Probabilistic learning on manifolds (PLoM) with partition

Christian Soize (1) , Roger Ghanem (2)

1 MSME - Laboratoire Modélisation et Simulation Multi-Echelle
2 USC - University of Southern California

The probabilistic learning on manifolds (PLoM) introduced in 2016 has solved difficult supervised problems for the ``small data'' limit where the number N of points in the training set is small. Many extensions have since been proposed, making it possible to deal with increasingly complex cases. However, the performance limit has been observed and explained for applications for which N is very small and for which the dimension of the diffusion-map basis is close to N. For these cases, we propose a novel extension based on the introduction of a partition in independent random vectors. We take advantage of this development to present improvements of the PLoM such as a simplified algorithm for constructing the diffusion-map basis and a new mathematical result for quantifying the concentration of the probability measure in terms of a probability upper bound. The analysis of the efficiency of this extension is presented through two applications.

Mots clés: probabilistic learning; PLoM; partition in independent random vectors; machine learning; uncertainty quantification

Domaines: Statistiques [math.ST]; Probabilités [math.PR]; Sciences de l'ingénieur [physics]

Christian Soize, Roger Ghanem. Probabilistic learning on manifolds (PLoM) with partition. International Journal for Numerical Methods in Engineering, 2022, 123 (1), pp.268-290. ⟨10.1002/nme.6856⟩. ⟨hal-03381363⟩