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

DOI10.1016/J.JCP.2017.04.009MaRDI QIDQ1686576zbMATH OpenOpenAlexFDO

Authors Panagiotis Tsilifis, R. G. Ghanem

Publication date 15 December 2017

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

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)

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.

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Cited in

(17)

• Efficient polynomial chaos approximations: active, local and basis-adapted
• Compressive sensing adaptation for polynomial chaos expansions
• Reduced chaos decomposition with random coefficients of vector-valued random variables and random fields
• 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
• Compressed principal component analysis of non-Gaussian vectors
• Probabilistic learning inference of boundary value problem with uncertainties based on Kullback-Leibler divergence under implicit constraints
• Bayesian adaptation of chaos representations using variational inference and sampling on geodesics
• Stochastic Basis Adaptation and Spatial Domain Decomposition for Partial Differential Equations with Random Coefficients
• Sparse polynomial chaos expansions using variational relevance vector machines
• Basis adaptation in homogeneous chaos spaces
• Projection pursuit adaptation on polynomial chaos expansions
• A survey of unsupervised learning methods for high-dimensional uncertainty quantification in black-box-type problems
• Data-driven projection pursuit adaptation of polynomial chaos expansions for dependent high-dimensional parameters
• Bayesian learning of orthogonal embeddings for multi-fidelity Gaussian processes
• Probabilistic-learning-based stochastic surrogate model from small incomplete datasets for nonlinear dynamical systems

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