A probabilistic subspace bound with application to active subspaces

DOI10.1137/17M1141503MaRDI QIDQ4584918zbMATH OpenWikidataFDO

Authors John T. Holodnak, Ilse C. F. Ipsen, Ralph C. Smith

Publication date 5 September 2018

Published in SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1801.00682

zbMATH Keywords

active subspaceseigenvalue decompositioneigenvalue gapsintrinsic dimensionmatrix concentration inequalityMonte Carlo samplingpositive semidefinite matricesprincipal angles

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Factorization of matrices (15A23) Norms of matrices, numerical range, applications of functional analysis to matrix theory (15A60) Random fields (60G60) Numerical solutions to stochastic differential and integral equations (65C30) Numerical interpolation (65D05) Numerical computation of eigenvalues and eigenvectors of matrices (65F15)

Abstract: Given a real symmetric positive semi-definite matrix E, and an approximation S that is a sum of n independent matrix-valued random variables, we present bounds on the relative error in S due to randomization. The bounds do not depend on the matrix dimensions but only on the numerical rank (intrinsic dimension) of E. Our approach resembles the low-rank approximation of kernel matrices from random features, but our accuracy measures are more stringent. In the context of parameter selection based on active subspaces, where S is computed via Monte Carlo sampling, we present a bound on the number of samples so that with high probability the angle between the dominant subspaces of E and S is less than a user-specified tolerance. This is a substantial improvement over existing work, as it is a non-asymptotic and fully explicit bound on the sampling amount n, and it allows the user to tune the success probability. It also suggests that Monte Carlo sampling can be efficient in the presence of many parameters, as long as the underlying function f is sufficiently smooth.

Recommendations

• Generalized bounds for active subspaces
• Randomized subspace iteration: analysis of canonical angles and unitarily invariant norms
• Active subspace methods in theory and practice: applications to kriging surfaces
• Symmetry results for decay solutions of elliptic systems in the whole space
• Subspace acceleration for large-scale parameter-dependent Hermitian eigenproblems

Cites work

• A GRADIENT-BASED SAMPLING APPROACH FOR DIMENSION REDUCTION OF PARTIAL DIFFERENTIAL EQUATIONS WITH STOCHASTIC COEFFICIENTS
• Active subspace methods in theory and practice: applications to kriging surfaces
• An introduction to matrix concentration inequalities
• Derivative based global sensitivity measures and their link with global sensitivity indices
• Discovering an active subspace in a single‐diode solar cell model
• Erratum: Active Subspace Methods in Theory and Practice: Applications to Kriging Surfaces
• Error and Perturbation Bounds for Subspaces Associated with Certain Eigenvalue Problems
• Finding structure with randomness: probabilistic algorithms for constructing approximate matrix decompositions
• scientific article; zbMATH DE number 3671573 (Why is no real title available?)
• scientific article; zbMATH DE number 47363 (Why is no real title available?)
• scientific article; zbMATH DE number 6125590 (Why is no real title available?)
• scientific article; zbMATH DE number 6159604 (Why is no real title available?)
• scientific article; zbMATH DE number 5223994 (Why is no real title available?)
• On some extensions of Bernstein's inequality for self-adjoint operators
• Randomized approximation of the Gram matrix: exact computation and probabilistic bounds
• Structural Convergence Results for Approximation of Dominant Subspaces from Block Krylov Spaces
• Uncertainty quantification. Theory, implementation, and applications

Cited in

(9)

• A generalized active subspace for dimension reduction in mixed aleatory-epistemic uncertainty quantification
• Derivative-informed projected neural networks for high-dimensional parametric maps governed by PDEs
• Generalized bounds for active subspaces
• Efficient parameter estimation for a methane hydrate model with active subspaces
• Optimal bounds on the speed of subspace evolution*
• Sequential Learning of Active Subspaces
• Multifidelity Dimension Reduction via Active Subspaces
• Gaussian quadrature and polynomial approximation for one-dimensional ridge functions
• Model Reduction for Nonlinear Systems by Balanced Truncation of State and Gradient Covariance

This page was built for publication: A probabilistic subspace bound with application to active subspaces

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4584918)