arXiv:2507.14782stat.MLcs.LG2025-07被引 1

用多项式混沌展开法,同时量化模型和输入不确定性,提升机器学习预测可靠性。

Uncertainty Quantification for Machine Learning-Based Prediction: A Polynomial Chaos Expansion Approach for Joint Model and Input Uncertainty Propagation

  • 基于多项式混沌展开构建统一框架,联合传播输入与模型不确定性。
  • 能高效计算输出均值与标准差,支持全局敏感性分析。
  • 适合需要可信预测的工程仿真场景,尤其适用于高维输入问题。

机器学习代理模型正被广泛用于替代计算成本高昂的仿真模型,显著降低计算开销并加速决策过程。然而,机器学习预测本身存在固有误差,通常以模型不确定性形式体现,且与输入变异性耦合。准确量化并传播这些联合不确定性对生成可靠工程预测至关重要。本文提出一种基于多项式混沌展开(PCE)的稳健框架,用于处理输入与模型不确定性的联合传播。该方法虽适用于通用机器学习代理模型,但本文聚焦于提供显式预测分布的高斯过程回归模型。通过将所有随机输入映射至统一标准空间,构建PCE代理模型,实现输出均值与标准差的高效、精确计算。所提方法还支持全局敏感性分析,可精准量化输入变量与机器学习模型不确定性对整体输出变异性的独立贡献。该框架兼具计算高效性与可解释性,为下游工程应用中的可信机器学习预测提供支持。

原文摘要 · Abstract (English)

Machine learning (ML) surrogate models are increasingly used in engineering analysis and design to replace computationally expensive simulation models, significantly reducing computational cost and accelerating decision-making processes. However, ML predictions contain inherent errors, often estimated as model uncertainty, which is coupled with variability in model inputs. Accurately quantifying and propagating these combined uncertainties is essential for generating reliable engineering predictions. This paper presents a robust framework based on Polynomial Chaos Expansion (PCE) to handle joint input and model uncertainty propagation. While the approach applies broadly to general ML surrogates, we focus on Gaussian Process regression models, which provide explicit predictive distributions for model uncertainty. By transforming all random inputs into a unified standard space, a PCE surrogate model is constructed, allowing efficient and accurate calculation of the mean and standard deviation of the output. The proposed methodology also offers a mechanism for global sensitivity analysis, enabling the accurate quantification of the individual contributions of input variables and ML model uncertainty to the overall output variability. This approach provides a computationally efficient and interpretable framework for comprehensive uncertainty quantification, supporting trustworthy ML predictions in downstream engineering applications.

不确定性量化高斯过程多项式混沌工程仿真

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