Adaptive surrogate modeling by ANOVA and sparse polynomial dimensional decomposition for global sensitivity analysis in fluids simulation

Abstract : The polynomial dimensional decomposition (PDD) is employed in this work for the global sensitivity analysis and uncertainty quantification (UQ) of stochastic systems subject to a moderate to large number of input random variables. Due to the intimate structure between the PDD and the Analysis of Variance (ANOVA) approach, PDD is able to provide a simpler and more direct evaluation of the Sobol’ sensitivity indices, when compared to the Polynomial Chaos expansion (PC). Unfortunately, the number of PDD terms grows exponentially with respect to the size of the input random vector, which makes the computational cost of standard methods unaffordable for real engineering applications. In order to address the problem of the curse of dimensionality, this work proposes essentially variance-based adaptive strategies aiming to build a cheap meta-model (i.e. surrogate model) by employing the sparse PDD approach with its coefficients computed by regression. Three levels of adaptivity are carried out in this paper: 1) the truncated dimensionality for ANOVA component functions, 2) the active dimension technique especially for second- and higher-order parameter interactions, and 3) the stepwise regression approach designed to retain only the most influential polynomials in the PDD expansion. During this adaptive procedure featuring stepwise regressions, the surrogate model representation keeps containing few terms, so that the cost to resolve repeatedly the linear systems of the least-square regression problem is negligible. The size of the finally obtained sparse PDD representation is much smaller than the one of the full expansion, since only significant terms are eventually retained. Consequently, a much less number of calls to the deterministic model is required to compute the final PDD coefficients.
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[Research Report] RR-8758, Inria Bordeaux Sud-Ouest. 2015
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Kunkun Tang, Pietro Marco Congedo, Remi Abgrall. Adaptive surrogate modeling by ANOVA and sparse polynomial dimensional decomposition for global sensitivity analysis in fluids simulation. [Research Report] RR-8758, Inria Bordeaux Sud-Ouest. 2015. 〈hal-01178398〉

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