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International Journal for Uncertainty Quantification

Impact factor: 1.000

ISSN Print: 2152-5080
ISSN Online: 2152-5099

Open Access

International Journal for Uncertainty Quantification

DOI: 10.1615/Int.J.UncertaintyQuantification.2015012467
pages 171-193

POLYNOMIAL-CHAOS-BASED KRIGING

Roland Schobi
Chair of Risk, Safety and Uncertainty Quantification, Department of Civil Engineering, ETH Zurich, Stefano-Franscini-Platz 5, 8093 Zurich, Switzerland
Bruno Sudret
ETH Zurich, Institute of Structural Engineering, Chair of Risk, Safety and Uncertainty Quantification, Stefano-Franscini-Platz 5, CH-8093 Zurich, Switzerland
Joe Wiart
WHIST Lab, Institut Mines Telecom, 46 rue Barrault 75634 Paris Cedex 13, France

ABSTRACT

Computer simulation has become the standard tool in many engineering fields for designing and optimizing systems, as well as for assessing their reliability. Optimization and uncertainty quantification problems typically require a large number of runs of the computational model at hand, which may not be feasible with high-fidelity models directly. Thus surrogate models (a.k.a meta-models) have been increasingly investigated in the last decade. Polynomial chaos expansions (PCE) and Kriging are two popular nonintrusive meta-modeling techniques. PCE surrogates the computational model with a series of orthonormal polynomials in the input variables where polynomials are chosen in coherency with the probability distributions of those input variables. A least-square minimization technique may be used to determine the coefficients of the PCE. Kriging assumes that the computer model behaves as a realization of a Gaussian random process whose parameters are estimated from the available computer runs, i.e., input vectors and response values. These two techniques have been developed more or less in parallel so far with little interaction between the researchers in the two fields. In this paper, PC-Kriging is derived as a new nonintrusive meta-modeling approach combining PCE and Kriging. A sparse set of orthonormal polynomials (PCE) approximates the global behavior of the computational model whereas Kriging manages the local variability of the model output. An adaptive algorithm similar to the least angle regression algorithm determines the optimal sparse set of polynomials. PC-Kriging is validated on various benchmark analytical functions which are easy to sample for reference results. From the numerical investigations it is concluded that PC-Kriging performs better than or at least as good as the two distinct meta-modeling techniques. A larger gain in accuracy is obtained when the experimental design has a limited size, which is an asset when dealing with demanding computational models.