Reduced Wiener chaos representation of random fields via basis adaptation and projection

DOI10.1016/J.JCP.2017.04.009zbMATH Open1378.65038arXiv1603.04803OpenAlexW2302211741MaRDI QIDQ1686576FDOQ1686576

Panagiotis Tsilifis, R. G. Ghanem

Publication date: 15 December 2017

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

Abstract: A new characterization of random fields appearing in physical models is presented that is based on their well-known Homogeneous Chaos expansions. We take advantage of the adaptation capabilities of these expansions where the core idea is to rotate the basis of the underlying Gaussian Hilbert space, in order to achieve reduced functional representations that concentrate the induced probability measure in a lower dimensional subspace. For a smooth family of rotations along the domain of interest, the uncorrelated Gaussian inputs are transformed into a Gaussian process, thus introducing a mesoscale that captures intermediate characteristics of the quantity of interest.

Full work available at URL: https://arxiv.org/abs/1603.04803

zbMATH Keywords

Wick productmodel reductionpolynomial chaosCameron-Martin spacebasis adaptationGaussian Hilbert space

Mathematics Subject Classification ID

Random fields (60G60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (14)

• Compressive sensing adaptation for polynomial chaos expansions
• A functional global sensitivity measure and efficient reliability sensitivity analysis with respect to statistical parameters
• Surrogate-based sequential Bayesian experimental design using non-stationary Gaussian processes
• Accelerated basis adaptation in homogeneous chaos spaces
• Probabilistic learning inference of boundary value problem with uncertainties based on Kullback-Leibler divergence under implicit constraints
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• Bayesian learning of orthogonal embeddings for multi-fidelity Gaussian processes
• Probabilistic-learning-based stochastic surrogate model from small incomplete datasets for nonlinear dynamical systems
• Compressed Principal Component Analysis of Non-Gaussian Vectors

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