Sparse Polynomial Chaos Expansions: Literature Survey and Benchmark (2002.01290v4)

Abstract: Sparse polynomial chaos expansions (PCE) are a popular surrogate modelling method that takes advantage of the properties of PCE, the sparsity-of-effects principle, and powerful sparse regression solvers to approximate computer models with many input parameters, relying on only few model evaluations. Within the last decade, a large number of algorithms for the computation of sparse PCE have been published in the applied math and engineering literature. We present an extensive review of the existing methods and develop a framework for classifying the algorithms. Furthermore, we conduct a unique benchmark on a selection of methods to identify which approaches work best in practical applications. Comparing their accuracy on several benchmark models of varying dimensionality and complexity, we find that the choice of sparse regression solver and sampling scheme for the computation of a sparse PCE surrogate can make a significant difference, of up to several orders of magnitude in the resulting mean-squared error. Different methods seem to be superior in different regimes of model dimensionality and experimental design size.