Search arXivSearch

arXiv · 2107.02455

Assessing the Performance of an Adaptive Multi-Fidelity Gaussian Process with Noisy Training Data: A Statistical Analysis

Abstract

Despite the increased computational resources, the simulation-based design optimization (SBDO) procedure can be very expensive from a computational viewpoint, especially if high-fidelity solvers are required. Multi-fidelity metamodels have been successfully applied to reduce the computational cost of the SBDO process. In this context, the paper presents the performance assessment of an adaptive multi-fidelity metamodel based on a Gaussian process regression (MF-GPR) for noisy data. The MF-GPR is developed to: (i) manage an arbitrary number of fidelity levels, (ii) deal with objective function evaluations affected by noise, and (iii) improve its fitting accuracy by adaptive sampling. Multi-fidelity is achieved by bridging a low-fidelity metamodel with metamodels of the error between successive fidelity levels. The MF-GPR handles the numerical noise through regression. The adaptive sampling method is based on the maximum prediction uncertainty and includes rules to automatically select the fidelity to sample. The MF-GPR performance are assessed on a set of five analytical benchmark problems affected by noisy objective function evaluations. Since the noise introduces randomness in the evaluation of the objective function, a statistical analysis approach is adopted to assess the performance and the robustness of the MF-GPR. The paper discusses the efficiency and effectiveness of the MF-GPR in globally approximating the objective function and identifying the global minimum. One, two, and three fidelity levels are used. The results of the statistical analysis show that the use of three fidelity levels achieves a more accurate global representation of the noise-free objective function compared to the use of one or two fidelities.

Explore related subjects

Keep this discovery

Explore connections, maps & timelines

BibTeXRIS

Simone Ficini, Umberto Iemma, Riccardo Pellegrini, Andrea Serani, Matteo Diez. 2021-07-06. Assessing the Performance of an Adaptive Multi-Fidelity Gaussian Process with Noisy Training Data: A Statistical Analysis. https://doi.org/10.2514/6.2021-3098

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

Subpath-Based Column Generation for Electric Vehicle Routing Problems

Motivated by widespread electrification targets, this paper studies an Electric Vehicle Routing Problem with Time Windows and Nonlinear Charging (EVRPTWNL) that jointly optimizes routing-scheduling decisions and charging decisions given vehicle capacities, time windows and battery capacities. We develop a column generation scheme with a subpath-based label-setting algorithm that decomposes the pricing problem into two phases: (i) generating subpaths between charging stations, and (ii) combining subpaths into paths while optimizing charging decisions in between. We formalize a domination framework to establish the convergence and exactness of the algorithm, and prove that the methodology can solve a range of EVRP variants (e.g., with vehicle capacities, time windows, and nonlinear charging) and relaxation-tightening strategies (e.g., ng-relaxations and subset-row cuts). Computational results show improvements over path-based benchmarks in both computational time and solution quality, especially when time windows become wider, when vehicles can perform multiple tasks on a single charge and when vehicles still need to recharge several times across the planning horizon. Ultimately, the methodology can scale to otherwise intractable instances with up to 100 customers, thereby enhancing fleet management capabilities across electrified logistics areas.

math.OC

Polynomial Scaling is Possible For Neural Operator Approximations of Structured Families of BSDEs

Neural operator (NO) architectures learn nonlinear maps between infinite-dimensional function spaces and are widely used to accelerate simulation and enable data-driven model discovery. While universality results ensure expressivity, they do not address \emph{complexity}: for broad operator classes described only through regularity (e.g.\ uniform continuity or $C^r$-regularity), information-theoretic lower bounds imply that minimax-optimal NO approximation rates scale \emph{exponentially} in the reciprocal accuracy $1/\varepsilon$. This has shifted the focus of NO theory toward identifying additional problem-specific structure, beyond regularity, under which suitably tailored NO architectures can leverage to unlock polynomial scaling in $1/\varepsilon$. We exhibit the first polynomial-scaling regime for NO approximations of solution operators in stochastic analysis; by identifying structured families of \emph{non-Markovian} BSDEs with randomized terminal condition parameterized by the Sobolev-regular terminal condition and by Sobolev-regular additive nonlinear perturbations of the generator. We prove that their solution operator can be approximated (uniformly over the family) by a tailored NO whose number of trainable parameters grows \emph{polynomially} in $1/\varepsilon$. We unlock this polynomial scaling regime by \emph{informing the NO's inductive bias} by factoring out the singular part of the associated semilinear elliptic PDE Green's function and by incorporating the Doléans--Dade exponential of the BSDE's common non-Markovian factor into the NO's decoding layers. As a byproduct, we extend polynomial-scaling guarantees from families of linear elliptic PDEs on regular domains to the semilinear setting.

math.OC

The Competive Spectral Radius of Families of Nonexpansive Mappings

We consider a new class of repeated zero-sum games in which the payoff is the escape rate of a switched dynamical system, where at every stage, the transition is given by a nonexpansive operator depending on the actions of both players. This generalizes to the two-player (and non-linear) case the notion of joint spectral radius of a family of matrices. We show that the value of this game does exist, and we characterize it in terms of an infinite dimensional non-linear eigenproblem. This provides a two-player analogue of Mañe's lemma from ergodic control. This also extends to the two-player case results of Kohlberg and Neyman (1981), Karlsson (2001), and Vigeral and the second author (2012), concerning the asymptotic behavior of nonexpansive mappings. We discuss two special cases of this game: order preserving and positively homogeneous self-maps of a cone equipped with Funk's and Thompson's metrics, and translations of a finite dimensional normed space.

math.OC