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An improved approach for estimating the hyperparameters of the kriging model for high-dimensional problems through the partial least squares method

Bouhlel, Mohamed Amine and Bartoli, Nathalie and Ostmane, Abdelkader and Morlier, Joseph An improved approach for estimating the hyperparameters of the kriging model for high-dimensional problems through the partial least squares method. (2016) Mathematical Problems in Engineering, 2016. 1-11. ISSN 1024-123X

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Official URL: http://dx.doi.org/10.1155/2016/6723410

Abstract

During the last years, kriging has become one of the most popular methods in computer simulation and machine learning. Kriging models have been successfully used in many engineering applications, to approximate expensive simulation models. When many input variables are used, kriging is inefficient mainly due to an exorbitant computational time required during its construction. To handle high-dimensional problems (100+), one method is recently proposed that combines kriging with the Partial Least Squares technique, the so-called KPLS model. This method has shown interesting results in terms of saving CPU time required to build model while maintaining sufficient accuracy, on both academic and industrial problems. However, KPLS has provided a poor accuracy compared to conventional kriging on multimodal functions. To handle this issue, this paper proposes adding a new step during the construction of KPLS to improve its accuracy for multimodal functions. When the exponential covariance functions are used, this step is based on simple identification between the covariance function of KPLS and kriging. The developed method is validated especially by using a multimodal academic function, known as Griewank function in the literature, and we show the gain in terms of accuracy and computer time by comparing with KPLS and kriging.

Item Type:Article
HAL Id:hal-01840458
Audience (journal):International peer-reviewed journal
Uncontrolled Keywords:
Institution:French research institutions > Centre National de la Recherche Scientifique - CNRS (FRANCE)
Université de Toulouse > Ecole nationale supérieure des Mines d'Albi-Carmaux - IMT Mines Albi (FRANCE)
Université de Toulouse > Institut National des Sciences Appliquées de Toulouse - INSA (FRANCE)
Université de Toulouse > Institut Supérieur de l'Aéronautique et de l'Espace - ISAE-SUPAERO (FRANCE)
Université de Toulouse > Université Toulouse III - Paul Sabatier - UPS (FRANCE)
Other partners > SAFRAN (FRANCE)
Other partners > University of Michigan - U-M (USA)
Laboratory name:
Funders:
SNECMA/ANRT
Statistics:download
Deposited By: Joseph Morlier
Deposited On:18 Dec 2017 15:53

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