Gaussian Process Subspace Prediction for Model Reduction
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Publication:5864693
DOI10.1137/21M1432739zbMATH Open1492.60090arXiv2107.04668OpenAlexW4281669620WikidataQ114074010 ScholiaQ114074010MaRDI QIDQ5864693FDOQ5864693
Authors:
Publication date: 8 June 2022
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Abstract: Subspace-valued functions arise in a wide range of problems, including parametric reduced order modeling (PROM). In PROM, each parameter point can be associated with a subspace, which is used for Petrov-Galerkin projections of large system matrices. Previous efforts to approximate such functions use interpolations on manifolds, which can be inaccurate and slow. To tackle this, we propose a novel Bayesian nonparametric model for subspace prediction: the Gaussian Process Subspace regression (GPS) model. This method is extrinsic and intrinsic at the same time: with multivariate Gaussian distributions on the Euclidean space, it induces a joint probability model on the Grassmann manifold, the set of fixed-dimensional subspaces. The GPS adopts a simple yet general correlation structure, and a principled approach for model selection. Its predictive distribution admits an analytical form, which allows for efficient subspace prediction over the parameter space. For PROM, the GPS provides a probabilistic prediction at a new parameter point that retains the accuracy of local reduced models, at a computational complexity that does not depend on system dimension, and thus is suitable for online computation. We give four numerical examples to compare our method to subspace interpolation, as well as two methods that interpolate local reduced models. Overall, GPS is the most data efficient, more computationally efficient than subspace interpolation, and gives smooth predictions with uncertainty quantification.
Full work available at URL: https://arxiv.org/abs/2107.04668
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- scientific article; zbMATH DE number 6747921
Gaussian processGrassmann manifolduncertainty quantificationsubspacereduced order modelingparameter adaptation
Nonparametric regression and quantile regression (62G08) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Gaussian processes (60G15)
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Cited In (11)
- Reduced-load equivalence for Gaussian processes
- A Hierarchical Expected Improvement Method for Bayesian Optimization
- Geometric subspace updates with applications to online adaptive nonlinear model reduction
- DRIPS: a framework for dimension reduction and interpolation in parameter space
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- Gaussian processes with built-in dimensionality reduction: applications to high-dimensional uncertainty propagation
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