Leave one out error in PCE

UQ with UQLab Community Q&A and How To
1

Hello all,
I have a question about leave one out error obtained from PCE using uqlab:
I want to know how this error is calculated. I mean, considering we have N inputs and M number of evaluations of our function. Then we fit a PCE to our model and we get a leave one out error for that. How this error is calculated based on our inputs, and how we should analyze this number?
Thanks in advance

2

Dear @Aep93

Thanks for your question.
First, it’s a good idea to read the UserManual_PCE carefully. There is a good discussion about the different types of errors.
Second, it’s highly recommended to read the fruitful answers of Prof. @bsudret to my question in this topic, Acceptable LOO Error to have a better insight about this magic tool.

Best regards
Ali