Year: 2025
Type: preprint
Abstract: Given a multivariate function taking deterministic and uncertain inputs, we consider the problem of estimating a quantile set: a set of deterministic inputs for which the probability that the output belongs to a specific region remains below a given threshold. To solve this problem in the context of expensive-to-evaluate black-box functions, we propose a Bayesian active learning strategy based on Gaussian process modeling. The strategy is driven by a novel sampling criterion, which belongs to a broader principle that we refer to as Expected Estimator Modification (EEM). More specifically, the strategy relies on a novel sampling criterion combined with a sequential Monte Carlo framework that enables the construction of batch-sequential designs for the efficient estimation of small quantile sets. The performance of the strategy is illustrated on several synthetic examples and an industrial application case involving the ROTOR37 compressor model.
Source: arXiv (Cornell University)
Authors: Abdelmalek-Lomenech, Romain Ait, Bect, Julien, Vazquez, Emmanuel
Institution: Laboratoire des signaux et systèmes
Language: English
Subfield: Artificial Intelligence
Field: Computer Science
Domain: Physical Sciences
Open Access status: green
Funder: Agence Nationale de la Recherche
OpenAlex ID: W6947836990
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