Multi-element stochastic spectral projection for high quantile estimation

DOI10.1016/J.JCP.2013.01.012MaRDI QIDQ347642zbMATH OpenOpenAlexFDO

Authors Jordan Ko, Josselin Garnier

Publication date 5 December 2016

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

Full work available at URL https://doi.org/10.1016/j.jcp.2013.01.012

zbMATH Keywords

metamodelsnumerical quadraturequantile estimationgeneralized polynomial chaosanisotropic quadraturemulti-element refinementmultiple design pointssparse-tensor quadrature

Mathematics Subject Classification ID

Nonparametric estimation (62G05)

Recommendations

• Uncertainty quantification for approximate \(p\)-quantiles for physical models with stochastic inputs
• Estimation of extreme quantiles in a simulation model
• Multi-element probabilistic collocation method in high dimensions
• Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models
• Simulation and estimation of extreme quantiles and extreme probabilities

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Cited in

(4)

• A New Family of High-Resolution Multivariate Spectral Estimators
• Efficient estimation of extreme quantiles using adaptive kriging and importance sampling
• Uncertainty quantification for approximate \(p\)-quantiles for physical models with stochastic inputs
• The algebraic method in quadrature for uncertainty quantification

Describes a project that uses

Uses Software

• PATSYM
• HRMSYM

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