Basis Adaptive Sample Efficient Polynomial Chaos (BASE-PC) (1702.01185v1)

Abstract: For a large class of orthogonal basis functions, there has been a recent identification of expansion methods for computing accurate, stable approximations of a quantity of interest. This paper presents, within the context of uncertainty quantification, a practical implementation using basis adaptation, and coherence motivated sampling, which under assumptions has satisfying guarantees. This implementation is referred to as Basis Adaptive Sample Efficient Polynomial Chaos (BASE-PC). A key component of this is the use of anisotropic polynomial order which admits evolving global bases for approximation in an efficient manner, leading to consistently stable approximation for a practical class of smooth functionals. This fully adaptive, non-intrusive method, requires no a priori information of the solution, and has satisfying theoretical guarantees of recovery. A key contribution to stability is the use of a presented correction sampling for coherence-optimal sampling in order to improve stability and accuracy within the adaptive basis scheme. Theoretically, the method may dramatically reduce the impact of dimensionality in function approximation, and numerically the method is demonstrated to perform well on problems with dimension up to 1000.