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Local surrogates

Local surrogates. To model a complex wavy function we need a lot of data. Modeling a wavy function with high order polynomials is inherently ill-conditioned. With a lot of data we normally predict function values using only nearby values. We may fit several local surrogates as in figure.

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Local surrogates

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  1. Local surrogates • To model a complex wavy function we need a lot of data. • Modeling a wavy function with high order polynomials is inherently ill-conditioned. • With a lot of data we normally predict function values using only nearby values. We may fit several local surrogates as in figure. • For example, if you have the price of gasoline every first of the month from 2000 through 2009, how many values would you use to estimate the price on June 15, 2007?

  2. Popular local surrogates • Moving least squares: Weighting more heavily points near the prediction location. • Radial basis neural network: Regression with local functions that decay away from data points. • Kriging: Radial basis functions, but fitting philosophy not based on error at data points but on correlation between function values at near and far points.

  3. Review of Linear Regression • Surrogate is linear combination of given shape functions • For linear approximation • Difference (residual) between data and surrogate • Minimize square residual • Differentiate to obtain

  4. Moving least squares • Instead of fitting surrogate ahead of time, we fit it at the time of prediction. • We assign weight to each data point based on its distance from the prediction point • Popular weight is

  5. Weighted least squares • Weighted least squares was developed to allow us to assign weights to data based on confidence or relevance. • Here we use it for moving least squares, but we have also a lecture on using it to identify outliers. • Error measure • Surrogate coefficients found from • Coefficients need to be recalculated at every prediction point, which can be expensive if we have many, such as in Monte Carlo simulation.

  6. Six-hump camelback function • Definition: • Function fit with moving least squares using quadratic polynomials. • Fitting in normalized domain with each variable in [0,1]. • Each quadratic piece should use data from about 1/3rd of range in each variable. • =0.1, corresponding to =100, would do that. • Will need about 10 points in that range to fit a quadratic.

  7. Effect of number of points and decay rate .

  8. a1 ŷ(x) a2 x a3 1 0 -0.833 0.833 b Radial basis neural networks • Neurons (Radial basis functions) at some of data points used to approximate response. Other points used to estimate error • User-defined constants: • Spread constant: radius of influence =b • Error goal: minimum sum of square of errors 0.5 Input Radial basis function W1 W2 W3 Input Output Radial basis functions

  9. In regression notation • Radial basis functions • The basis functions are defined at a subset of data points. • For a given spread constant (b or ) • Can perform the fit and calculate all error measures. • Can select a subset of functions (neurons) to maximize predictive accuracy (akin to stepwise regression). • Because of similarity to nonlinear neural networks, similarity to polynomial response surfaces is obscured. • Number of basis functions (neurons) is selected to achieve a desired value of rms error.

  10. Example • Evaluate the function y=x+0.5sin(5x) at 21 points in the interval [1,9], fit an RBF to it and compare the surrogate to the function over the interval[0,10]. • Fit using default options in Matlab, achieves zero rms error by using all data points as basis functions (neurons) • Very good interpolation, but even mild extrapolation is horrible.

  11. Accept 0.1 mean squared error • net=newrb(x,y,0.1,1,20,1); spread set to 1, ( 11 neurons were used). • With about half of the data points used as basis functions, the fit is more like polynomial regression. • Interpolation is not as good, but the trend is captured, so that extrapolation is not as disastrous. • Obviously, if we just wanted to capture the trend, we would have been better with a polynomial.

  12. Too narrow a spread • net=newrb(x,y,0.1,0.2,20,1); ( 17 neurons used) • With a spread of 0.2 and the points being 0.4 apart (21 points in [1,9]), the shape functions decay to less than 0.02 at the nearest point. • This means that each data point if fitted individually, so that we get spikes at data points. • A rule of thumb is that the spread should not be smaller than the distance to the nearest point.

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