Enhancing sparsity of Hermite polynomial expansions by iterative rotations

DOI10.1016/J.JCP.2015.11.038zbMATH Open1351.60041DBLPjournals/jcphy/YangLBL16arXiv1506.04344OpenAlexW1557892661WikidataQ56934217 ScholiaQ56934217MaRDI QIDQ729367FDOQ729367

Authors: Xiu Yang, Huan Lei, Nathan A. Baker, Guang Lin 

Publication date: 20 December 2016

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

Abstract: Compressive sensing has become a powerful addition to uncertainty quantification in recent years. This paper identifies new bases for random variables through linear mappings such that the representation of the quantity of interest is more sparse with new basis functions associated with the new random variables. This sparsity increases both the efficiency and accuracy of the compressive sensing-based uncertainty quantification method. Specifically, we consider rotation-based linear mappings which are determined iteratively for Hermite polynomial expansions. We demonstrate the effectiveness of the new method with applications in solving stochastic partial differential equations and high-dimensional ($mathcalO(100)$) problems.

Full work available at URL: https://arxiv.org/abs/1506.04344

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zbMATH Keywords

high dimensionsuncertainty quantificationcompressive sensinggeneralized polynomial chaosactive subspaceiterative rotations

Mathematics Subject Classification ID

Gaussian processes (60G15)

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Cited In (23)

• A new bi-fidelity model reduction method for Bayesian inverse problems
• Sparsity-promoting elastic net method with rotations for high-dimensional nonlinear inverse problem
• A data-driven framework for sparsity-enhanced surrogates with arbitrary mutually dependent randomness
• Conditional Karhunen-Loève expansion for uncertainty quantification and active learning in partial differential equation models
• Compressive sensing adaptation for polynomial chaos expansions
• Divide and conquer: an incremental sparsity promoting compressive sampling approach for polynomial chaos expansions
• A Low-Rank Approximated Multiscale Method for Pdes With Random Coefficients
• High-Dimensional Nonlinear Multi-Fidelity Model with Gradient-Free Active Subspace Method
• A General Framework of Rotational Sparse Approximation in Uncertainty Quantification
• Optimal observations-based retrieval of topography in 2D shallow water equations using PC-EnKF
• Subsampled Gauss quadrature nodes for estimating polynomial chaos expansions
• Towards optimal sampling for learning sparse approximation in high dimensions
• Artificial neural network based response surface for data-driven dimensional analysis
• Inverse regression-based uncertainty quantification algorithms for high-dimensional models: theory and practice
• Sparse polynomial chaos expansions via compressed sensing and D-optimal design
• Using automatic differentiation for compressive sensing in uncertainty quantification
• Calibration of reduced-order model for a coupled Burgers equations based on PC-EnKF
• Sliced-Inverse-Regression--Aided Rotated Compressive Sensing Method for Uncertainty Quantification
• Data-driven compressive sensing and applications in uncertainty quantification
• Regression-based sparse polynomial chaos for uncertainty quantification of subsurface flow models
• Hierarchical surrogate model with dimensionality reduction technique for high-dimensional uncertainty propagation
• A sparse multiresolution stochastic approximation for uncertainty quantification
• A near-optimal sampling strategy for sparse recovery of polynomial chaos expansions

Uses Software

• PDCO
• SPGL1
• SparseLab

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