Data-driven probability concentration and sampling on manifold

DOI10.1016/J.JCP.2016.05.044zbMATH Open1349.62202arXiv1603.02657OpenAlexW2300941020MaRDI QIDQ726929FDOQ726929

R. G. Ghanem, C. Soize

Publication date: 5 December 2016

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

Abstract: A new methodology is proposed for generating realizations of a random vector with values in a finite-dimensional Euclidean space that are statistically consistent with a data set of observations of this vector. The probability distribution of this random vector, while a-priori not known, is presumed to be concentrated on an unknown subset of the Euclidean space. A random matrix is introduced whose columns are independent copies of the random vector and for which the number of columns is the number of data points in the data set. The approach is based on the use of (i) the multidimensional kernel-density estimation method for estimating the probability distribution of the random matrix, (ii) a MCMC method for generating realizations for the random matrix, (iii) the diffusion-maps approach for discovering and characterizing the geometry and the structure of the data set, and (iv) a reduced-order representation of the random matrix, which is constructed using the diffusion-maps vectors associated with the first eigenvalues of the transition matrix relative to the given data set. The convergence aspects of the proposed methodology are analyzed and a numerical validation is explored through three applications of increasing complexity. The proposed method is found to be robust to noise levels and data complexity as well as to the intrinsic dimension of data and the size of experimental data sets. Both the methodology and the underlying mathematical framework presented in this paper contribute new capabilities and perspectives at the interface of uncertainty quantification, statistical data analysis, stochastic modeling and associated statistical inverse problems.

Full work available at URL: https://arxiv.org/abs/1603.02657

zbMATH Keywords

diffusion mapsmeasure concentrationstatistics on manifoldsconcentration of probabilitydesign of experiments for random parametersMCMC generatorprobability distribution on manifoldsrandom sampling generator

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Random number generation in numerical analysis (65C10)

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Cited In (40)

• Probabilistic learning for modeling and quantifying model-form uncertainties in nonlinear computational mechanics
• Probabilistic nonconvex constrained optimization with fixed number of function evaluations
• Identification and sampling of Bayesian posteriors of high-dimensional symmetric positive-definite matrices for data-driven updating of computational models
• GANs and Closures: Micro-Macro Consistency in Multiscale Modeling
• Design optimization under uncertainties of a mesoscale implant in biological tissues using a probabilistic learning algorithm
• Entropy-based closure for probabilistic learning on manifolds
• Probabilistic learning on manifolds (PLoM) with partition
• Monte Carlo on Manifolds: Sampling Densities and Integrating Functions
• A micromechanical mean‐field homogenization surrogate for the stochastic multiscale analysis of composite materials failure
• Probabilistic learning constrained by realizations using a weak formulation of Fourier transform of probability measures
• Probabilistic learning and updating of a digital twin for composite material systems
• Uncertainty quantification of graph convolution neural network models of evolving processes
• Diffusion maps-aided neural networks for the solution of parametrized PDEs
• Data-driven surrogates for high dimensional models using Gaussian process regression on the Grassmann manifold
• Towards blending physics-based numerical simulations and seismic databases using generative adversarial network
• Probabilistic learning inference of boundary value problem with uncertainties based on Kullback-Leibler divergence under implicit constraints
• Adaptive method for indirect identification of the statistical properties of random fields in a Bayesian framework
• Probabilistic learning on manifolds constrained by nonlinear partial differential equations for small datasets
• Bayesian adaptation of chaos representations using variational inference and sampling on geodesics
• Grassmannian diffusion maps based surrogate modeling via geometric harmonics
• Data-driven kernel representations for sampling with an unknown block dependence structure under correlation constraints
• Data-driven uncertainty quantification in computational human head models
• Polynomial-chaos-based conditional statistics for probabilistic learning with heterogeneous data applied to atomic collisions of helium on graphite substrate
• Polynomial chaos expansions on principal geodesic Grassmannian submanifolds for surrogate modeling and uncertainty quantification
• Probabilistic modelling of general noisy multi-manifold data sets
• Data driven Dirichlet sampling on manifolds
• Transient anisotropic kernel for probabilistic learning on manifolds
• Polynomial chaos representation of databases on manifolds
• Sampling of Bayesian posteriors with a non-Gaussian probabilistic learning on manifolds from a small dataset
• Sampling from manifold-restricted distributions using tangent bundle projections
• Updating an uncertain and expensive computational model in structural dynamics based on one single target FRF using a probabilistic learning tool
• Diffusion maps-based surrogate modeling: an alternative machine learning approach
• Physics-constrained non-Gaussian probabilistic learning on manifolds
• Sampling from a Manifold
• Normal-Bundle Bootstrap
• A Metric Space for Point Process Excitations
• Probabilistic-learning-based stochastic surrogate model from small incomplete datasets for nonlinear dynamical systems
• High-dimensional intrinsic interpolation using Gaussian process regression and diffusion maps
• An inverse micro-mechanical analysis toward the stochastic homogenization of nonlinear random composites
• Concurrent multiscale simulations of nonlinear random materials using probabilistic learning

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