Gaussian Processes and Polynomial Chaos Expansion for Regression Problem: Linkage via the RKHS and Comparison via the KL Divergence

Abstract

In this paper, we examine two widely-used approaches, the polynomial chaos expansion (PCE) and Gaussian process (GP) regression, for the development of surrogate models. The theoretical differences between the PCE and GP approximations are discussed. A state-of-the-art PCE approach is constructed based on high precision quadrature points; however, the need for truncation may result in potential precision loss; the GP approach performs well on small datasets and allows a fine and precise trade-off between fitting the data and smoothing, but its overall performance depends largely on the training dataset. The reproducing kernel Hilbert space (RKHS) and Mercer’s theorem are introduced to form a linkage between the two methods. The theorem has proven that the two surrogates can be embedded in two isomorphic RKHS, by which we propose a novel method named Gaussian process on polynomial chaos basis (GPCB) that incorporates the PCE and GP. A theoretical comparison is made between the PCE and GPCB with the help of the Kullback–Leibler divergence. We present that the GPCB is as stable and accurate as the PCE method. Furthermore, the GPCB is a one-step Bayesian method that chooses the best subset of RKHS in which the true function should lie, while the PCE method requires an adaptive procedure. Simulations of 1D and 2D benchmark functions show that GPCB outperforms both the PCE and classical GP methods. In order to solve high dimensional problems, a random sample scheme with a constructive design (i.e., tensor product of quadrature points) is proposed to generate a valid training dataset for the GPCB method. This approach utilizes the nature of the high numerical accuracy underlying the quadrature points while ensuring the computational feasibility. Finally, the experimental results show that our sample strategy has a higher accuracy than classical experimental designs; meanwhile, it is suitable for solving high dimensional problems.