Emulating Complex Dynamical Simulators with Random Fourier Features

SIAM/ASA Journal on Uncertainty Quantification, Volume 12, Issue 3, Page 788-811, September 2024.
Abstract.A Gaussian process (GP)-based methodology is proposed to emulate complex dynamical computer models (or simulators). The method relies on emulating the numerical flow map of the system over an initial (short) time step, where the flow map is a function that describes the evolution of the system from an initial condition to a subsequent value at the next time step. This yields a probabilistic distribution over the entire flow map function, with each draw offering an approximation to the flow map. The model output time series is then predicted (under the Markov assumption) by drawing a sample from the emulated flow map (i.e., its posterior distribution) and using it to iterate from the initial condition ahead in time. Repeating this procedure with multiple such draws creates a distribution over the time series. The mean and variance of this distribution at a specific time point serve as the model output prediction and the associated uncertainty, respectively. However, drawing a GP posterior sample that represents the underlying function across its entire domain is computationally infeasible, given the infinite-dimensional nature of this object. To overcome this limitation, one can generate such a sample in an approximate manner using random Fourier features (RFF). RFF is an efficient technique for approximating the kernel and generating GP samples, offering both computational efficiency and theoretical guarantees. The proposed method is applied to emulate several dynamic nonlinear simulators including the well-known Lorenz and van der Pol models. The results suggest that our approach has a promising predictive performance and the associated uncertainty can capture the dynamics of the system appropriately.