GAUSSIAN PROCESS SUBSPACE PREDICTION FOR MODEL REDUCTION

Journal Article (Journal Article)

Subspace-valued functions arise in a wide range of problems, including parametric reduced order modeling (PROM), parameter reduction, and subspace tracking. In PROM, each parameter point can be associated with a subspace, which is used for Petrov–Galerkin projections of large system matrices. Previous efforts to approximate such functions use interpolations on manifolds, which can be inaccurate and slow. To tackle this, we propose a novel Bayesian nonparametric model for subspace prediction: the Gaussian process subspace (GPS) model. This method is extrinsic and intrinsic at the same time: with multivariate Gaussian distributions on the Euclidean space, it induces a joint probability model on the Grassmann manifold, the set of fixed-dimensional subspaces. The GPS adopts a simple yet general correlation structure, and a principled approach for model selection. Its predictive distribution admits an analytical form, which allows for efficient subspace prediction over the parameter space. For PROM, the GPS provides a probabilistic prediction at a new parameter point that retains the accuracy of local reduced models, at a computational complexity that does not depend on system dimension, and thus is suitable for online computation. We give four numerical examples to compare our method to subspace interpolation, as well as two methods that interpolate local reduced models. Overall, GPS is the most data efficient, more computationally efficient than subspace interpolation, and gives smooth predictions with uncertainty quantification.

Full Text

Duke Authors

Cited Authors

  • Zhang, R; Mak, S; Dunson, D

Published Date

  • January 1, 2022

Published In

Volume / Issue

  • 44 / 3

Start / End Page

  • A1428 - A1449

Electronic International Standard Serial Number (EISSN)

  • 1095-7197

International Standard Serial Number (ISSN)

  • 1064-8275

Digital Object Identifier (DOI)

  • 10.1137/21M1432739

Citation Source

  • Scopus