Active Learning of Ensemble Polynomial Chaos Expansion Method for Global Sensitivity Analysis

Global sensitivity analysis (GSA) techniques, especially Sobol indices, have gained prominence in assessing the impact of uncertainty across all input variables on the variation of model response. However, GSA can incur intensive computational costs, particularly when dealing with time-consuming models. To address this issue, an ensemble polynomial chaos expansion (EPCE) surrogate model based on an active learning hybrid (ALH) criterion is proposed. The proposed method integrates a weighted combination of multiple sparse PCE surrogate models to formulate the EPCE method. To enhance the performance, the ALH criterion, which balances local exploitation and global exploration, is developed to sequentially select samples for updating the EPCE model. In terms of local exploitation, the model correlation and sensitivity pursuit criteria are derived to identify the local region displaying both the largest discrepancy among multiple sparse PCE methods and the most substantial contribution to the total variance. The ALH criterion also incorporates a minimum distance-based measure for global exploration. The performance of the proposed method is evaluated by four benchmark functions and an engineering application. The numerical studies demonstrate that the proposed method exhibits favorable performance for conducting GSA.