Polynomial chaos surrogate

We can create a surrogate using a polynomial expansion, with a different polynomial basis depending on the distribution of the data we are trying to fit. Under the hood, PolyChaos.jl has been used. It is possible to specify a type of polynomial for each dimension of the problem.

using Surrogates
using Plots
default()

Sampling

We choose to sample f in 25 points between 0 and 10 using the sample function. The sampling points are chosen using a Low Discrepancy, this can be done by passing LowDiscrepancySample() to the sample function.

using Surrogates
using Plots
n = 20
lower_bound = 1.0
upper_bound = 6.0
x = sample(n,lower_bound,upper_bound,LowDiscrepancySample(2))
f = x -> log(x)*x + sin(x)
y = f.(x)
scatter(x, y, label="Sampled points", xlims=(lower_bound, upper_bound), legend=:top)
plot!(f, label="True function", xlims=(lower_bound, upper_bound), legend=:top)

Building a Surrogate

poly1 = PolynomialChaosSurrogate(x,y,lower_bound,upper_bound)
poly2 = PolynomialChaosSurrogate(x,y,lower_bound,upper_bound, op = GaussOrthoPoly(5))
plot(x, y, seriestype=:scatter, label="Sampled points", xlims=(lower_bound, upper_bound), legend=:top)
plot!(f, label="True function",  xlims=(lower_bound, upper_bound), legend=:top)
plot!(poly1, label="First polynomial",  xlims=(lower_bound, upper_bound), legend=:top)
plot!(poly2, label="Second polynomial",  xlims=(lower_bound, upper_bound), legend=:top)