uncertainty quantification of structural deterioration

Abstract

Data-informed predictive maintenance planning largely relies on stochastic deterioration models. Monitoring information can be utilized to update sequentially the knowledge on model parameters. In this context, on-line (recursive) Bayesian filtering algorithms typically fail to properly quantify the full posterior uncertainty of time-invariant model parameters. Off-line (batch) algorithms are—in principle—better suited for the uncertainty quantification task, yet they are computationally prohibitive in sequential settings. In this work, we adapt and investigate selected Bayesian filters for parameter estimation: an on-line particle filter, an on-line iterated batch importance sampling filter, which performs Markov Chain Monte Carlo (MCMC) move steps, and an off-line MCMC-based sequential Monte Carlo filter. A Gaussian mixture model approximates the posterior distribution within the resampling process in all three filters. Two numerical examples provide the basis for a comparative assessment. The first example considers a low-dimensional, nonlinear, non-Gaussian probabilistic fatigue crack growth model that is updated with sequential monitoring measurements. The second high-dimensional, linear, Gaussian example employs a random field to model corrosion deterioration across a beam, which is updated with sequential sensor measurements. The numerical investigations provide insights into the performance of off-line and on-line filters in terms of the accuracy of posterior estimates and the computational cost, when applied to problems of different nature, increasing dimensionality and varying sensor information amount. Importantly, they show that a tailored implementation of the on-line particle filter proves competitive with the computationally demanding MCMC-based filters. Suggestions on the choice of the appropriate method in function of problem characteristics are provided.

Keywords

• Bayesian filtering
• Gaussian mixture
• Markov Chain Monte Carlo
• particle filter
• structural deterioration
• uncertainty quantification