A general framework of rotational sparse approximation in uncertainty quantification

DOI10.1137/21M1391602zbMATH Open1511.41003arXiv2101.04890MaRDI QIDQ6358168FDOQ6358168

Publication date: 13 January 2021

Abstract: This paper proposes a general framework to estimate coefficients of generalized polynomial chaos (gPC) used in uncertainty quantification via rotational sparse approximation. In particular, we aim to identify a rotation matrix such that the gPC expansion of a set of random variables after the rotation has a sparser representation. However, this rotational approach alters the underlying linear system to be solved, which makes finding the sparse coefficients more difficult than the case without rotation. To solve this problem, we examine several popular nonconvex regularizations in compressive sensing (CS) that perform better than the classic l1 approach empirically. All these regularizations can be minimized by the alternating direction method of multipliers (ADMM). Numerical examples show superior performance of the proposed combination of rotation and nonconvex sparse promoting regularizations over the ones without rotation and with rotation but using the convex l1 approach.

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Approximation by polynomials (41A10) Numerical solutions to stochastic differential and integral equations (65C30)

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