High-Dimensional Spectral Sampling

Abstract

A wide variety of applications in science and engineering depend on effectively and efficiently exploring high- dimensional parameter spaces. Common examples are uncertainty quantification, inverse problems, or various optimization approaches. In such applications, the first step is to create an initial uniform, random sampling of the space to create a baseline of knowledge. The simulations evaluated at these samples are then used for subsequent processing. In its most generic form, the goal of sampling is to produce the maximal amount of information with the minimal number of samples. However, despite being the first step and thus influencing the performance of the entire workflow, the quality of the initial sample designs is rarely analyzed or optimized. This project develops a new spectral sampling theory for analyzing and creating experiment designs in high-dimensional spaces. Further, new algorithms for estimating sample properties and sample synthesis are designed. Finally, applications of the proposed spectral sampling tools in surrogate modeling, scientific machine learning and image analysis are presented.