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Improving kriging surrogates of high-dimensional design models by Partial Least Squares dimension reduction

  • Mohamed Amine BouhlelEmail author
  • Nathalie Bartoli
  • Abdelkader Otsmane
  • Joseph Morlier
REVIEW ARTICLE

Abstract

Engineering computer codes are often computationally expensive. To lighten this load, we exploit new covariance kernels to replace computationally expensive codes with surrogate models. For input spaces with large dimensions, using the kriging model in the standard way is computationally expensive because a large covariance matrix must be inverted several times to estimate the parameters of the model. We address this issue herein by constructing a covariance kernel that depends on only a few parameters. The new kernel is constructed based on information obtained from the Partial Least Squares method. Promising results are obtained for numerical examples with up to 100 dimensions, and significant computational gain is obtained while maintaining sufficient accuracy.

Keywords

Kriging Partial Least Squares Experiment design Metamodels 

Symbols and notation

Matrices and

vectors are in bold type.

Symbol

Meaning

det

Determinant of a matrix

|⋅|

Absolute value

Set of real numbers

+

Set of positive real numbers

n

Number of sampling points

d

Dimensions

h

Number of principal components retained

x

d vector

xj

j th element of a vector x

X

n × d matrix containing sampling points

y

n × 1 vector containing simulation of X

x(i)

i th training point for i = 1,…,n (a 1 × d vector)

w(l)

d × 1 vector containing X weights given by the l th PLS iteration for l = 1,…,h

X(0)

X

X(l−1)

Matrix containing residual of inner regression of (l − 1)st PLS iteration for l = 1,…,h

k(⋅, ⋅)

Covariance function

(0, k(⋅, ⋅))

Distribution of a Gaussian process with mean function 0 and covariance function k(⋅, ⋅)

xt

Superscript t denotes the transpose operation of the vector x

Notes

Acknowledgments

The authors thank the anonymous reviewers for their insightful and constructive comments. We also extend our grateful thanks to A. Chiplunkar from ISAE SUPAERO, Toulouse and R. G. Regis from Saint Joseph’s University, Philadelphia for their careful correction of the manuscript and to SNECMA for providing the tables of experiment results. Finally, B. Kraabel is gratefully acknowledged for carefully reviewing the paper prior to publication.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2015

Authors and Affiliations

  • Mohamed Amine Bouhlel
    • 1
    Email author
  • Nathalie Bartoli
    • 2
  • Abdelkader Otsmane
    • 1
  • Joseph Morlier
    • 3
  1. 1.SNECMA, Rond-point René Ravaud-RéauMoissy-CramayelFrance
  2. 2.ONERAToulouseFrance
  3. 3.Université de Toulouse, CNRS, Institut Clément Ader, ISAE-SUPAEROToulouse Cedex 4France

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