On the construction and analysis of stochastic models: characterization and propagation of the errors associated with limited data

DOI10.1016/j.jcp.2006.01.037zbMath1102.65004OpenAlexW2086140935MaRDI QIDQ2506718

Alireza Doostan, Roger G. Ghanem

Publication date: 10 October 2006

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

Full work available at URL: https://doi.org/10.1016/j.jcp.2006.01.037

zbMATH Keywords

parameter estimationMarkov chain Monte Carlouncertainty quantificationpolynomial chaosKarhunen-Loèvestochastic finite elementscomputational Bayesian analysis

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Point estimation (62F10)

Related Items

Learning physics-based models from data: perspectives from inverse problems and model reduction, A data-driven stochastic collocation approach for uncertainty quantification in MEMS, Materials integrity in microsystems: a framework for a petascale predictive-science-based multiscale modeling and simulation system, Inversion of probabilistic structural models using measured transfer functions, Parametrization of Random Vectors in Polynomial Chaos Expansions via Optimal Transportation, Controlling first four moments for robust optimization, Uncertainty quantification in littoral erosion, A domain decomposition method of stochastic PDEs: an iterative solution techniques using a two-level scalable preconditioner, A probabilistic graphical model based stochastic input model construction, Extended stochastic FEM for diffusion problems with uncertain material interfaces, Uncertainty quantification by geometric characterization of sensitivity spaces, Level set based robust shape and topology optimization under random field uncertainties, A new level-set based approach to shape and topology optimization under geometric uncertainty, Efficient solution for Galerkin-based polynomial chaos expansion systems, Stochastic modeling and identification of an uncertain computational dynamical model with random fields properties and model uncertainties, Reduced Wiener chaos representation of random fields via basis adaptation and projection, A functional global sensitivity measure and efficient reliability sensitivity analysis with respect to statistical parameters, Stochastic analysis of structures under limited observations using kernel density estimation and arbitrary polynomial chaos expansion, Stochastic modeling and statistical calibration with model error and scarce data, Bayesian updating via bootstrap filtering combined with data-driven polynomial chaos expansions: methodology and application to history matching for carbon dioxide storage in geological formations, Itô-SDE MCMC method for Bayesian characterization of errors associated with data limitations in stochastic expansion methods for uncertainty quantification, Sampling of Bayesian posteriors with a non-Gaussian probabilistic learning on manifolds from a small dataset, On the capabilities of the polynomial chaos expansion method within SFE analysis -- an overview, A better understanding of model updating strategies in validating engineering models, Reduced chaos decomposition with random coefficients of vector-valued random variables and random fields, Schwarz preconditioners for stochastic elliptic PDEs, Convergence acceleration of polynomial chaos solutions via sequence transformation, Uncertainty quantification in computational stochastic multiscale analysis of nonlinear elastic materials, Kernel principal component analysis for stochastic input model generation, Bayesian adaptation of chaos representations using variational inference and sampling on geodesics, Dual-primal domain decomposition method for uncertainty quantification, A probabilistic construction of model validation, Compressed Principal Component Analysis of Non-Gaussian Vectors, Identification of high-dimension polynomial chaos expansions with random coefficients for non-Gaussian tensor-valued random fields using partial and limited experimental data, A computational inverse method for identification of non-Gaussian random fields using the Bayesian approach in very high dimension, Modeling diffusion in random heterogeneous media: data-driven models, stochastic collocation and the variational multiscale method, Ensemble Kalman filters and geometric characterization of sensitivity spaces for uncertainty quantification in optimization, An invariant subspace‐based approach to the random eigenvalue problem of systems with clustered spectrum, Uniform Regularity for Linear Kinetic Equations with Random Input Based on Hypocoercivity, Approximate methods for stochastic eigenvalue problems, An extended polynomial chaos expansion for PDF characterization and variation with aleatory and epistemic uncertainties, A fast Monte-Carlo method with a reduced basis of control variates applied to uncertainty propagation and Bayesian estimation, Stochastic projection schemes for deterministic linear elliptic partial differential equations on random domains, Weighted Smolyak algorithm for solution of stochastic differential equations on non-uniform probability measures, Inversion of Robin coefficient by a spectral stochastic finite element approach, Efficient stochastic structural analysis using Guyan reduction, Identification of Bayesian posteriors for coefficients of chaos expansions, The generalization of a class of impulse stochastic control models of a geometric Brownian motion, A robust solution of a statistical inverse problem in multiscale computational mechanics using an artificial neural network, Probabilistic equivalence and stochastic model reduction in multiscale analysis, Accelerating Monte Carlo estimation with derivatives of high-level finite element models, Random field representations for stochastic elliptic boundary value problems and statistical inverse problems, A least-squares approximation of partial differential equations with high-dimensional random inputs, Identification of random shapes from images through polynomial chaos expansion of random level set functions, Elements of a function analytic approach to probability, A hybrid collocation/Galerkin scheme for convective heat transfer problems with stochastic boundary conditions, A FETI‐preconditioned conjugate gradient method for large‐scale stochastic finite element problems, Stochastic simulation of riser-sections with uncertain measured pressure loads and/or uncertain material properties, A generalized spectral decomposition technique to solve a class of linear stochastic partial differential equations, Stochastic model reduction for chaos representations, Gaussian Process Modeling of Finite Element Models with Functional Inputs, Polynomial chaos representation of spatio-temporal random fields from experimental measurements, Sparse polynomial chaos expansions using variational relevance vector machines, Uncertainty quantification in the numerical solution of coupled systems by involutive completion, Efficient computation of unsteady flow in complex river systems with uncertain inputs

Uses Software

• BayesDA

Cites Work

• Uncertainty propagation using Wiener-Haar expansions
• Multi-resolution analysis of Wiener-type uncertainty propagation schemes
• Some methods for generating both an NT-net and the uniform distribution on a Stiefel manifold and their applications
• Probabilistic characterization of transport in heterogeneous media
• On solving elliptic stochastic partial differential equations
• Mid-frequency structural dynamics with parameter uncertainty.
• Modeling uncertainty in flow simulations via generalized polynomial chaos.
• Markov chains for exploring posterior distributions. (With discussion)
• Ingredients for a general purpose stochastic finite elements implementation
• The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
• SOLVING STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS BASED ON THE EXPERIMENTAL DATA
• Sampling-Based Approaches to Calculating Marginal Densities
• Convergence rates for finite elementapproximations of stochastic partial differential equations
• Introduction to Stochastic Search and Optimization
• Physical Systems with Random Uncertainties: Chaos Representations with Arbitrary Probability Measure
• Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes
• Galerkin Finite Element Approximations of Stochastic Elliptic Partial Differential Equations
• A Two-Scale Nonperturbative Approach to Uncertainty Analysis of Diffusion in Random Composites
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
• Equation of State Calculations by Fast Computing Machines
• The bootstrap and Edgeworth expansion
• A stochastic projection method for fluid flow. I: Basic formulation
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item