Observable Dictionary Learning for High-Dimensional Statistical Inference

Observable Dictionary Learning for High-Dimensional Statistical Inference This paper introduces a method for efficiently inferring a high-dimensional distributed quantity from a few observations. The quantity of interest (QoI) is approximated in a basis (dictionary) learned from a training set. The coefficients associated with the approximation of the QoI in the basis are determined by minimizing the misfit with the observations. To obtain a probabilistic estimate of the quantity of interest, a Bayesian approach is employed. The QoI is treated as a random field endowed with a hierarchical prior distribution so that closed-form expressions can be obtained for the posterior distribution. The main contribution of the present work lies in the derivation of a representation basis consistent with the observation chain used to infer the associated coefficients. The resulting dictionary is then tailored to be both observable by the sensors and accurate in approximating the posterior mean. An algorithm for deriving such an observable dictionary is presented. The method is illustrated with the estimation of the velocity field of an open cavity flow from a handful of wall-mounted point sensors. Comparison with standard estimation approaches relying on Principal Component Analysis and K-SVD dictionaries is provided and illustrates the superior performance of the present approach. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Archives of Computational Methods in Engineering Springer Journals

Observable Dictionary Learning for High-Dimensional Statistical Inference

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Publisher
Springer Netherlands
Copyright
Copyright © 2017 by CIMNE, Barcelona, Spain
Subject
Engineering; Mathematical and Computational Engineering
ISSN
1134-3060
eISSN
1886-1784
D.O.I.
10.1007/s11831-017-9219-2
Publisher site
See Article on Publisher Site

Abstract

This paper introduces a method for efficiently inferring a high-dimensional distributed quantity from a few observations. The quantity of interest (QoI) is approximated in a basis (dictionary) learned from a training set. The coefficients associated with the approximation of the QoI in the basis are determined by minimizing the misfit with the observations. To obtain a probabilistic estimate of the quantity of interest, a Bayesian approach is employed. The QoI is treated as a random field endowed with a hierarchical prior distribution so that closed-form expressions can be obtained for the posterior distribution. The main contribution of the present work lies in the derivation of a representation basis consistent with the observation chain used to infer the associated coefficients. The resulting dictionary is then tailored to be both observable by the sensors and accurate in approximating the posterior mean. An algorithm for deriving such an observable dictionary is presented. The method is illustrated with the estimation of the velocity field of an open cavity flow from a handful of wall-mounted point sensors. Comparison with standard estimation approaches relying on Principal Component Analysis and K-SVD dictionaries is provided and illustrates the superior performance of the present approach.

Journal

Archives of Computational Methods in EngineeringSpringer Journals

Published: Apr 11, 2017

References

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