On ANOVA expansions and strategies for choosing the anchor point

• Published in: Applied Mathematics and Computation (ISSN: 0096-3003), vol. 217, num. 7, p. 3274-3285
• Elsevier, 2010

The classic Lebesgue ANOVA expansion offers an elegant way to represent functions that depend on a high-dimensional set of parameters and it often enables a substantial reduction in the evaluation cost of such functions once the ANOVA representation is constructed. Unfortunately, the construction of the expansion itself is expensive due to the need to evaluate high-dimensional integrals. A way around this is to consider an alternative formulation, known as the anchored ANOVA expansion. This formulation requires no integrals but has an accuracy that depends sensitively on the choice of a special parameter, known as the anchor point. We present a comparative study of several strategies for the choice of this anchor point and argue that the optimal choice of this anchor point is the center point of a sparse grid quadrature. This choice induces no additional cost and, as we shall show, results in a natural truncation of the ANOVA expansion. The efficiency and accuracy is illustrated through several standard benchmarks and this choice is shown to outperform the alternatives over a range of applications. (C) 2010 Elsevier Inc. All rights reserved.

Keywords: ANOVA expansion ; Anchored ANOVA expansion ; Sparse grid ; High-dimensional integrals

Reference

• EPFL-ARTICLE-190410
• doi:10.1016/j.amc.2010.08.061
• View record in Web of Science

Record created on 2013-11-12, modified on 2017-05-12