ERRATA: Importing Uncertainty Estimates from One Surrogate to Another

[Felipe A. C. Viana]

Dear all,

This is a reference on the IMPORTATION OF UNCERTAINTY ESTIMATES in
metamodeling:

F. A. C. Viana and R.T. Haftka, "Importing Uncertainty Estimates from
One Surrogate to Another," in: 50th AIAA/ASME/ASCE/AHS/ASC Structures,
Structural Dynamics, and Materials Conference, Palm Springs, USA, May
4 - 7, 2009. AIAA-2009-2237.

In adaptive sampling and optimization methods, the uncertainty
estimators are used to guide the selection of the next sampling point
(s). These algorithms often limit themselves to surrogates such as
kriging and polynomial response surface because of the lack of
uncertainty estimates in the implementation of other surrogates. We
propose the importation (borrowing) of uncertainty estimates from one
surrogate to another. This would allow the use of support vector
regression models together with kriging uncertainty estimates, for
example. When multiple surrogates are available, we also propose using
cross-validation to aid in the decision of which surrogate to import
from. The approach was tested on two algebraic examples for ten basic
surrogates including different instances of kriging, polynomial
response surface, radial basis neural networks and support vector
regression surrogates. For these examples we found that (i) the
statistically based uncertainty estimates do not always correlate well
to the errors; (ii) importation of uncertainty structure can offer a
reasonable solution; and (iii) cross-validation successfully selects
the surrogate according to the quality of the uncertainty structure
and therefore it is useful in choosing which surrogate to import the
uncertainty estimate from.


You can find more about it online:
http://fchegury.googlepages.com

All the best,
Felipe A. C. Viana