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Journal Articles Computational Statistics Year : 2022

Probabilistic learning constrained by realizations using a weak formulation of Fourier transform of probability measures

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Abstract

This paper deals with the taking into account a given target set of realizations as constraints in the Kullback-Leibler divergence minimum principle (KLDMP). We present a novel probabilistic learning algorithm that makes it possible to use the KLDMP when the constraints are not defined by a target set of statistical moments for the quantity of interest (QoI) of an uncertain/stochastic computational model, but are defined by a target set of realizations for the QoI for which the statistical moments associated with these realizations are not or cannot be estimated. The method consists in defining a functional constraint, as the equality of the Fourier transforms of the posterior probability measure and the target probability measure, and in constructing a finite representation of the weak formulation of this functional constraint. The proposed approach allows for estimating the posterior probability measure of the QoI (unsupervised case) or of the posterior joint probability measure of the QoI with the control parameter (supervised case). The existence and the uniqueness of the posterior probability measure is analyzed for the two cases. The numerical aspects are detailed in order to facilitate the implementation of the proposed method. The presented application in high dimension demonstrates the efficiency and the robustness of the proposed algorithm.
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Dates and versions

hal-03912256 , version 1 (23-12-2022)

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Christian Soize. Probabilistic learning constrained by realizations using a weak formulation of Fourier transform of probability measures. Computational Statistics, 2022, online, pp.1-47. ⟨10.1007/s00180-022-01300-w⟩. ⟨hal-03912256⟩
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