Optimized Sparse Polynomial Chaos Expansion With Entropy Regularization

Sparse Polynomial Chaos Expansion(PCE) is widely used in various engineering fields to quantitatively analyse the influence of uncertainty, while alleviate the problem of dimensionality curse. However, current sparse PCE techniques focus on choosing features with the largest coefficients, which may ignore uncertainties propagated with high order features. Hence, this paper proposes the idea of selecting polynomial chaos basis based on information entropy, which aims to retain the advantages of existing sparse techniques while considering entropy change as output uncertainty. A novel entropy-based optimization method is proposed to update the state-of-the-art sparse PCE models. This work further develops an entropy-based synthetic sparse model, which has higher computational efficiency. Two benchmark functions and a CFD experiment are used to compare the accuracy and efficiency between the proposed method and classical methods. The results show that entropy-based methods can better capture the features of uncertainty propagation, and the problem of over-fitting in existing sparse PCE methods can be avoided.

Toward an Efficient Uncertainty Quantification of Streamflow Predictions Using Sparse Polynomial Chaos Expansion

Reliable hydrologic models are essential for planning, designing, and management of water resources. However, predictions by hydrological models are prone to errors due to a variety of sources of uncertainty. More accurate quantification of these uncertainties using a large number of ensembles and model runs is hampered by the high computational burden. In this study, we developed a highly efficient surrogate model constructed by sparse polynomial chaos expansion (SPCE) coupled with the least angle regression method, which enables efficient uncertainty quantifications. Polynomial chaos expansion was employed to surrogate a storage function-based hydrological model (SFM) for nine streamflow events in the Hongcheon watershed of South Korea. The efficiency of SPCE is investigated by comparing it with another surrogate model, full polynomial chaos expansion (FPCE) built by a well-known, ordinary least square regression (OLS) method. This study confirms that (1) the performance of SPCE is superior to that of FPCE because SPCE can build a more accurate surrogate model (i.e., smaller leave-one-out cross-validation error) with one-quarter the size (i.e., 500 versus 2000). (2) SPCE can sufficiently capture the uncertainty of the streamflow, which is comparable to that of SFM. (3) Sensitivity analysis attained through visual inspection and mathematical computation of the Sobol’ index has been of great success for SPCE to capture the parameter sensitivity of SFM, identifying four parameters, α, Kbas, Pbas, and Pchn, that are most sensitive to the likelihood function, Nash-Sutcliffe efficiency. (4) The computational power of SPCE is about 200 times faster than that of SFM and about four times faster than that of FPCE. The SPCE approach builds a surrogate model quickly and robustly with a more compact experimental design compared to FPCE. Ultimately, it will benefit ensemble streamflow forecasting studies, which must provide information and alerts in real time.