A method for solving stochastic equations by reduced order models and local approximations

DOI10.1016/J.JCP.2012.06.013zbMath1284.60138OpenAlexW2045386594MaRDI QIDQ2446964

Mircea D. Grigoriu

Publication date: 23 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.jcp.2012.06.013

zbMATH Keywords

stochastic equationserror estimationMonte Carlo simulationTaylor expansionlocal approximationsapplied probabilityuncertainty quantificationrandom parametersstochastic reduced order models

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Parametric models for samples of random functions ⋮ Predicting laser weld reliability with stochastic reduced‐order models ⋮ Estimates of System Response Maxima by Extreme Value Theory and Surrogate Models ⋮ An adaptive local reduced basis method for solving PDEs with uncertain inputs and evaluating risk ⋮ Pathwise convergence of an efficient scheme for SPDEs with non-globally Lipschitz nonlinearity ⋮ Bayesian methods for characterizing unknown parameters of material models ⋮ Stochastic reduced-order models for stable nonlinear ordinary differential equations ⋮ Finite dimensional models for random functions

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