Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230835
Authors: 
Khowaja, Kainat
Shcherbatyy, Mykhaylo
Härdle, Wolfgang Karl
Year of Publication: 
2021
Series/Report no.: 
IRTG 1792 Discussion Paper No. 2021-001
Abstract: 
Driven by increased complexity of dynamical systems, the solution of system of differential equations through numerical simulation in optimization problems has become computationally expensive. This paper provides a smart data driven mechanism to construct low dimensional surrogate models. These surrogate models reduce the computational time for solution of the complex optimization problems by using training instances derived from the evaluations of the true objective functions. The surrogate models are constructed using combination of proper orthogonal decomposition and radial basis functions and provides system responses by simple matrix multiplication. Using relative maximum absolute error as the measure of accuracy of approximation, it is shown surrogate models with latin hypercube sampling and spline radial basis functions dominate variable order methods in computational time of optimization, while preserving the accuracy. These surrogate models also show robustness in presence of model non-linearities. Therefore, these computational efficient predictive surrogate models are applicable in various fields, specifically to solve inverse problems and optimal control problems, some examples of which are demonstrated in this paper.
Subjects: 
Proper Orthogonal Decomposition
SVD
Radial Basis Functions
Optimization
Surrogate Models
Smart Data Analytics
Parameter Estimation
JEL: 
C00
Document Type: 
Working Paper

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