Sampling-free linear Bayesian update of polynomial chaos representations

DOI10.1016/j.jcp.2012.04.044zbMath1277.60114DBLPjournals/jcphy/RosicLPM12OpenAlexW2102125272WikidataQ57524799 ScholiaQ57524799MaRDI QIDQ385895

Alexander Litvinenko, Hermann G. Matthies, Oliver Pajonk, Bojana V. Rosić

Publication date: 12 December 2013

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2012.04.044

zbMATH Keywords

Kalman filterpolynomial chaos expansionlinear Bayesian updateminimum squared error estimateminimum variance estimate

Mathematics Subject Classification ID

Monte Carlo methods (65C05) White noise theory (60H40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical methods for inverse problems for boundary value problems involving PDEs (65N21)

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Uses Software

• SGLib

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