Polynomial chaos expansions for dependent random variables
From MaRDI portal
Publication:2173605
Abstract: Polynomial chaos expansions (PCE) are well-suited to quantifying uncertainty in models parameterized by independent random variables. The assumption of independence leads to simple strategies for evaluating PCE coefficients. In contrast, the application of PCE to models of dependent variables is much more challenging. Three approaches can be used. The first approach uses mapping methods where measure transformations, such as the Nataf and Rosenblatt transformation, can be used to map dependent random variables to independent ones; however we show that this can significantly degrade performance since the Jacobian of the map must be approximated. A second strategy is the class of dominating support methods which build PCE using independent random variables whose distributional support dominates the support of the true dependent joint density; we provide evidence that this approach appears to produce approximations with suboptimal accuracy. A third approach, the novel method proposed here, uses Gram-Schmidt orthogonalization (GSO) to numerically compute orthonormal polynomials for the dependent random variables. This approach has been used successfully when solving differential equations using the intrusive stochastic Galerkin method, and in this paper we use GSO to build PCE using a non-intrusive stochastic collocation method. The stochastic collocation method treats the model as a black box and builds approximations of model output from a set of samples. Building PCE from samples can introduce ill-conditioning which does not plague stochastic Galerkin methods. To mitigate this ill-conditioning we generate weighted Leja sequences, which are nested sample sets, to build accurate polynomial interpolants. We show that our proposed approach produces PCE which are orders of magnitude more accurate than PCE constructed using mapping or dominating support methods.
Recommendations
- A polynomial chaos expansion in dependent random variables
- Multivariate polynomial chaos expansions with dependent variables
- Computational aspects for constructing realizations of polynomial chaos in high dimension
- Polynomial chaos expansion of a multimodal random vector
- Practical uncertainty quantification analysis involving statistically dependent random variables
Cites work
- scientific article; zbMATH DE number 49187 (Why is no real title available?)
- scientific article; zbMATH DE number 967333 (Why is no real title available?)
- A Christoffel function weighted least squares algorithm for collocation approximations
- A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data
- A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data
- A flexible numerical approach for quantification of epistemic uncertainty
- A generalized sampling and preconditioning scheme for sparse approximation of polynomial chaos expansions
- A least-squares method for sparse low rank approximation of multivariate functions
- A non-adapted sparse approximation of PDEs with stochastic inputs
- Adaptive Leja sparse grid constructions for stochastic collocation and high-dimensional approximation
- Adaptive Smolyak Pseudospectral Approximations
- Adaptive construction of surrogates for the Bayesian solution of inverse problems
- An Anisotropic Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data
- Approximation of quantities of interest in stochastic PDEs by the random discrete \(L^2\) projection on polynomial spaces
- Compressive sampling of polynomial chaos expansions: convergence analysis and sampling strategies
- Computing approximate Fekete points by QR factorizations of Vandermonde matrices
- Computing multivariate Fekete and Leja points by numerical linear algebra
- Effectively subsampled quadratures for least squares polynomial approximations
- Efficient uncertainty propagation for network multiphysics systems
- Enhancing \(\ell_1\)-minimization estimates of polynomial chaos expansions using basis selection
- Fast Leja points
- Gaussian processes for machine learning.
- Generation and application of multivariate polynomial quadrature rules
- Geometric weakly admissible meshes, discrete least squares approximations and approximate Fekete points
- Goal-oriented adaptive surrogate construction for stochastic inversion
- Gradient-based optimization for regression in the functional tensor-train format
- High dimensional polynomial interpolation on sparse grids
- High-Order Collocation Methods for Differential Equations with Random Inputs
- Inverse problems: a Bayesian perspective
- Measure transformation and efficient quadrature in reduced-dimensional stochastic modeling of coupled problems
- Monge-Ampère measures for convex bodies and Bernstein-Markov type inequalities
- Newton interpolation at Leja points
- Non-intrusive low-rank separated approximation of high-dimensional stochastic models
- Numerical approach for quantification of epistemic uncertainty
- Numerical integration in multiple dimensions with designed quadrature
- On Discrete Least-Squares Projection in Unbounded Domain with Random Evaluations and its Application to Parametric Uncertainty Quantification
- On the convergence of generalized polynomial chaos expansions
- Optimal weighted least-squares methods
- Remarks on a Multivariate Transformation
- Ridge functions
- Sparse Legendre expansions via _1-minimization
- Sparse pseudospectral approximation method
- Stochastic collocation algorithms using \(\ell_1\)-minimization
- Stochastic collocation methods on unstructured grids in high dimensions via interpolation
- Subsampled Gauss quadrature nodes for estimating polynomial chaos expansions
- Sur certaines suites liées aux ensembles plans et leur application à la représentation conforme
- Tensor-train decomposition
- The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
- Time-dependent generalized polynomial chaos
- Weighted approximate Fekete points: sampling for least-squares polynomial approximation
Cited in
(31)- Cholesky-based experimental design for Gaussian process and kernel-based emulation and calibration
- A polynomial chaos expansion in dependent random variables
- Past, current and future trends and challenges in non-deterministic fracture mechanics: a review
- Parametrization of Random Vectors in Polynomial Chaos Expansions via Optimal Transportation
- Multivariate polynomial chaos expansions with dependent variables
- Non-intrusive reduced-order modeling for uncertainty quantification of space-time-dependent parameterized problems
- Practical uncertainty quantification analysis involving statistically dependent random variables
- Polynomial chaos expansion approach to interest rate models
- On spectral approximations with nonstandard weight functions and their implementations to generalized chaos expansions
- Global sensitivity analysis on numerical solver parameters of particle-in-cell models in particle accelerator systems
- Towards optimal sampling for learning sparse approximation in high dimensions
- High-order spectral method of density estimation for stochastic differential equation driven by multivariate Gaussian random variables
- Design under uncertainty employing stochastic expansion methods
- Generalized polynomial chaos expansion by reanalysis using static condensation based on substructuring
- An Adaptive Sampling and Domain Learning Strategy for Multivariate Function Approximation on Unknown Domains
- Emulation of stochastic simulators using generalized lambda models
- Is it worthwhile considering orthogonality in generalised polynomial chaos expansions applied to solving stochastic models?
- Bayesian inversion using adaptive polynomial chaos kriging within subset simulation
- Uncertainty quantification for random Hamiltonian systems by using polynomial expansions and geometric integrators
- An hp‐adaptive multi‐element stochastic collocation method for surrogate modeling with information re‐use
- Polynomial chaos expansion of a multimodal random vector
- Stochastic dynamic analysis of composite plates in thermal environments using nonlinear autoregressive model with exogenous input in polynomial chaos expansion surrogate
- Polynomial chaos expansions on principal geodesic Grassmannian submanifolds for surrogate modeling and uncertainty quantification
- Polynomial Approximation for a Class of Physical Random Variables
- A Stieltjes Algorithm for Generating Multivariate Orthogonal Polynomials
- Computational aspects for constructing realizations of polynomial chaos in high dimension
- Multifidelity uncertainty quantification with models based on dissimilar parameters
- A Comparative Study of Polynomial-Type Chaos Expansions for Indicator Functions
- Data-driven projection pursuit adaptation of polynomial chaos expansions for dependent high-dimensional parameters
- Variance-based adaptive sequential sampling for polynomial chaos expansion
- Fast sparse grid operations using the unidirectional principle: a generalized and unified framework
This page was built for publication: Polynomial chaos expansions for dependent random variables
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2173605)
