Sunday, February 13, 2022

UQSay #43

The forty-third UQSay seminar on UQ, DACE and related topics will take place online on Thursday afternoon, February 17, 2022.

2–3 PM — D. Austin Cole (GlaxoSmithKline, Inc.) — [slides]

Locally induced Gaussian processes for modelling large-scale simulations

Gaussian processes (GPs) serve as flexible surrogates for complex surfaces, but buckle under the cubic cost of matrix decompositions with big training data sizes. Geospatial and machine learning communities suggest pseudo-inputs, or inducing points, as one strategy to obtain an approximation easing that computational burden. However, we show how placement of inducing points and their multitude can be thwarted by pathologies, especially in large-scale dynamic response surface modeling tasks. As a remedy, we suggest porting the inducing point idea, which is usually applied globally, over to a more local context where selection is both easier and faster. In this way, our proposed methodology (LIGP) hybridizes global inducing point and data subset-based local GP approximation. A cascade of strategies for planning the selection of local inducing points is provided, and comparisons are drawn to related methodology with emphasis on computer surrogate modeling applications. We show that local inducing points extend their global and data-subset component parts on the accuracy—computational efficiency frontier. Next, we show how LIGP also provides benefits for stochastic simulation experiments by separating signal from noise with nugget estimation and replication. Woodbury identities allow local kernel structure to be expressed in terms of unique design locations only, increasing the amount of data (i.e., the neighborhood size) that may be leveraged without additional flops. Illustrative examples are provided on benchmark data and a variety of real-world simulation experiments, including satellite drag and epidemic management.

Joint work with Ryan Christianson, Robert B. Gramacy and Mike Ludkovski.

Ref: DOI:10.1007/s11222-021-10007-9 and arXiv:2109.05324.

Organizing committee: Pierre Barbillon (MIA-Paris), Julien Bect (L2S), Nicolas Bousquet (EDF R&D), Amélie Fau (LMPS), Filippo Gatti (LMPS), Bertrand Iooss (EDF R&D), Alexandre Janon (LMO), Sidonie Lefebvre (ONERA), Didier Lucor (LISN), Emmanuel Vazquez (L2S).

Coordinator: Julien Bect (L2S).

Practical details: the seminar will be held online using Microsoft Teams.

If you want to attend this seminar (or any of the forthcoming online UQSay seminars), and if you do not already have access to the UQSay group on Teams, simply send an email and you will be invited. Please specify which email address the invitation must be sent to (this has to be the address associated with your Teams account).

You will find the link to the seminar on the "General" UQSay channel on Teams, approximately 15 minutes before the beginning.

The technical side of things: you can use Teams either directly from your web browser or using the "fat client", which is available for most platforms (Windows, Linux, Mac, Android & iOS). We strongly recommend the latter option whenever possible. Please give it a try before the seminar to anticipate potential problems.