Quantification of uncertainty from high-dimensional scattered data via polynomial approximation

DOI10.1615/INT.J.UNCERTAINTYQUANTIFICATION.2014008084MaRDI QIDQ2932949zbMATH OpenOpenAlexFDO

Authors L. Mathelin

Publication date 9 December 2014

Published in International Journal for Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1302.7083

zbMATH Keywords

alternate least squareshigh-dimensional model reductionleast angle regressionpolynomial chaostotal least squaresuncertainty quantification

Mathematics Subject Classification ID

Computer-aided design (modeling of curves and surfaces) (65D17)

Abstract: This paper discusses a methodology for determining a functional representation of a random process from a collection of scattered pointwise samples. The present work specifically focuses onto random quantities lying in a high dimensional stochastic space in the context of limited amount of information. The proposed approach involves a procedure for the selection of an approximation basis and the evaluation of the associated coefficients. The selection of the approximation basis relies on the a priori choice of the High-Dimensional Model Representation format combined with a modified Least Angle Regression technique. The resulting basis then provides the structure for the actual approximation basis, possibly using different functions, more parsimonious and nonlinear in its coefficients. To evaluate the coefficients, both an alternate least squares and an alternate weighted total least squares methods are employed. Examples are provided for the approximation of a random variable in a high-dimensional space as well as the estimation of a random field. Stochastic dimensions up to 100 are considered, with an amount of information as low as about 3 samples per dimension, and robustness of the approximation is demonstrated w.r.t. noise in the dataset. The computational cost of the solution method is shown to scale only linearly with the cardinality of the a priori basis and exhibits a (N_q)^s, 2 <= s <= 3, dependence with the number N_q of samples in the dataset. The provided numerical experiments illustrate the ability of the present approach to derive an accurate approximation from scarce scattered data even in the presence of noise.

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• A continuous analogue of the tensor-train decomposition
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• Uncertainty quantification of high-dimensional complex systems by multiplicative polynomial dimensional decompositions

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