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arXiv 2304.08784math.NAcs.NA
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参数依赖问题的概率降基方法

A probabilistic reduced basis method for parameter-dependent problems

Marie Billaud-Friess, Arthur Macherey, Anthony Nouy, Clémentine Prieur

AI总结:

本文提出一种概率降基方法,利用基于蒙特卡洛估计和PAC老虎机算法的概率贪心策略逼近参数依赖函数,并应用于含噪逐点评估及偏微分方程解流形。

摘要:

模型降阶(MOR)方法的概率变体近年来被提出,以改善经典方法的稳定性和计算性能。本文提出了一种概率降基方法(RBM),用于逼近一族参数依赖函数。该方法依赖于一种概率贪心算法,其误差指示器可表示为某个参数依赖随机变量的期望。文中讨论了基于该误差指示器的蒙特卡洛估计的实用算法。特别地,当采用概率近似正确(PAC)老虎机算法时,所得过程被证明以高概率构成弱贪心算法。预期应用涉及对仅能获得(含噪)逐点评估的参数依赖函数族的逼近。作为一个具体应用,我们考虑通过费曼-卡茨公式对线性参数依赖偏微分方程的解流形进行具有概率解释的逼近。

英文摘要:

Probabilistic variants of Model Order Reduction (MOR) methods have recently emerged for improving stability and computational performance of classical approaches. In this paper, we propose a probabilistic Reduced Basis Method (RBM) for the approximation of a family of parameter-dependent functions. It relies on a probabilistic greedy algorithm with an error indicator that can be written as an expectation of some parameter-dependent random variable. Practical algorithms relying on Monte Carlo estimates of this error indicator are discussed. In particular, when using Probably Approximately Correct (PAC) bandit algorithm, the resulting procedure is proven to be a weak greedy algorithm with high probability. Intended applications concern the approximation of a parameter-dependent family of functions for which we only have access to (noisy) pointwise evaluations. As a particular application, we consider the approximation of solution manifolds of linear parameter-dependent partial differential equations with a probabilistic interpretation through the Feynman-Kac formula.

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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