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Nested polynomial trends for the improvement of Gaussian process-based predictors

Abstract : The role of simulation keeps increasing for the sensitivity analysis and the uncertainty quantification of complex systems. Such numerical procedures are generally based on the processing of a huge amount of code evaluations. When the computational cost associated with one particular evaluation of the code is high, such direct approaches based on the computer code only, are not affordable. Surrogate models have therefore to be introduced to interpolate the information given by a fixed set of code evaluations to the whole input space. When confronted to deterministic mappings, the Gaussian process regression (GPR), or kriging, presents a good compromise between complexity , efficiency and error control. Such a method considers the quantity of interest of the system as a particular realization of a Gaussian stochastic process, whose mean and covariance functions have to be identified from the available code evaluations. In this context, this work proposes an innovative parametrization of this mean function, which is based on the composition of two polynomials. This approach is particularly relevant for the approximation of strongly non linear quantities of interest from very little information. After presenting the theoretical basis of this method, this work compares its efficiency to alternative approaches on a series of examples.
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Submitted on : Sunday, July 16, 2017 - 6:37:46 PM
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Guillaume Perrin, Christian Soize, Sophie Marque-Pucheu, Josselin Garnier. Nested polynomial trends for the improvement of Gaussian process-based predictors. Journal of Computational Physics, Elsevier, 2017, 346, pp.389 - 402. ⟨10.1016/⟩. ⟨hal-01562655⟩



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