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P. Embrechts

Publications and source records attributed to P. Embrechts.

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Data-driven polynomial chaos expansion for machine learning regression

We present a regression technique for data-driven problems based on polynomial chaos expansion (PCE). PCE is a popular technique in the field of uncertainty quantification (UQ), where it is typically used to replace a runnable but expensive computational model subject to random inputs with an inexpensive-to-evaluate polynomial function. The metamodel obtained enables a reliable estimation of the statistics of the output, provided that a suitable probabilistic model of the input is available. Machine learning (ML) regression is a research field that focuses on providing purely data-driven input-output maps, with the focus on pointwise prediction accuracy. We show that a PCE metamodel purely trained on data can yield pointwise predictions whose accuracy is comparable to that of other ML regression models, such as neural networks and support vector machines. The comparisons are performed on benchmark datasets available from the literature. The methodology also enables the quantification of the output uncertainties, and is robust to noise. Furthermore, it enjoys additional desirable properties, such as good performance for small training sets and simplicity of construction, with only little parameter tuning required.

stat.ML

A general framework for data-driven uncertainty quantification under complex input dependencies using vine copulas

Systems subject to uncertain inputs produce uncertain responses. Uncertainty quantification (UQ) deals with the estimation of statistics of the system response, given a computational model of the system and a probabilistic model of its inputs. In engineering applications it is common to assume that the inputs are mutually independent or coupled by a Gaussian or elliptical dependence structure (copula). In this paper we overcome such limitations by modelling the dependence structure of multivariate inputs as vine copulas. Vine copulas are models of multivariate dependence built from simpler pair-copulas. The vine representation is flexible enough to capture complex dependencies. This paper formalises the framework needed to build vine copula models of multivariate inputs and to combine them with virtually any UQ method. The framework allows for a fully automated, data-driven inference of the probabilistic input model on available input data. The procedure is exemplified on two finite element models of truss structures, both subject to inputs with non-Gaussian dependence structures. For each case, we analyse the moments of the model response (using polynomial chaos expansions), and perform a structural reliability analysis to calculate the probability of failure of the system (using the first order reliability method and importance sampling). Reference solutions are obtained by Monte Carlo simulation. The results show that, while the Gaussian assumption yields biased statistics, the vine copula representation achieves significantly more precise estimates, even when its structure needs to be fully inferred from a limited amount of observations.

stat.ME