Polynomial chaos as a control variate method

DOI10.1137/20M1336515MaRDI QIDQ4997403zbMATH OpenFDO

Authors Jamie Fox, Giray Ökten

Publication date 29 June 2021

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/20M1336515

zbMATH Keywords

Monte Carlo methodspolynomial chaos expansionSobol' sensitivity indices

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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Cites work

• Adaptive sparse polynomial chaos expansion based on least angle regression
• Better estimation of small Sobol' sensitivity indices
• Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
• scientific article; zbMATH DE number 49187 (Why is no real title available?)
• scientific article; zbMATH DE number 1790443 (Why is no real title available?)
• scientific article; zbMATH DE number 1425054 (Why is no real title available?)
• Least squares polynomial chaos expansion: a review of sampling strategies
• Making best use of model evaluations to compute sensitivity indices
• Numerical methods for stochastic computations. A spectral method approach.
• Performance evaluation of generalized polynomial chaos
• PLS-based adaptation for efficient PCE representation in high dimensions
• Polynomial chaos methods for hyperbolic partial differential equations. Numerical techniques for fluid dynamics problems in the presence of uncertainties
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations

Cited in

(3)

• Parseval inequalities and lower bounds for variance-based sensitivity indices
• MODELING EXPERIMENTAL DATA WITH POLYNOMIALS CHAOS
• Collaborative and adaptive Bayesian optimization for bounding variances and probabilities under hybrid uncertainties

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