An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations
From MaRDI portal
Publication:1013191
DOI10.1016/J.JCP.2009.01.006zbMATH Open1161.65006OpenAlexW2096969866MaRDI QIDQ1013191FDOQ1013191
Authors: Xiang Ma, Nicholas Zabaras 
Publication date: 17 April 2009
Published in: Journal of Computational Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jcp.2009.01.006
Recommendations
- A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data
- High-Order Collocation Methods for Differential Equations with Random Inputs
- A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data
- A MULTI-FIDELITY STOCHASTIC COLLOCATION METHOD FOR PARABOLIC PARTIAL DIFFERENTIAL EQUATIONS WITH RANDOM INPUT DATA
- An Anisotropic Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data
stochastic partial differential equationsconvergencenumerical examplesMonte Carlo methodsparse gridcollocationdiscontinuitiesSmolyak algorithmadaptive sparse gridhierarchical multiscale methodrandom domain decomposition methodsspectral stochastic finite element method
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Solutions to PDEs in closed form (35C05) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50)
Cites Work
- Algorithm 847
- Small sample sensitivity analysis techniques for computer models.with an application to risk assessment
- Numerical integration using sparse grids
- A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data
- The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
- Stochastic differential equations. An introduction with applications.
- Dimension-adaptive tensor-product quadrature
- An adaptive multi-element generalized polynomial chaos method for stochastic differential equations
- A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data
- An Anisotropic Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data
- Title not available (Why is that?)
- Galerkin Finite Element Approximations of Stochastic Elliptic Partial Differential Equations
- High-Order Collocation Methods for Differential Equations with Random Inputs
- Modeling uncertainty in flow simulations via generalized polynomial chaos.
- High dimensional polynomial interpolation on sparse grids
- Title not available (Why is that?)
- Modeling uncertainty in steady state diffusion problems via generalized polynomial chaos
- Solution of stochastic partial differential equations using Galerkin finite element techniques
- The multi-element probabilistic collocation method (ME-PCM): Error analysis and applications
- A wavelet collocation method for the numerical solution of partial differential equations
- Solving elliptic boundary value problems with uncertain coefficients by the finite element method: the stochastic formulation
- A fast adaptive wavelet collocation algorithm for multidimensional PDEs
- A new stochastic approach to transient heat conduction modeling with uncertainty.
- Sparse grid collocation schemes for stochastic natural convection problems
- Multi-Element Generalized Polynomial Chaos for Arbitrary Probability Measures
- Title not available (Why is that?)
- Uncertainty propagation using Wiener-Haar expansions
- Multivariate quadrature on adaptive sparse grids
- Efficient collocational approach for parametric uncertainty analysis
- Adaptive sparse grid multilevel methods for elliptic PDEs based on finite differences
- Probabilistic characterization of transport in heterogeneous media
- Mid-frequency structural dynamics with parameter uncertainty.
- A dynamically adaptive multilevel wavelet collocation method for solving partial differential equations in a finite domain
- Using stochastic analysis to capture unstable equilibrium in natural convection
- Multi-resolution analysis of Wiener-type uncertainty propagation schemes
- Long-term behavior of polynomial chaos in stochastic flow simulations
- A stabilized stochastic finite element second-order projection method for modeling natural convection in random porous media
Cited In (only showing first 100 items - show all)
- Essentially non-oscillatory stencil selection and subcell resolution in uncertainty quantification
- Uncertainty quantification via random domain decomposition and probabilistic collocation on sparse grids
- Stochastic collocation with hierarchical extended B-splines on sparse grids
- Characterization of discontinuities in high-dimensional stochastic problems on adaptive sparse grids
- Multi-level Monte Carlo finite volume methods for nonlinear systems of conservation laws in multi-dimensions
- An efficient approach for quantifying parameter uncertainty in the SST turbulence model
- Reduced basis ANOVA methods for partial differential equations with high-dimensional random inputs
- Simplex-stochastic collocation method with improved scalability
- A gradient enhanced \(\ell_{1}\)-minimization for sparse approximation of polynomial chaos expansions
- Comparison between reduced basis and stochastic collocation methods for elliptic problems
- A one-time truncate and encode multiresolution stochastic framework
- A nonintrusive stochastic multiscale solver
- A priori error estimate of stochastic Galerkin method for optimal control problem governed by stochastic elliptic PDE with constrained control
- A data-driven stochastic collocation approach for uncertainty quantification in MEMS
- Minimal multi-element stochastic collocation for uncertainty quantification of discontinuous functions
- Solving stochastic systems with low-rank tensor compression
- Exact PDF equations and closure approximations for advective-reactive transport
- Adaptive ANOVA decomposition of stochastic incompressible and compressible flows
- A non-adapted sparse approximation of PDEs with stochastic inputs
- A reduced spectral function approach for the stochastic finite element analysis
- A multilevel stochastic collocation method for partial differential equations with random input data
- Stochastic collocation and mixed finite elements for flow in porous media
- Preconditioned Bayesian regression for stochastic chemical kinetics
- Multi-level Monte Carlo finite volume methods for uncertainty quantification in nonlinear systems of balance laws
- Fast discrete Fourier transform on generalized sparse grids
- A generalized uncertainty propagation criterion from benchmark studies of microstructured material systems
- Variational theory and computations in stochastic plasticity
- Efficient shape optimization for certain and uncertain aerodynamic design
- Towards a unified multiresolution scheme for treating discontinuities in differential equations with uncertainties
- An adaptive multi-element generalized polynomial chaos method for stochastic differential equations
- A probabilistic graphical model approach to stochastic multiscale partial differential equations
- A nonparametric belief propagation method for uncertainty quantification with applications to flow in random porous media
- Multi-output local Gaussian process regression: applications to uncertainty quantification
- A reduced polynomial chaos expansion method for the stochastic finite element analysis
- Multi-fidelity non-intrusive polynomial chaos based on regression
- Multi-output separable Gaussian process: towards an efficient, fully Bayesian paradigm for uncertainty quantification
- Reweighted \(\ell_1\) minimization method for stochastic elliptic differential equations
- Improved statistical models for limited datasets in uncertainty quantification using stochastic collocation
- Subcell resolution in simplex stochastic collocation for spatial discontinuities
- Grid and basis adaptive polynomial chaos techniques for sensitivity and uncertainty analysis
- Enforcing positivity in intrusive PC-UQ methods for reactive ODE systems
- Enhancing adaptive sparse grid approximations and improving refinement strategies using adjoint-based a posteriori error estimates
- Mesh refinement for uncertainty quantification through model reduction
- Evaluation of convergence behavior of metamodeling techniques for bridging scales in multi-scale multimaterial simulation
- Stochastic finite element methods for partial differential equations with random input data
- A stochastic mixed finite element heterogeneous multiscale method for flow in porous media
- A dynamically bi-orthogonal method for time-dependent stochastic partial differential equations. I: Derivation and algorithms
- Multiscale stochastic preconditioners in non-intrusive spectral projection
- Numerical studies of three-dimensional stochastic Darcy's equation and stochastic advection-diffusion-dispersion equation
- A fully symmetric nonlinear biorthogonal decomposition theory for random fields
- Computing overall elastic constants of polydisperse particulate composites from microtomographic data
- Kernel principal component analysis for stochastic input model generation
- Uncertainty quantification of MEMS using a data-dependent adaptive stochastic collocation method
- Multifidelity approaches for uncertainty quantification
- A domain adaptive stochastic collocation approach for analysis of MEMS under uncertainties
- Enhancing \(\ell_1\)-minimization estimates of polynomial chaos expansions using basis selection
- An adaptive high-dimensional stochastic model representation technique for the solution of stochastic partial differential equations
- Stochastic collocation with kernel density estimation
- New evolution equations for the joint response-excitation probability density function of stochastic solutions to first-order nonlinear PDEs
- A stochastic multiscale framework for modeling flow through random heterogeneous porous media
- Numerical approach for quantification of epistemic uncertainty
- Gaussian processes with built-in dimensionality reduction: applications to high-dimensional uncertainty propagation
- Implementation of the multiscale stochastic finite element method on elliptic PDE problems
- Non-intrusive low-rank separated approximation of high-dimensional stochastic models
- A recursive sparse grid collocation method for differential equations with white noise
- Adaptive-sparse polynomial chaos expansion for reliability analysis and design of complex engineering systems
- An adaptive dimension decomposition and reselection method for reliability analysis
- Sparse grid collocation schemes for stochastic natural convection problems
- Bayesian model and dimension reduction for uncertainty propagation: applications in random media
- Stochastic bifurcation analysis of Rayleigh-Bénard convection
- Stochastic Galerkin method for cloud simulation
- Generation and application of multivariate polynomial quadrature rules
- An adaptive local reduced basis method for solving PDEs with uncertain inputs and evaluating risk
- A data-driven framework for sparsity-enhanced surrogates with arbitrary mutually dependent randomness
- On spectral fuzzy-stochastic FEM for problems involving polymorphic geometrical uncertainties
- Two reduction methods for stochastic FEM based homogenization using global basis functions
- A generalized multi-resolution expansion for uncertainty propagation with application to cardiovascular modeling
- An efficient Bayesian uncertainty quantification approach with application to \(k\)-\(\omega\)-\(\gamma\) transition modeling
- A unified framework for mesh refinement in random and physical space
- Constructing surrogate models of complex systems with enhanced sparsity: quantifying the influence of conformational uncertainty in biomolecular solvation
- An adaptive wavelet stochastic collocation method for irregular solutions of partial differential equations with random input data
- Error analysis of the Wiener-Askey polynomial chaos with hyperbolic cross approximation and its application to differential equations with random input
- A stabilized stochastic finite element second-order projection method for modeling natural convection in random porous media
- A fully adaptive multilevel stochastic collocation strategy for solving elliptic PDEs with random data
- Level set methods for stochastic discontinuity detection in nonlinear problems
- On the influence of robustness measures on shape optimization with stochastic uncertainties
- Uncertainty quantification for stochastic dynamical systems using time-dependent stochastic bases
- Multi-fidelity stochastic collocation method for computation of statistical moments
- Multi-level Monte Carlo finite volume method for shallow water equations with uncertain parameters applied to landslides-generated tsunamis
- Enhancing sparsity of Hermite polynomial expansions by iterative rotations
- Uncertainty propagation using infinite mixture of gaussian processes and variational Bayesian inference
- Multi-level Monte Carlo finite volume methods for uncertainty quantification of acoustic wave propagation in random heterogeneous layered medium
- A two-level stochastic collocation method for semilinear elliptic equations with random coefficients
- A two-level sparse grid collocation method for semilinear stochastic elliptic equation
- An adaptive dynamically low-dimensional approximation method for multiscale stochastic diffusion equations
- Adaptive piecewise Poly-Sinc methods for function approximation
- A method for dimensionally adaptive sparse trigonometric interpolation of periodic functions
- Exploring emerging manycore architectures for uncertainty quantification through embedded stochastic Galerkin methods
- Weighted discrete least-squares polynomial approximation using randomized quadratures
- A two-stage adaptive stochastic collocation method on nested sparse grids for multiphase flow in randomly heterogeneous porous media
Uses Software
This page was built for publication: An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1013191)
