Hello all,
I wanted to ask a question about the errors of PCE. I can see that there are three different errors in the created PCEs in uqlab. They are LOO, Modified LOO, and normEmpErr. So far, I was focusing on LOO and using that to measure the accuracy of my PCE but I want to make sure whether it is the right error to look at. If it is the main error we should pay attention to, what do two other errors (ModifiedLOO and normEmpErr) mean?
Thanks in advance.
Hi @Aep93
You can find the explanations of the errors in section 1.4 of the PCE User Manual. Another source is section 4 of Blatman&Sudret (2011).
Generally, the empirical error leads to more overfitting than LOO. Modified LOO is a further (heuristic) modification to prevent overfitting better than unmodified LOO would.
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