Orthogonal Bases for Polynomial Regression with Derivative Information in Uncertainty Quantification

TitleOrthogonal Bases for Polynomial Regression with Derivative Information in Uncertainty Quantification
Publication TypeJournal Article
Year of Publication2010
AuthorsLi, Y, Anitescu, M, Roderick, O, Hickernell, F
Date Published11/2010
Other NumbersANL/MCS-P1806-1110
Abstract

We discuss the choice of polynomial basis for approximation of uncertainty propagation through complex simulation models with capability to output derivative information. Our work is part of a larger research effort in uncertainty quantification using sampling methods augmented with derivative information. The approach has new challenges compared with standard polynomial regression. In particular, we show that a tensor product multivariate orthogonal polynomial basis of an arbitrary degree may no longer be constructed. We provide sufficient conditions for an orthonormal set of this type to exist, a basis for the space it spans. We demonstrate the benefits of the basis in the propagation of material uncertainties through a simplified model of heat transport in a nuclear reactor core. Compared with the tensor product Hermite polynomial basis, the orthogonal basis results in a better numerical conditioning of the regression procedure, a modest improvement in approximation error when basis polynomials are chosen a priori, and a significant improvement when basis polynomials are chosen adaptively, using a stepwise fitting procedure.

PDFhttp://www.mcs.anl.gov/papers/P1806.pdf