Hyper-differential sensitivity analysis with respect to model discrepancy: Prior distributions

Hyper-differential sensitivity analysis with respect to model discrepancy was recently developed to enable uncertainty quantification for optimization problems. The approach consists of two primary steps: (i) Bayesian calibration of the discrepancy between high- and low-fidelity models, and (ii) propagating the model discrepancy uncertainty through the optimization problem. When high-fidelity model evaluations are limited, as is common in practice, the prior discrepancy distribution plays a crucial role in the uncertainty analysis. However, specification of this prior is challenging due to its mathematical complexity and many hyper-parameters. This article presents a novel approach to specify the prior distribution. Our approach consists of two parts: (1) an algorithmic initialization of the prior hyper-parameters that uses existing data to initialize a hyper-parameter estimate, and (2) a visualization framework to systematically explore properties of the prior and guide tuning of the hyper-parameters to ensure that the prior captures the appropriate range of uncertainty. We provide detailed mathematical analysis and a collection of numerical examples that elucidate properties of the prior that are crucial to ensure uncertainty quantification.