论文标题

通过方差分析初始化的张量火车格式中的黑匣子近似

Black box approximation in the tensor train format initialized by ANOVA decomposition

论文作者

Chertkov, Andrei, Ryzhakov, Gleb, Oseledets, Ivan

论文摘要

替代模型可以减少具有未知内部结构(黑匣子)的多变量功能的计算成本。在离散的公式中,替代建模等同于从其元素的一小部分恢复多维阵列(张量)。张量列(TT)格式中的交替最小二乘(ALS)算法是一种广泛使用的方法,可以有效地解决此问题的情况下,在从给定的训练集(即张量完成问题)中恢复了非适应性张量的情况下。 TT-ALS允许获得张量的低参数表示,该表示器不受维度的诅咒,可用于在任意张量指数下快速计算值,或用黑匣子(Integration等)对代数操作的有效实现。但是,要在对火车数据大小的限制下获得高精度,必不可少的初始近似选择是必不可少的。在这项工作中,我们在TT-Format中构造ANOVA表示形式,并将其用作TT-ALS算法的初始近似值。用于许多多维模型问题(包括参数部分微分方程)的数值计算证明了我们在常用的随机初始近似方法中的方法的重要优势。对于所有考虑的模型问题,我们至少提高了准确性的数量级,并对黑匣子的请求数量相同。所提出的方法非常通用,可以应用于一系列现实的代孕建模和机器学习问题。

Surrogate models can reduce computational costs for multivariable functions with an unknown internal structure (black boxes). In a discrete formulation, surrogate modeling is equivalent to restoring a multidimensional array (tensor) from a small part of its elements. The alternating least squares (ALS) algorithm in the tensor train (TT) format is a widely used approach to effectively solve this problem in the case of non-adaptive tensor recovery from a given training set (i.e., tensor completion problem). TT-ALS allows obtaining a low-parametric representation of the tensor, which is free from the curse of dimensionality and can be used for fast computation of the values at arbitrary tensor indices or efficient implementation of algebra operations with the black box (integration, etc.). However, to obtain high accuracy in the presence of restrictions on the size of the train data, a good choice of initial approximation is essential. In this work, we construct the ANOVA representation in the TT-format and use it as an initial approximation for the TT-ALS algorithm. The performed numerical computations for a number of multidimensional model problems, including the parametric partial differential equation, demonstrate a significant advantage of our approach for the commonly used random initial approximation. For all considered model problems we obtained an increase in accuracy by at least an order of magnitude with the same number of requests to the black box. The proposed approach is very general and can be applied in a wide class of real-world surrogate modeling and machine learning problems.

扫码加入交流群

加入微信交流群

微信交流群二维码

扫码加入学术交流群,获取更多资源