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arXiv · 1710.01372

Gauss-Christoffel quadrature for inverse regression: applications to computer experiments

Andrew Glaws·Paul G. Constantine
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Abstract

Sufficient dimension reduction (SDR) provides a framework for reducing the predictor space dimension in regression problems. We consider SDR in the context of deterministic functions of several variables such as those arising in computer experiments. In this context, SDR serves as a methodology for uncovering ridge structure in functions, and two primary algorithms for SDR---sliced inverse regression (SIR) and sliced average variance estimation (SAVE)---approximate matrices of integrals using a sliced mapping of the response. We interpret this sliced approach as a Riemann sum approximation of the particular integrals arising in each algorithm. We employ well-known tools from numerical analysis---namely, multivariate tensor product Gauss-Christoffel quadrature and orthogonal polynomials---to produce new algorithms that improve upon the Riemann sum-based numerical integration in SIR and SAVE. We call the new algorithms Lanczos-Stieltjes inverse regression (LSIR) and Lanczos-Stieltjes average variance estimation (LSAVE) due to their connection with Stieltjes' method---and Lanczos' related discretization---for generating a sequence of polynomials that are orthogonal to a given measure. We show that the quadrature-based approach approximates the desired integrals, and we study the behavior of LSIR and LSAVE with three numerical examples. As expected in high order numerical integration, the quadrature-based LSIR and LSAVE exhibit exponential convergence in the integral approximations compared to the first order convergence of the classical SIR and SAVE. The disadvantage of LSIR and LSAVE is that the underlying tensor product quadrature suffers from the curse of dimensionality---that is, the number of quadrature nodes grows exponentially with the input space dimension. Therefore, the proposed approach is most appropriate for deterministic functions with fewer than ten independent inputs.

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Andrew Glaws, Paul G. Constantine. 2017-10-05. Gauss-Christoffel quadrature for inverse regression: applications to computer experiments. https://arxiv.org/abs/1710.01372

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