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gpais


Gaussian Process Adaptive Importance Sampling

Topics

This keyword is related to the topics:

Specification

Alias: gaussian_process_adaptive_importance_sampling

Argument(s): none

Child Keywords:

Required/Optional Description of Group Dakota Keyword Dakota Keyword Description
Optional build_samples

Number of initial model evaluations used in build phase

Optional seed

Seed of the random number generator

Optional samples_on_emulator

Number of samples at which to evaluate an emulator (surrogate)

Optional import_build_points_file

File containing points you wish to use to build a surrogate

Optional export_approx_points_file

Output file for evaluations of a surrogate model

Optional max_iterations

Number of iterations allowed for optimizers and adaptive UQ methods

Optional response_levels

Values at which to estimate desired statistics for each response

Optional probability_levels Specify probability levels at which to estimate the corresponding response value
Optional gen_reliability_levels Specify generalized relability levels at which to estimate the corresponding response value
Optional distribution

Selection of cumulative or complementary cumulative functions

Optional rng

Selection of a random number generator

Optional model_pointer

Identifier for model block to be used by a method

Description

gpais is recommended for problems that have a relatively small number of input variables (e.g. less than 10-20). This method, Gaussian Process Adaptive Importance Sampling, is outlined in the paperDalbey2012.

This method starts with an initial set of LHS samples and adds samples one at a time, with the goal of adaptively improving the estimate of the ideal importance density during the process. The approach uses a mixture of component densities. An iterative process is used to construct the sequence of improving component densities. At each iteration, a Gaussian process (GP) surrogate is used to help identify areas in the space where failure is likely to occur. The GPs are not used to directly calculate the failure probability; they are only used to approximate the importance density. Thus, the Gaussian process adaptive importance sampling algorithm overcomes limitations involving using a potentially inaccurate surrogate model directly in importance sampling calculations.

See Also

These keywords may also be of interest: