A comparative study of polynomial-type chaos expansions for indicator functions

Florian Bourgey (1) , Emmanuel Gobet (1) , Clément Rey (1)

1 CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique

We propose a thorough comparison of polynomial chaos expansion (PCE) for indicator functions of the form 1 c≤X for some threshold parameter c ∈ R and a random variable X associated with classical orthogonal polynomials. We provide tight global and localized L2 estimates for the resulting truncation of the PCE and numerical experiments support the tightness of the error estimates. We also compare the theoretical and numerical accuracy of PCE when extra quantile/probability transforms are applied, revealing different optimal choices according to the value of c in the center and the tails of the distribution of X.

Mots clés: metamodeling; orthogonal polynomials; polynomial chaos expansion

Domaines: Mathématiques [math]; Probabilités [math.PR]; Modélisation et simulation

Florian Bourgey, Emmanuel Gobet, Clément Rey. A comparative study of polynomial-type chaos expansions for indicator functions. SIAM/ASA Journal on Uncertainty Quantification, 2022, 10 (4), pp.1350-1383. ⟨10.1137/21M1413146⟩. ⟨hal-03199734⟩