Sparse polynomial chaos expansions (PCE) are a popular surrogate modelling method that takes advantage of the properties of PCE, the sparsity-of-effects principle, and powerful sparse regression solvers to approximate computer models with many input parameters, relying on only few model evaluations. Within the last decade, a large number of algorithms for the computation of sparse PCE have been published in the applied math and engineering literature. We present an extensive review of the existing methods and develop a framework for classifying the algorithms. Furthermore, we conduct a unique benchmark on a selection of methods to identify which approaches work best in practical applications. Comparing their accuracy on several benchmark models of varying dimensionality and complexity, we find that the choice of sparse regression solver and sampling scheme for the computation of a sparse PCE surrogate can make a significant difference, of up to several orders of magnitude in the resulting mean-squared error. Different methods seem to be superior in different regimes of model dimensionality and experimental design size.
Sparse approximation of data-driven Polynomial Chaos expansions: an induced sampling approach
在前向不确定性量化（UQ）领域中的一个开放问题是形成仅具有关于随机输入的分布的不完全信息的不确定性的准确评估的能力。另一个挑战是有效地利用有限的训练数据进行复杂工程问题的UQ预测，特别是高维随机参数。我们解决这些挑战相结合的数据驱动的多项式混沌扩展与最近开发的预处理稀疏近似方法的UQ问题。在这个两步过程中的第一个任务是使用（Ahlfeld et al. 2016）中开发的程序，使用随机输入的有限数量的统计矩来构建“任意”多项式混沌扩展基。第二步是一个新的程序，通过$\ell^1$最小化，以量化的前向不确定性的影响稀疏近似。为了提高预处理的$\ell^1$最小化问题的性能，我们从所谓的诱导分布中采样，而不是从原始的未知概率测度中使用Monte Carlo（MC）采样。我们证明了测试问题，诱导抽样是一个有竞争力的，往往更好的选择相比，从渐近最优的措施（如平衡测度），当我们有不完整的信息分布的抽样。我们证明了能力的诱导抽样算法通过稀疏表示有限的数据上的检验函数，和随机杨氏模量的Kirchoff板弯曲问题。
A generalized sampling and preconditioning scheme for sparse approximation of polynomial chaos expansions
Computer Science Research Institute, Sandia National Laboratories（桑迪亚国家实验室计算机科学研究所）；Scientific Computing and Imaging (SCI) Institute and Mathematics Department, University of Utah（犹他大学科学计算与成像研究所及数学系）；Institute of Computational Mathematics and the Chinese Academy of Sciences（中国科学院计算数学研究所）
Discovery of interpretable structural model errors by combining Bayesian sparse regression and data assimilation: A chaotic Kuramoto-Sivashinsky test case
