Construction of probability distributions in high dimension using the maximum entropy principle: Applications to stochastic processes, random fields and random matrices

DOI10.1002/nme.2385zbMath1195.74311OpenAlexW2028195074MaRDI QIDQ3590473

Publication date: 17 September 2010

Published in: International Journal for Numerical Methods in Engineering (Search for Journal in Brave)

Full work available at URL: https://hal-upec-upem.archives-ouvertes.fr/hal-00684517/file/publi-2008-IJNME-76_10_1583-1611-soize-preprint.pdf

zbMATH Keywords

stochastic process maximum entropy principle random matrix random fields high dimension Karhunen-Loeve expansion

Mathematics Subject Classification ID

Stochastic analysis applied to problems in fluid mechanics (76M35) Random matrices (algebraic aspects) (15B52) Stochastic and other probabilistic methods applied to problems in solid mechanics (74S60)

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Cites Work