A near-optimal sampling strategy for sparse recovery of polynomial chaos expansions

DOI10.1016/J.JCP.2018.05.025zbMATH Open1415.94368arXiv1702.07830OpenAlexW2594836702WikidataQ129803080 ScholiaQ129803080MaRDI QIDQ2425261FDOQ2425261

Hadi Meidani, Negin Alemazkoor

Publication date: 26 June 2019

Published in: Journal of Computational Physics (Search for Journal in Brave)

Abstract: Compressive sampling has become a widely used approach to construct polynomial chaos surrogates when the number of available simulation samples is limited. Originally, these expensive simulation samples would be obtained at random locations in the parameter space. It was later shown that the choice of sample locations could significantly impact the accuracy of resulting surrogates. This motivated new sampling strategies or design-of-experiment approaches, such as coherence-optimal sampling, which aim at improving the coherence property. In this paper, we propose a sampling strategy that can identify near-optimal sample locations that lead to improvement in local-coherence property and also enhancement of cross-correlation properties of measurement matrices. We provide theoretical motivations for the proposed sampling strategy along with several numerical examples that show that our near-optimal sampling strategy produces substantially more accurate results, compared to other sampling strategies.

Full work available at URL: https://arxiv.org/abs/1702.07830

zbMATH Keywords

Legendre polynomialscompressive samplingdesign of experimentpolynomial chaos expansionssampling strategysurrogate-based prediction

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Sampling theory in information and communication theory (94A20)

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Cited In (12)

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Uses Software

• PDCO
• SPGL1

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