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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion Hazard Assessment for Pyroclastic Flows Robert L Wolpert Duke University Department of Statistical Science with James O Berger (Duke), E. Bruce Pitman, Eliza S. Calder & Abani K. Patra (U Buffalo), M.J. Bayarri (U Valencia), & Elaine T. Spiller (Marquette U). Games & Decisions in Reliability & Risk: 2011 May 21, Laggo Maggiore, IT

Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

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Page 1: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Hazard Assessment for Pyroclastic Flows

Robert L Wolpert

Duke UniversityDepartment of Statistical Science

withJames O Berger (Duke),

E. Bruce Pitman, Eliza S. Calder & Abani K. Patra (U Buffalo),M.J. Bayarri (U Valencia), & Elaine T. Spiller (Marquette U).

Games & Decisions in Reliability & Risk:2011 May 21, Laggo Maggiore, IT

Page 2: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

The Soufriere Hills Volcano on Montserrat

Page 3: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Pyroclastic Flows

Page 4: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Pyroclastic Flows at Soufriere Hills Volcano

Page 5: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Where is Montserrat?

Page 6: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

What’s there?

Page 7: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Montserrat PFs in One 13-month Period

Page 8: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Plymouth, the former capital

Page 9: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Modelling Hazard

• Goal: quantify the hazard from Pyroclastic Flows (PFs)—

• For specific locations “x” on Montserrat, we would like to findthe probability of a “catastrophic event” (inundation to ≥1m)within T years— for T = 1, T = 5, T = 10, T = 20 years

• Reflecting all that is uncertain, including:• How often will PFs of various volumes occur?• What initial direction will they go?• How will the flow evolve?• How are things changing, over time?

• This is not what is needed for short-term crisis and eventmanagement— here we consider only long-term hazard.

Page 10: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Modelling Hazard

• Goal: quantify the hazard from Pyroclastic Flows (PFs)—

• For specific locations “x” on Montserrat, we would like to findthe probability of a “catastrophic event” (inundation to ≥1m)within T years— for T = 1, T = 5, T = 10, T = 20 years

• Reflecting all that is uncertain, including:• How often will PFs of various volumes occur?• What initial direction will they go?• How will the flow evolve?• How are things changing, over time?

• This is not what is needed for short-term crisis and eventmanagement— here we consider only long-term hazard.

Page 11: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Modelling Hazard

• Goal: quantify the hazard from Pyroclastic Flows (PFs)—

• For specific locations “x” on Montserrat, we would like to findthe probability of a “catastrophic event” (inundation to ≥1m)within T years— for T = 1, T = 5, T = 10, T = 20 years

• Reflecting all that is uncertain, including:• How often will PFs of various volumes occur?• What initial direction will they go?• How will the flow evolve?• How are things changing, over time?

• This is not what is needed for short-term crisis and eventmanagement— here we consider only long-term hazard.

Page 12: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Modelling Hazard

• Goal: quantify the hazard from Pyroclastic Flows (PFs)—

• For specific locations “x” on Montserrat, we would like to findthe probability of a “catastrophic event” (inundation to ≥1m)within T years— for T = 1, T = 5, T = 10, T = 20 years

• Reflecting all that is uncertain, including:• How often will PFs of various volumes occur?• What initial direction will they go?• How will the flow evolve?• How are things changing, over time?

• This is not what is needed for short-term crisis and eventmanagement— here we consider only long-term hazard.

Page 13: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Pieces of the Puzzle

Our team (geologist/volcanologist, applied mathematicians,statisticians, stochastic processes) breaks the problem down intotwo parts:

◮ Try to model the volume, frequency, and initial direction ofPFs at SHV, based on 15 years’ data;

◭ Tools used: Probability theory, extreme value statistics.

◮ For specific volume V and initial direction θ (and otheruncertain things like the basal friction angle φ), try to modelthe evolution of the PF, and max depth Mx at location x ;

◭ Tools used: Titan2D PDE solver, emulator (see below).

Page 14: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Pieces of the Puzzle

Our team (geologist/volcanologist, applied mathematicians,statisticians, stochastic processes) breaks the problem down intotwo parts:

◮ Try to model the volume, frequency, and initial direction ofPFs at SHV, based on 15 years’ data;

◭ Tools used: Probability theory, extreme value statistics.

◮ For specific volume V and initial direction θ (and otheruncertain things like the basal friction angle φ), try to modelthe evolution of the PF, and max depth Mx at location x ;

◭ Tools used: Titan2D PDE solver, emulator (see below).

Page 15: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Pieces of the Puzzle

Our team (geologist/volcanologist, applied mathematicians,statisticians, stochastic processes) breaks the problem down intotwo parts:

◮ Try to model the volume, frequency, and initial direction ofPFs at SHV, based on 15 years’ data;

◭ Tools used: Probability theory, extreme value statistics.

◮ For specific volume V and initial direction θ (and otheruncertain things like the basal friction angle φ), try to modelthe evolution of the PF, and max depth Mx at location x ;

◭ Tools used: Titan2D PDE solver, emulator (see below).

Page 16: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Pieces of the Puzzle

Our team (geologist/volcanologist, applied mathematicians,statisticians, stochastic processes) breaks the problem down intotwo parts:

◮ Try to model the volume, frequency, and initial direction ofPFs at SHV, based on 15 years’ data;

◭ Tools used: Probability theory, extreme value statistics.

◮ For specific volume V and initial direction θ (and otheruncertain things like the basal friction angle φ), try to modelthe evolution of the PF, and max depth Mx at location x ;

◭ Tools used: Titan2D PDE solver, emulator (see below).

Page 17: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Titan2D

• Use ‘thin layer’ modeling system of PDEs for flow depthand depth-averaged momenta

• Incorporates topographical data from DEM

• Consumes 20m–2hr of computing time (in parallel on 16processors) for each run— say, about 1 hr.

Page 18: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Titan2D (cont)

TITAN2D (U Buffalo) computes solution to the PDE s with:

• Stochastic inputs whose randomness is the basis of the hazarduncertainty:

V = initial volume (initial flow magnitude, in m3),θ = initial angle (initial flow direction, in radians).

• Deterministic inputs:φ = basal friction (deg) important & very uncertainψ = internal friction (deg) less important, ignoredv0 = initial velocity (m/s) less important, set to zero

• Output: flow height and depth-averaged velocity at each ofthousands of grid points at every time step. We will focus onthe maximum flow height at a few selected grid points.

• Each run takes about 1 hour on 16 processors

Page 19: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Hazard Assessment I: What’s a Catastrophe?

• Let Mx(z) be the computer model prediction with arbitraryinput parameter vector z ∈ Z of whatever characterizes acatastrophe at x ∈ X .

SHV: z = (V , θ, φ) ∈ Z = (0,∞) × [0, 2π) × (0, 90),Mx(V , θ, φ) = max PF height at location x(downtown Plymouth, Bramble Airport, Dyers RVTP4) for PF of characteristics z = (V , θ, φ).

• Catastrophe occurs for z such that Mx(z) ∈ YC .

SHV: Catastrophe if Mx(z) ≥ 1m (Other options...)

• Determine ‘catastrophic region’ Zc in the input space:

Zc = {z ∈ Z : Mx(z) ∈ YC}

SHV: Zc = {z : V > Ψ(θ, φ)} where...

Page 20: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Which inputs are catastrophic at SHV?

By continuity and monotonicity,

Zc = {z ∈ Z : Mx(z) ∈ YC}

= {(V , θ, φ) ∈ Z : V > Ψ(θ, φ)}

for the critical contour Ψ, where

Ψ(θ, φ) ≡ {value of V such that Mx(V , θ, φ) = 1m}

Now let’s turn to the problem of evaluating Ψ.

Page 21: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Which inputs are catastrophic at SHV?

By continuity and monotonicity,

Zc = {z ∈ Z : Mx(z) ∈ YC}

= {(V , θ, φ) ∈ Z : V > Ψ(θ, φ)}

for the critical contour Ψ, where

Ψ(θ, φ) ≡ {value of V such that Mx(V , θ, φ) = 1m}

Now let’s turn to the problem of evaluating Ψ.

Page 22: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Emulation

To find Ψ, we’d like to evaluate Mx(Vi , θi , φi ) by running Titan2Dfor selected locations x ∈ X and at each of perhaps:

• ∼ 100 Volumes Vi ;

• ∼ 100 Initiation Angles θj ;

• ∼ 100 Basal Friction Angles φk ;

Which would entail maybe 100 × 100 × 100 = 1000 000 runs ofTitan2D... but we don’t have 1 000 000 hours.Our Solution:

Build an Emulator for our PDE flow model.

Page 23: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Emulation

To find Ψ, we’d like to evaluate Mx(Vi , θi , φi ) by running Titan2Dfor selected locations x ∈ X and at each of perhaps:

• ∼ 100 Volumes Vi ;

• ∼ 100 Initiation Angles θj ;

• ∼ 100 Basal Friction Angles φk ;

Which would entail maybe 100 × 100 × 100 = 1000 000 runs ofTitan2D... but we don’t have 1 000 000 hours.Our Solution:

Build an Emulator for our PDE flow model.

Page 24: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Emulation

To find Ψ, we’d like to evaluate Mx(Vi , θi , φi ) by running Titan2Dfor selected locations x ∈ X and at each of perhaps:

• ∼ 100 Volumes Vi ;

• ∼ 100 Initiation Angles θj ;

• ∼ 100 Basal Friction Angles φk ;

Which would entail maybe 100 × 100 × 100 = 1000 000 runs ofTitan2D... but we don’t have 1 000 000 hours.Our Solution:

Build an Emulator for our PDE flow model.

Page 25: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Emulation

To find Ψ, we’d like to evaluate Mx(Vi , θi , φi ) by running Titan2Dfor selected locations x ∈ X and at each of perhaps:

• ∼ 100 Volumes Vi ;

• ∼ 100 Initiation Angles θj ;

• ∼ 100 Basal Friction Angles φk ;

Which would entail maybe 100 × 100 × 100 = 1000 000 runs ofTitan2D... but we don’t have 1 000 000 hours.Our Solution:

Build an Emulator for our PDE flow model.

Page 26: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Emulators

An Emulator is a (very fast):

• statistical model (based on Gaussian Processes) for our

• computer model (based on PDE solver) of the

• volcano.

• The emulator can predict (in seconds) what Titan2D wouldreturn (in hours), with an estimate of its accuracy;

• Based on Gaussian Stochastic Process (GaSP) Model. We:

• Pick a few hundred LHC “design points” (Vj , θj , φj , ...);• Run Titan2D at each of them to find Output Mx(Vj , θj , φj );• Train the GaSP to return a statistical estimate

E[Mx(V , θ, φ) | {Mx(Vj , θj , φj)}

]

of model output M for site x at untried points (V , θ, φ).

Page 27: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Emulators

An Emulator is a (very fast):

• statistical model (based on Gaussian Processes) for our

• computer model (based on PDE solver) of the

• volcano.

• The emulator can predict (in seconds) what Titan2D wouldreturn (in hours), with an estimate of its accuracy;

• Based on Gaussian Stochastic Process (GaSP) Model. We:

• Pick a few hundred LHC “design points” (Vj , θj , φj , ...);• Run Titan2D at each of them to find Output Mx(Vj , θj , φj );• Train the GaSP to return a statistical estimate

E[Mx(V , θ, φ) | {Mx(Vj , θj , φj)}

]

of model output M for site x at untried points (V , θ, φ).

Page 28: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Why?

Our immediate goal is to find a “threshhold function” for eachlocation of concern x in Montserrat:

Ψ(θ, φ) = Smallest volume V that would inundate x if

flow begins in direction θ with friction angle φ

for each possible direction θ (0–360 in degrees, or 0–2π radians,with 0= due East and π/2= due North) and basal friction angle φ.Simplification: Take φi ≡ φ(Vi ) (empirical; see below).Then we can quantify the hazard at x for T years as

Pr{Vi ≥ Ψ(θi) for some PF (Vi , θi) in time (t0, t0 + T ]

}

which in turn we study with the probability models.

Page 29: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Design points V , θ

105

106

107

108

109

0

π/2

π

3π/2

Initi

atio

n A

ngle

, θ (

radi

ans)

Pyroclastic Flow Volume, V (m3)

−−−−

−−

− −

−−−

−−

−−

−−

o

o

o

oo

o

oo

+

+++

Design Points (40 in subdesign; 2048 total)

2048 Design Points total; 40 used for determining Ψ at x=Level 4 Trigger Point: Dyers River Valley (head of Belham valley) .Black ⇐⇒ Mx(V , θ, φ) = 0, Red ⇐⇒ Mx(V , θ, φ) > 0.

Page 30: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Polar View of Design, Subdesign, & Ψ

S

W

N

EV = 105V = 106V = 107V = 108

V = 109

Ψ(θ)

Page 31: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

50 Simulations of Ψ(θ) for Level 4 Trigger Point, Dyers RV

2 x 10

6

4 x 10

6

8 x 10

6

2 x 10

7

0 π/2 π 3π/2 2πInitiation Angle, θ (radians)

Pyr

ocla

stic

Flo

w V

olum

e, V

(m

3 )

ψ(θ) with sampled effective friction

Page 32: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Some Details about our Emulator...

Emulators are very fast approximations for (some of) the outputsMx(z) of (slow) computer models. They are used for manypurposes (design, optimization, inference, sensitivity analyses, . . . )for expensive computer models.

• Begin with a Maxi-Min Latin Hypercube statistical design toselect some number N of design points zi in the large regionZ = [105, 109.5]m3 × [0, 2π)rad × [5, 25)deg.

• Run the slow computer model Mx(zi) at these N preliminarypoints.

• For fitting an emulator to find Zc , keep only design points Din a region ‘close’ to the boundary ∂Zc :

Too many details? Skip Emulator Details

Page 33: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Gaussian Process Emulators in the Region Zc

• Since we are interested in regions where the flow is small (1m),fit an emulator to Mx(z) ≡ log(1 + Mx(z)). Let y be thetransformed vector of computer model runs Mx(z) for z ∈ D.

• Model the unknown M(z) as a Gaussian process

M(z) = β + mV + Z (V , θ, φ)

(note that we expect a monotonic trend in V , but not θ; φdiscussed later), where Z (V , θ, φ) is a stationary GP with

• Mean 0, Variance σ2z ;

• Product exponential correlation: i.e., (∀zi = (Vi , θi , φi ) ∈ D),the correlation matrix R is:

Rij = exp

{−

∣∣∣∣Vi − Vj

ρV

∣∣∣∣αV

∣∣∣∣θi − θjρθ

∣∣∣∣αθ

∣∣∣∣φi − φj

ρφ

∣∣∣∣αφ

}

with range parameters ρ•, smoothness parameters α•.

Page 34: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Handling the Unknown Hyperparametersθ = (ρV , ρθ, ρφ, αV , αθ, αφ, σ

2z , β, m)

• Deal with the crucial parameters (σ2z , β,m) via a fully

Bayesian analysis (here an extension of Kriging) usingobjective priors: π(β) ∝ 1, π(m) ∝ 1, and π(σ2

z ) ∝ 1/σ2z ;

• Compute the marginal posterior mode, ξ, ofξ = (ρV , ρθ, ρφ, αV , αθ, αφ) using the above priors and the

reference prior for ξ; then R ≡ R(ξ) is completely specified(big simplification— no matrix decomp inside MCMC loop).

• A fully Bayesian analysis, accounting for uncertainty in ξ, isdifficult and rarely affects the final answer significantly becauseof confounding of variables.

Page 35: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

The Posterior Mode of ξ = (ρV , ρθ, ρφ, αV , αθ, αφ)

• MLE fitting of ξ has enormous problems; we’ve given up on it.

• A big improvement is finding the marginal MLE of ξ from themarginal likelihood for ξ, available by integrating lh wrt theobjective prior π(β,m, σ2

z ) = 1/σ2z . The expression is:

L(ξ) ∝ |R(ξ)|−12∣∣X′R(ξ)−1X

∣∣− 12 (S2(ξ))−( n−q

2), where

◦ X = [1,V] is the design matrix for the linear parameters, i.e., 1

is the column vector of ones and V is the vector of volumes{Vi} in the data set, and µ = (β,m) (of dimension q = 2);

◦ S2(ξ) = [y − Xµ]′R(ξ)−1[y − Xµ];◦ µ = [X′R(ξ)−1X]−1R(ξ)−1y.

Page 36: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

• An even bigger improvement arises by finding the posteriormode from L(ξ)πR(ξ), where πR(ξ) is the reference prior forξ (Paulo, 2005 AoS). Note that it is computationallyexpensive to work with the reference posterior in an MCMCloop, but using it for a single maximization to determine theposterior mode is cheap.The reference prior for ξ is πR(ξ) ∝ |I ⋆(ξ)|1/2, where

I ⋆(ξ) =

(n − q) trW1 trW2 · · · trWp

trW21 trW1W2 · · · trW1Wp

. . . · · ·...

trW2p

Wk =

(∂

∂ξk

)R(ξ)−1

{In −X

[X′Rξ

]−1X

}−1X′R(ξ)−1 ,

with q = 2 the dimension of µ and p = 3 the dimension of ξ.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

The posterior distribution of (σ2z , β, m), conditional on y and

ξ, yields the final emulator (in transformed space) at input z∗:

Mx(z∗) | y, ξ ∼ t( y∗(z∗), s2(z∗), N − 2) ,

noncentral t-distribution with N−2 degrees of freedom andlocation & scale parameters:

y∗(z∗) = r

TR

−1ey +1TR−1ey1TR−11

[1 − rTR

−11] +

eVTR−1eyeVTR−1 eV

[eV ∗

− rTR

−1 eV]

s2(z∗) =

"(1 − r

TR

−1r) +

(1 − rTR−11)2

1TR−11+

(eV ∗

− rTR−1 eV)2

eVTR−1 eV

#

×

1

N − 2

"eyT

R−1ey −

(1TR−1ey)2

1TR−11−

(eVTR−1ey)2

eVTR−1 eV

#,

where Vi = Vi − VR , V ∗ = V ∗ − VR , VR = 1TR−1V/1TR−11,and rT = (R(z∗, z1), . . . ,R(z∗, zN)). Tedious, but tractable.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Theoretically the Basal Friction φ should be constant, butempirically it is highly dependent on the Volume V :

0 5 10 15 20

8

10

12

14

16

18

Volume (x106 m3)

Bas

al F

rictio

n (d

egre

es)

50 replicates of φ vs. V at Montserrat

Currently we simply estimate the function φ(V ), and replace φ inthe emulator by this function. The emulator thus becomes only afunction of (V , θ). We are now moving to a full 3-dimensional Zc .

With this short-cut, Ψ(z) depends on only one quantity: θ.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Theoretically the Basal Friction φ should be constant, butempirically it is highly dependent on the Volume V :

0 5 10 15 20

8

10

12

14

16

18

Volume (x106 m3)

Bas

al F

rictio

n (d

egre

es)

50 replicates of φ vs. V at Montserrat

Currently we simply estimate the function φ(V ), and replace φ inthe emulator by this function. The emulator thus becomes only afunction of (V , θ). We are now moving to a full 3-dimensional Zc .

With this short-cut, Ψ(z) depends on only one quantity: θ.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Response Surfaces

Figure: Median of the emulator, transformed back to the original space.Left: Plymouth, Right: Bramble Airport.Black points: max-height simulation outputs at subdesign points Dc .

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Catastrophic event contours Ψ(response surface slices at ht. 1 m)

1 2 3 4 5 68.7

8.75

8.8

8.85

8.9

8.95

9

9.05

Initiation angle, (radians)

log 10

(V),

(lo

g 10(m

3 ))

0 1 2 3 4 5 68.92

8.94

8.96

8.98

9

9.02

9.04

9.06

9.08

9.1

9.12

Initiation angle, (radians)

log 10

(V),

(lo

g 10(m

3 ))

Figure: Left: Plymouth, Right: Bramble Airport.Solid Cyan: linear max-height. Solid Red: log transformation.Dashed: 75% pointwise confidence bands for Ψ.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Adapting the design

• We added new design points near the boundary ∂Zc of thecritical region where:

• contours Ψ(z) pass between design points zi with Mx(zi ) = 0and zj with Mx(zj) ≫ 1; or

• the confidence bands for Ψ(z) are widest.

• The computer model was re-run at these new design points.

• The emulator was then re-fit and and critical contour Ψ wasre-computed.

• Median contours Ψ did not change much, butconfidence bands for Ψ were much narrower, soit was judged that no further adaptation was needed.

(For other adaptive designs see R.B. Gramacy et al. (ICML, 2004), P. Ranjan

et al. (Technometrics, 2008), B.J. Williams et al. (Stat Sin, 2000))

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

1 2 3 4 5 68.7

8.75

8.8

8.85

8.9

8.95

9

9.05

Initiation angle, (radians)

log 10

(V),

(lo

g 10(m

3 ))

1 2 3 4 5 60

0.05

0.1

0.15

0.2

0.25

0.3

Initiation angle, (radians)

stan

dard

err

or, (

met

ers)

Figure: Left: Ψ(θ) (solid) with implicit standard error curves (dashed),Right: standard error; Red: original design. Blue: updated design.

The critical region Zc of inputs (V , θ) producing a catastrophicevent is the region above the critical contour Ψ.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Hazard Assessment II: Probability of Catastrophe

For us a PF is catastrophic if its volume V exceeds an uncertainthreshold Ψ(θ) that depends on the initiation angle θ.For a hazard summary we wish to report, for each T > 0,

Pr[ Catastrophe at x within T Years ]

= Pr[{(Vi , θi , τi )} : Vi > Ψ(θi), τi ≤ T ]

SO, we need a joint model for points {(Vi , θi , τi )} ⊂ R3.

Let’s do it in that order: first Volumes, then Angles, then Times.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Hazard Assessment II: Probability of Catastrophe

For us a PF is catastrophic if its volume V exceeds an uncertainthreshold Ψ(θ) that depends on the initiation angle θ.For a hazard summary we wish to report, for each T > 0,

Pr[ Catastrophe at x within T Years ]

= Pr[{(Vi , θi , τi )} : Vi > Ψ(θi), τi ≤ T ]

SO, we need a joint model for points {(Vi , θi , τi )} ⊂ R3.

Let’s do it in that order: first Volumes, then Angles, then Times.

Page 46: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Hazard Assessment II: Probability of Catastrophe

For us a PF is catastrophic if its volume V exceeds an uncertainthreshold Ψ(θ) that depends on the initiation angle θ.For a hazard summary we wish to report, for each T > 0,

Pr[ Catastrophe at x within T Years ]

= Pr[{(Vi , θi , τi )} : Vi > Ψ(θi), τi ≤ T ]

SO, we need a joint model for points {(Vi , θi , τi )} ⊂ R3.

Let’s do it in that order: first Volumes, then Angles, then Times.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

PF Volume vs. Frequency

5e+04 5e+05 5e+06 5e+07 5e+08

0.02

0.05

0.10

0.20

0.50

1.00

2.00

5.00

20.0

050

.00

PF Volume (m3 )

Ann

ual R

ate

Seems kind of linear, on log-log scale...

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Linear log-log plots of Magnitude vs. Frequency are a hallmark ofthe Pareto probability distribution Pa(α, ǫ),

P[V > v ] = (v/ǫ)−α, v > ǫ.

Which is kind of bad news.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Linear log-log plots of Magnitude vs. Frequency are a hallmark ofthe Pareto probability distribution Pa(α, ǫ),

P[V > v ] = (v/ǫ)−α, v > ǫ.

Which is kind of bad news.

Page 50: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Linear log-log plots of Magnitude vs. Frequency are a hallmark ofthe Pareto probability distribution Pa(α, ǫ),

P[V > v ] = (v/ǫ)−α, v > ǫ.

Which is kind of bad news.

Page 51: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

The Pareto Distribution

The negative slope seems to be about α ≈ 0.64 or so.The Pareto distribution with α < 1 has:

• Heavy tails;

• Infinite mean E[V ] = ∞, infinite variance E[V 2] = ∞;

• No Central Limit Theorem for sums (skewed α-Stable);

• Significant chance that, in the future, we will see volumeslarger than any we have seen in the past. Like V > 109m3.

• The Pareto comes up all the time in the Peaks overThreshhold (PoT) approach to the Statistics of ExtremeEvents— related to Fisher/Tippett Three Types Theorem.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

The Pareto Distribution

The negative slope seems to be about α ≈ 0.64 or so.The Pareto distribution with α < 1 has:

• Heavy tails;

• Infinite mean E[V ] = ∞, infinite variance E[V 2] = ∞;

• No Central Limit Theorem for sums (skewed α-Stable);

• Significant chance that, in the future, we will see volumeslarger than any we have seen in the past. Like V > 109m3.

• The Pareto comes up all the time in the Peaks overThreshhold (PoT) approach to the Statistics of ExtremeEvents— related to Fisher/Tippett Three Types Theorem.

Page 53: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

The Pareto Distribution

The negative slope seems to be about α ≈ 0.64 or so.The Pareto distribution with α < 1 has:

• Heavy tails;

• Infinite mean E[V ] = ∞, infinite variance E[V 2] = ∞;

• No Central Limit Theorem for sums (skewed α-Stable);

• Significant chance that, in the future, we will see volumeslarger than any we have seen in the past. Like V > 109m3.

• The Pareto comes up all the time in the Peaks overThreshhold (PoT) approach to the Statistics of ExtremeEvents— related to Fisher/Tippett Three Types Theorem.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

How big is bad?

8.6V=10

8.7V=10

8.8V=10

8.9V=10

9V=10

9.1V=10

0

45

90

135

180

225

270

315

Kinda depends on which direction it goes...

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

PF Initiation Angles

Our data on angles is quite vague— we only know which of 7 or 8valleys were reached by a given PF, from which we can infer asector but not a specific angle θ:

Any nonuniformity for θ? Any dependence of θ on Volume V ?

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Angle/Volume Data (cont)

We need a joint density function for V and θ. Without muchevidence against independence, we use product pdf:

V , θ ∼ αǫα V−α−11{V>ǫ}πκ(θ)

where πκ(θ) is the pdf for the von Mises vM(µ, κ) distribution,

πκ(θ) =eκ cos(θ−µ)

2πI0(κ),

centered at θ ≈ µ close to zero (East) with concentration κ thatmight depend on V if the data support that.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Angle/Volume Data (cont)

We need a joint density function for V and θ. Without muchevidence against independence, we use product pdf:

V , θ ∼ αǫα V−α−11{V>ǫ}πκ(θ)

where πκ(θ) is the pdf for the von Mises vM(µ, κ) distribution,

πκ(θ) =eκ cos(θ−µ)

2πI0(κ),

centered at θ ≈ µ close to zero (East) with concentration κ thatmight depend on V if the data support that.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

PF Times

If we observe λ PFs per year of volume V > ǫ, then what is theprobability that such a PF will occur in the next 24 hours?For short-term predictions, it may be important to note this candepend on many things, such as:

• How high is the dome just now?

• Any seismic activity suggesting dome growth and instability?

• Has it rained recently?

• How long since last PF?

But, for long-term predictions all these factors average out and weassume that:

• PF occurrences in disjoint time intervals are independent

• PF rates are constant over time, neither rising nor falling.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

PF Times

If we observe λ PFs per year of volume V > ǫ, then what is theprobability that such a PF will occur in the next 24 hours?For short-term predictions, it may be important to note this candepend on many things, such as:

• How high is the dome just now?

• Any seismic activity suggesting dome growth and instability?

• Has it rained recently?

• How long since last PF?

But, for long-term predictions all these factors average out and weassume that:

• PF occurrences in disjoint time intervals are independent

• PF rates are constant over time, neither rising nor falling.

Page 60: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

PF Times

If we observe λ PFs per year of volume V > ǫ, then what is theprobability that such a PF will occur in the next 24 hours?For short-term predictions, it may be important to note this candepend on many things, such as:

• How high is the dome just now?

• Any seismic activity suggesting dome growth and instability?

• Has it rained recently?

• How long since last PF?

But, for long-term predictions all these factors average out and weassume that:

• PF occurrences in disjoint time intervals are independent

• PF rates are constant over time, neither rising nor falling.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

PF Times (cont)

Under those assumptions (which we will revisit), the number ofPFs in any time interval has a Poisson Distribution, with meanproportional to its length.For an interval of length ∆t = 1/365, a single day, the expectednumber of PFs is λ∆t and so the probability of

P[ At least one PF during time ∆t ] = 1 − exp(−λ∆t)

Or about 1− e−22/365 ≈ 5.8% for one day with the SHV data from1995–2010.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

PF Times (cont)

Under those assumptions (which we will revisit), the number ofPFs in any time interval has a Poisson Distribution, with meanproportional to its length.For an interval of length ∆t = 1/365, a single day, the expectednumber of PFs is λ∆t and so the probability of

P[ At least one PF during time ∆t ] = 1 − exp(−λ∆t)

Or about 1− e−22/365 ≈ 5.8% for one day with the SHV data from1995–2010.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

A Summary of our Stochastic Model:

The data suggest a (provisional) model in which:

1. PF Volumes are iid from a Pareto V ∼ Pa(α, ǫ) distributionfor some shape parameter α(≈ 0.63) and minimum flowǫ (≈ 5 · 104 m3); and

2. PF Initiation Angles have a von Mises θ ∼ vM(µ, κ)distribution on [0, 2π) with µ ≈ 0 and κ ≈ 0.4; and

3. PF Arrival Times follow a stationary Poisson process at somerate λ (≈ 22)/yr.

These have the beautiful and simplifying consequence that thenumber of PFs in any region of three-dimensional (V × θ × τ)space has a Poisson probability distribution— so, we can evaluate:

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

A Summary of our Stochastic Model:

The data suggest a (provisional) model in which:

1. PF Volumes are iid from a Pareto V ∼ Pa(α, ǫ) distributionfor some shape parameter α(≈ 0.63) and minimum flowǫ (≈ 5 · 104 m3); and

2. PF Initiation Angles have a von Mises θ ∼ vM(µ, κ)distribution on [0, 2π) with µ ≈ 0 and κ ≈ 0.4; and

3. PF Arrival Times follow a stationary Poisson process at somerate λ (≈ 22)/yr.

These have the beautiful and simplifying consequence that thenumber of PFs in any region of three-dimensional (V × θ × τ)space has a Poisson probability distribution— so, we can evaluate:

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

A Summary of our Stochastic Model:

The data suggest a (provisional) model in which:

1. PF Volumes are iid from a Pareto V ∼ Pa(α, ǫ) distributionfor some shape parameter α(≈ 0.63) and minimum flowǫ (≈ 5 · 104 m3); and

2. PF Initiation Angles have a von Mises θ ∼ vM(µ, κ)distribution on [0, 2π) with µ ≈ 0 and κ ≈ 0.4; and

3. PF Arrival Times follow a stationary Poisson process at somerate λ (≈ 22)/yr.

These have the beautiful and simplifying consequence that thenumber of PFs in any region of three-dimensional (V × θ × τ)space has a Poisson probability distribution— so, we can evaluate:

Page 66: Hazard Assessment for Pyroclastic Flowsrlw/talks/gdrr.pdf · 21/05/2011  · Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe

Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

A Summary of our Stochastic Model:

The data suggest a (provisional) model in which:

1. PF Volumes are iid from a Pareto V ∼ Pa(α, ǫ) distributionfor some shape parameter α(≈ 0.63) and minimum flowǫ (≈ 5 · 104 m3); and

2. PF Initiation Angles have a von Mises θ ∼ vM(µ, κ)distribution on [0, 2π) with µ ≈ 0 and κ ≈ 0.4; and

3. PF Arrival Times follow a stationary Poisson process at somerate λ (≈ 22)/yr.

These have the beautiful and simplifying consequence that thenumber of PFs in any region of three-dimensional (V × θ × τ)space has a Poisson probability distribution— so, we can evaluate:

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Hazard

P[ Catastrophy within T Years ]

= 1 − P[YT = 0] (where YT is the number of catastrophes)

= 1 − exp(− EYT

)

= 1 − exp

(−λT ǫα

∫ 2π

0Ψ(θ)−α πκ(dθ)

)

Which we can compute pretty easily on a computer.

Accommodating uncertainty in λ, κ, α, etc. is easy in ObjectiveBayesian statistics— we use Reference Prior distributions, andsimulation-based methods (MCMC) to evaluate the necessaryintegrals.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Hazard

P[ Catastrophy within T Years ]

= 1 − P[YT = 0] (where YT is the number of catastrophes)

= 1 − exp(− EYT

)

= 1 − exp

(−λT ǫα

∫ 2π

0Ψ(θ)−α πκ(dθ)

)

Which we can compute pretty easily on a computer.

Accommodating uncertainty in λ, κ, α, etc. is easy in ObjectiveBayesian statistics— we use Reference Prior distributions, andsimulation-based methods (MCMC) to evaluate the necessaryintegrals.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Posterior distribution of (α, λ)

For a given minimum volume ǫ > 0 and period (0, t], the sufficientstatistics and Likelihood Function are

J = Number of PF’s in (0, t], and

S =∑

log(Vj), the log-product of their volumes

L(α, λ) ∝(λα)J exp{−λt ǫ−α − αS

}

Objective Priors:

• Jeffreys prior is πJ(α, λ) ∝ |I (α, λ)|1/2 ∝ α−1ǫ−α;

• Reference priors:

◦ α of interest: πR1(α, λ) ∝ λ−1/2α−1ǫ−α/2

◦ λ of interest: πR2(α, λ) ∝ λ−1/2[α−2 + (log ǫ)2]1/2ǫ−α/2,which is also Jeffreys’ independent prior.

Posterior: π(α, λ | data) ∝ L(α, λ)π(α, λ), quite tractable.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Computing the probability of catastrophe

To compute Pr(at least one catastrophic event in Tyears | data )for a range of T , an importance sampling estimate is

P(T ) ∼= 1 −

∑i exp

[−λi T ǫα Ψ(αi )

]π∗(αi ,λi )g(αi ,λi )

∑i

π∗(αi ,λi )g(αi ,λi )

,

where

• Ψ(α) is an MC estimate of∫ 2π0 Ψ(θ)−α πκ(dθ) based on

draws θi ∼ vM(µ, κ) (or use quadrature);

• π∗(α, λ) is the un-normalized posterior density;

• {(αi , λi )} are iid draws from the importance sampling densityg(α, λ) = t2(α, λ | µ, Σ, 3), with d.f. 3, mean µt = (α, λ),and scale Σ = inverse of observed Information Matrix.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Hazard Over Time at Plymouth & Bramble

0 2 4 6 8 100.0

0.2

0.4

0.6

0.8

1.0

← P(t) at Bramble Airport

P(t) at Plymouth →

Time t (years)

P(t

) =

P[ C

atas

trop

he in

t yr

s | D

ata

]

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

How are things at Bramble Airport?Not so good... here’s the runway...

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

How are things at Bramble Airport?Not so good... here’s the runway...

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Discussion

We have argued that:

• Hazard assessment of catastrophic events (in the absence oflots of extreme data) requires

◦ Mathematical computer modeling to support extrapolationbeyond the range of the data;

◦ Statistical modeling of available (possibly not extreme) data todetermine input distributions;

◦ Statistical development of emulators of the computer model todetermine critical event contours.

• Major sources of uncertainty can be combined andincorporated with Objective Bayesian analysis.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Ongoing Work & Extensions:

• Extend the methodology to create entire Hazard Maps(i.e., find hazard for all locations x simultaneously).

• Go beyond stationarity with

◦ Change-point model for intensity λt ;◦ Model (heavy-tailed) duration of activity;◦ Model caldera evolution (µ, κ for vM).

• Reflect uncertainty and change in DEM s.

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

A Collaborative Effort...

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Introduction Hazard Assessment I: Defining a Catastrophe Hazard Assessment II: Probability of a Catastrophe Discussion

Thanks— to Organizers and Collaborators!For more, see: www.stat.duke.edu/∼rlw/ or www.mvo.ms