TY - JOUR

T1 - Inverse regression for ridge recovery

T2 - a data-driven approach for parameter reduction in computer experiments

AU - Glaws, Andrew

AU - Constantine, Paul G.

AU - Cook, R. Dennis

N1 - Publisher Copyright:
© 2019, Springer Science+Business Media, LLC, part of Springer Nature.

PY - 2020/3/1

Y1 - 2020/3/1

N2 - Parameter reduction can enable otherwise infeasible design and uncertainty studies with modern computational science models that contain several input parameters. In statistical regression, techniques for sufficient dimension reduction (SDR) use data to reduce the predictor dimension of a regression problem. A computational scientist hoping to use SDR for parameter reduction encounters a problem: a computer prediction is best represented by a deterministic function of the inputs, so data comprised of computer simulation queries fail to satisfy the SDR assumptions. To address this problem, we interpret SDR methods sliced inverse regression (SIR) and sliced average variance estimation (SAVE) as estimating the directions of a ridge function, which is a composition of a low-dimensional linear transformation with a nonlinear function. Within this interpretation, SIR and SAVE estimate matrices of integrals whose column spaces are contained in the ridge directions’ span; we analyze and numerically verify convergence of these column spaces as the number of computer model queries increases. Moreover, we show example functions that are not ridge functions but whose inverse conditional moment matrices are low-rank. Consequently, the computational scientist should beware when using SIR and SAVE for parameter reduction, since SIR and SAVE may mistakenly suggest that truly important directions are unimportant.

AB - Parameter reduction can enable otherwise infeasible design and uncertainty studies with modern computational science models that contain several input parameters. In statistical regression, techniques for sufficient dimension reduction (SDR) use data to reduce the predictor dimension of a regression problem. A computational scientist hoping to use SDR for parameter reduction encounters a problem: a computer prediction is best represented by a deterministic function of the inputs, so data comprised of computer simulation queries fail to satisfy the SDR assumptions. To address this problem, we interpret SDR methods sliced inverse regression (SIR) and sliced average variance estimation (SAVE) as estimating the directions of a ridge function, which is a composition of a low-dimensional linear transformation with a nonlinear function. Within this interpretation, SIR and SAVE estimate matrices of integrals whose column spaces are contained in the ridge directions’ span; we analyze and numerically verify convergence of these column spaces as the number of computer model queries increases. Moreover, we show example functions that are not ridge functions but whose inverse conditional moment matrices are low-rank. Consequently, the computational scientist should beware when using SIR and SAVE for parameter reduction, since SIR and SAVE may mistakenly suggest that truly important directions are unimportant.

KW - Ridge functions

KW - Ridge recovery

KW - Sufficient dimension reduction

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U2 - 10.1007/s11222-019-09876-y

DO - 10.1007/s11222-019-09876-y

M3 - Article

AN - SCOPUS:85066801357

SN - 0960-3174

VL - 30

SP - 237

EP - 253

JO - Statistics and Computing

JF - Statistics and Computing

IS - 2

ER -