Cheap contouring of costly functions: The Pilot approximation trajectory algorithm

Abstract

The Pilot Approximation Trajectory (PAT) contour algorithm can find the contour of a function accurately when it is not practical to evaluate the function on a grid dense enough to use a standard contour algorithm, for instance, when evaluating the function involves conducting a physical experiment or a computationally intensive simulation. PAT relies on an inexpensive pilot approximation to the function, such as interpolating from a sparse grid of inexact values, or solving a partial differential equation (PDE) numerically using a coarse discretization. For each level of interest, the location and trajectory of an approximate contour of this pilot function are used to decide where to evaluate the original function to find points on its contour. Those points are joined by line segments to form the PAT approximation of the contour of the original function. Approximating a contour numerically amounts to estimating a lower level set of the function, the set of points on which the function does not exceed the contour level. The area of the symmetric difference between the true lower level set and the estimated lower level set measures the accuracy of the contour. PAT measures its own accuracy by finding an upper confidence bound for this area. In examples, PAT can estimate a contour more accurately than standard algorithms, using far fewer function evaluations than standard algorithms require. We illustrate PAT by constructing a confidence set for viscosity and thermal conductivity of a flowing gas from simulated noisy temperature measurements, a problem in which each evaluation of the function to be contoured requires solving a different set of coupled nonlinear PDEs. © 2012 IOP Publishing Ltd.