The Global Active Subspace Method
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Publication:6434544
arXiv2304.14142MaRDI QIDQ6434544
Author name not available (Why is that?)
Publication date: 28 March 2023
Abstract: We present a new dimension reduction method called the global active subspace method. The method uses expected values of finite differences of the underlying function to identify the important directions, and builds a surrogate model using the important directions on a lower dimensional subspace. The method is a generalization of the active subspace method which uses the gradient information of the function to construct a reduced model. We develop the error analysis for the global active subspace method, and present examples to compare it with the active subspace method numerically. The results show that the global active subspace method is accurate, efficient, and robust with respect to noise or lack of smoothness in the underlying function.
Has companion code repository: https://github.com/ruilongyue/global-active-subspace
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