Multidimensional adaptive relevance vector machines for uncertainty quantification

Abstract

We develop a Bayesian uncertainty quantification framework using a local binary tree surrogate model that is able to make use of arbitrary Bayesian regression methods. The tree is adaptively constructed using information about the sensitivity of the response and is biased by the underlying input probability distribution. The local Bayesian regressions are based on a reformulation of the relevance vector machine model that accounts for the multiple output dimensions. A fast algorithm for training the local models is provided. The methodology is demonstrated with examples in the solution of stochastic differential equations.

Publication
SIAM Journal on Scientific Computing