Distinguishing and integrating aleatoric and epistemic variation in uncertainty quantification

DOI10.1051/m2an/2012038zbMath1266.65009arXiv1103.1861OpenAlexW2962881065MaRDI QIDQ5299850

Kenny Chowdhary, Paul Dupuis

Publication date: 24 June 2013

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1103.1861

zbMATH Keywords

relative entropystochastic differential equationsquadratureMonte Carlo integrationspectral methodsuncertainty quantificationepistemic uncertaintystochastic collocation methodgeneralized polynomial chaosaleatoric uncertainty

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Approximation by polynomials (41A10)

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