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arXiv 1702.07830stat.CO
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多项式混沌展开稀疏恢复的近优采样策略

A Near-Optimal Sampling Strategy for Sparse Recovery of Polynomial Chaos Expansions

Negin Alemazkoor, Hadi Meidani

摘要:

在有限的模拟样本条件下,压缩采样已成为构造多项式混沌代理的一种常用方法。最初,这些昂贵的模拟样本将在参数空间中的随机位置处获得。后来证明,样本位置的选择可能会显着影响所产生的替代品的准确性。这激发了新的采样策略或实验设计方法,如相干最佳采样,其目的是提高相干性。在本文中,我们提出了一种采样策略,可以确定接近最佳的采样位置,导致局部相干性的改善,也增强了测量矩阵的互相关特性。我们提出的采样策略的理论动机,以及几个数值例子表明,我们的近最佳采样策略产生更准确的结果,相比其他采样策略。

英文摘要:

Compressive sampling has become a widely used approach to construct polynomial chaos surrogates when the number of available simulation samples is limited. Originally, these expensive simulation samples would be obtained at random locations in the parameter space. It was later shown that the choice of sample locations could significantly impact the accuracy of resulting surrogates. This motivated new sampling strategies or design-of-experiment approaches, such as coherence-optimal sampling, which aim at improving the coherence property. In this paper, we propose a sampling strategy that can identify near-optimal sample locations that lead to improvement in local-coherence property and also enhancement of cross-correlation properties of measurement matrices. We provide theoretical motivations for the proposed sampling strategy along with several numerical examples that show that our near-optimal sampling strategy produces substantially more accurate results, compared to other sampling strategies.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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