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arXiv 2104.06291math.NAcs.NA
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核插值的最优设计:在不确定性量化中的应用

Optimal design for kernel interpolation: applications to uncertainty quantification

Akil Narayan, Liang Yan, Tao Zhou

摘要:

本文关注的是经典的内核插值方法,除了近似方法,增强梯度测量。为了以稳定的方式使用径向基函数(RBFs)应用核插值,我们提出了一种准最优插值点,从一个大的\textit{candidate}点集合中搜索,使用类似于设计Fekete点或幂函数最大化点的过程,使用来自Cholesky分解的枢轴。所提出的准最优点导致较小的条件数,从而减轻了插值过程中的不稳定性时,点的数量变得很大。参数不确定性量化的应用,它表明,所提出的插值方法可以优于稀疏网格方法在许多有趣的情况下。我们还证明了新的程序可以应用于构建梯度增强高斯过程仿真器。

英文摘要:

The paper is concerned with classic kernel interpolation methods, in addition to approximation methods that are augmented by gradient measurements. To apply kernel interpolation using radial basis functions (RBFs) in a stable way, we propose a type of quasi-optimal interpolation points, searching from a large set of \textit{candidate} points, using a procedure similar to designing Fekete points or power function maximizing points that use pivot from a Cholesky decomposition. The proposed quasi-optimal points result in a smaller condition number, and thus mitigates the instability of the interpolation procedure when the number of points becomes large. Applications to parametric uncertainty quantification are presented, and it is shown that the proposed interpolation method can outperform sparse grid methods in many interesting cases. We also demonstrate the new procedure can be applied to constructing gradient-enhanced Gaussian process emulators.

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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