Curve fit noise=randn(1,30); x=1:1:30; y=x+noise 3.908 2.825
4.379 2.942 4.5314 5.7275 8.098 25.84 27.47 27.00 30.96
[p,s]=polyfit(x,y,1); yfit=polyval(p,x);
plot(x,y,'+',x,x,'r',x,yfit,'b') With dense data, functional form
is clear. Fit serves to filter out noise
Slide 3
Regression The process of fitting data with a curve by
minimizing root mean square error is known as regression Term
originated from first paper to use regression regression of heights
to the mean http://www.jcu.edu.au/cgc/RegMean.html
http://www.jcu.edu.au/cgc/RegMean.html Can get the same curve from
a lot of data or very little. So confidence in fit is major
concern.
Slide 4
Surrogate (approximations) Originated from experimental
optimization where measurements are very noisy In the 1920s it was
used to maximize crop yields by changing inputs such as water and
fertilizer With a lot of data, can use curve fit to filter out
noise Approximation can be then more accurate than data! The term
surrogate captures the purpose of the fit: using it instead of the
data for prediction. Most important when data is expensive
Slide 5
Surrogates for Simulation based optimization Great interest now
in applying these techniques to computer simulations Computer
simulations are also subject to noise (numerical) However,
simulations are exactly repeatable, and if noise is small may be
viewed as exact. Some surrogates (e.g. polynomial response
surfaces) cater mostly to noisy data. Some (e.g. Kriging) to exact
data.
Slide 6
Polynomial response surface approximations Data is assumed to
be contaminated with normally distributed error of zero mean and
standard deviation Response surface approximation has no bias
error, and by having more points than polynomial coefficients it
filters out some of the noise. Consequently, approximation may be
more accurate than data
Slide 7
Fitting approximation to given data Noisy response model Data
from n y experiments Linear approximation Rational approximation
Error measures
Slide 8
Linear Regression Functional form For linear approximation
Estimate of coefficient vector denoted as b Rms error Minimize rms
error e T e=(y-Xb T ) T (y-Xb T ) Differentiate to obtain Beware of
ill-conditioning !
Slide 9
Example 3.1.1 Data: y(0)=0, y(1)=1, y(2)=0 Fit linear
polynomial y=b 0 +b 1 x Then Obtain b 0 =1/3, b 1 =0.
Slide 10
Comparison with alternate fits Errors for regression fit To
minimize maximum error obviously y=0.5. Then e av =e rms =e max
=0.5 To minimize average error, y=0 e av =1/3, e max =1, e rms
=0.577 What should be the order of the progression from low to
high?