Data-driven probability concentration and sampling on manifold

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

Authors: C. Soize, R. G. Ghanem 

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

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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)

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• Probabilistic nonconvex constrained optimization with fixed number of function evaluations
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• GANs and Closures: Micro-Macro Consistency in Multiscale Modeling
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• 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
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• 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
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• Sampling from a Manifold
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• High-dimensional intrinsic interpolation using Gaussian process regression and diffusion maps
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