On the convergence of generalized polynomial chaos expansions

DOI10.1051/m2an/2011045zbMath1273.65012OpenAlexW2150062983MaRDI QIDQ2846157

Antje Mugler, H.-J. Starkloff, Oliver G. Ernst, Elisabeth Ullmann

Publication date: 5 September 2013

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/m2an/2011045

zbMATH Keywords

moment problemnumerical examplesWiener integralspectral elementspolynomial chaosstochastic Galerkin methodgeneralized polynomial chaosWiener-Hermite expansiondeterminate measureequations with random data

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) 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)

Related Items

Probabilistic inference of reaction rate parameters from summary statistics, Probabilistic parameter estimation in a 2-step chemical kinetics model for n-dodecane jet autoignition, An Adaptive Sampling and Domain Learning Strategy for Multivariate Function Approximation on Unknown Domains, Stochastic Galerkin Methods for Linear Stability Analysis of Systems with Parametric Uncertainty, A Comparative Study of Polynomial-Type Chaos Expansions for Indicator Functions, A General Framework of Rotational Sparse Approximation in Uncertainty Quantification, Probabilistic Density Function Method for Stochastic ODEs of Power Systems with Uncertain Power Input, Sensitivity Analysis for Stability of Uncertain Delay Differential Equations Using Polynomial Chaos Expansions, Algorithms for Propagating Uncertainty Across Heterogeneous Domains, Quantifying Sampling Noise and Parametric Uncertainty in Atomistic-to-Continuum Simulations Using Surrogate Models, Optimization with constraints considering polymorphic uncertainties, Theory and methods for random differential equations: a survey, Gaussian active learning on multi-resolution arbitrary polynomial chaos emulator: concept for bias correction, assessment of surrogate reliability and its application to the carbon dioxide benchmark, Numerical Analysis of the Monte-Carlo Noise for the Resolution of the Deterministic and Uncertain Linear Boltzmann Equation (Comparison of Non-Intrusive gPC and MC-gPC), Moment-based invariants for probabilistic loops with non-polynomial assignments, Probabilistic-learning-based stochastic surrogate model from small incomplete datasets for nonlinear dynamical systems, Convergence of a stochastic collocation finite volume method for the compressible Navier-Stokes system, Residual-based error correction for neural operator accelerated Infinite-dimensional Bayesian inverse problems, A fully Bayesian sparse polynomial chaos expansion approach with joint priors on the coefficients and global selection of terms, Global sensitivity analysis using multi-resolution polynomial chaos expansion for coupled Stokes-Darcy flow problems, Accelerating hypersonic reentry simulations using deep learning-based hybridization (with guarantees), Polynomial-chaos-based conditional statistics for probabilistic learning with heterogeneous data applied to atomic collisions of helium on graphite substrate, An Adaptive Stochastic Galerkin Tensor Train Discretization for Randomly Perturbed Domains, Application of gPCRK Methods to Nonlinear Random Differential Equations with Piecewise Constant Argument, Robust Information Divergences for Model-Form Uncertainty Arising from Sparse Data in Random PDE, Sliced-Inverse-Regression--Aided Rotated Compressive Sensing Method for Uncertainty Quantification, Unnamed Item, Control and Systems Theory for Advanced Manufacturing, Towards optimal sampling for learning sparse approximation in high dimensions, Compressed Principal Component Analysis of Non-Gaussian Vectors, Effectively Subsampled Quadratures for Least Squares Polynomial Approximations, Sensitivity Analysis of Burgers' Equation with Shocks, Emulation of Stochastic Simulators Using Generalized Lambda Models, N-TERM WIENER CHAOS APPROXIMATION RATES FOR ELLIPTIC PDEs WITH LOGNORMAL GAUSSIAN RANDOM INPUTS, Dynamical Polynomial Chaos Expansions and Long Time Evolution of Differential Equations with Random Forcing, On the convergence of the quasi-regression method: polynomial chaos and regularity, A Spline Chaos Expansion, Computing Invariant Sets of Random Differential Equations Using Polynomial Chaos, Modeling of Allee effect in biofilm formation via the stochastic bistable Allen–Cahn partial differential equation, Convergence Analysis and Adaptive Order Selection for the Polynomial Chaos Approach to Direct Optimal Control under Uncertainties, On the convergence of adaptive gPC for non-linear random difference equations: Theoretical analysis and some practical recommendations, Random field representations for stochastic elliptic boundary value problems and statistical inverse problems, Beyond the hypothesis of boundedness for the random coefficient of Airy, Hermite and Laguerre differential equations with uncertainties, On relation between one multiple and a corresponding one-dimensional integral with applications, Stability Preservation in Stochastic Galerkin Projections of Dynamical Systems, 10 Model order reduction in uncertainty quantification, Sparse Polynomial Chaos Expansions: Literature Survey and Benchmark, A Convex Optimization Framework for the Inverse Problem of Identifying a Random Parameter in a Stochastic Partial Differential Equation, Hyperbolicity-Preserving and Well-Balanced Stochastic Galerkin Method for Shallow Water Equations, Bayesian Inverse Problems and Kalman Filters, Is It Worthwhile Considering Orthogonality in Generalised Polynomial Chaos Expansions Applied to Solving Stochastic Models?, Optimal Partition in Terms of Independent Random Vectors of Any Non-Gaussian Vector Defined by a Set of Realizations, Polynomial Chaos Expansions for the Stability Analysis of Uncertain Delay Differential Equations, A Generalized Sampling and Preconditioning Scheme for Sparse Approximation of Polynomial Chaos Expansions, Computing the density function of complex models with randomness by using polynomial expansions and the RVT technique. Application to the SIR epidemic model, Modified SFEM for computational homogenization of heterogeneous materials with microstructural geometric uncertainties, Adaptive stochastic Galerkin FEM with hierarchical tensor representations, ON THE OPTIMAL POLYNOMIAL APPROXIMATION OF STOCHASTIC PDES BY GALERKIN AND COLLOCATION METHODS, Hyperbolicity-preserving and well-balanced stochastic Galerkin method for two-dimensional shallow water equations, Bayesian inversion using adaptive polynomial chaos kriging within subset simulation, Efficient uncertain \(k_{\mathrm{eff}}\) computations with the Monte Carlo resolution of generalised polynomial chaos based reduced models, Efficient uncertainty propagation for photonics: combining implicit semi-analog Monte Carlo (ISMC) and Monte Carlo generalised polynomial chaos (MC-gPC), Wiener-Hermite polynomial expansion for multivariate Gaussian probability measures, Wiener-Poisson chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model, Subspace inverse power method and polynomial chaos representation for the modal frequency responses of random mechanical systems, Parametrization of Random Vectors in Polynomial Chaos Expansions via Optimal Transportation, Analysis of the Ensemble and Polynomial Chaos Kalman Filters in Bayesian Inverse Problems, Mathematical Properties of Polynomial Dimensional Decomposition, Compressive Sensing with Cross-Validation and Stop-Sampling for Sparse Polynomial Chaos Expansions, Wiener Calculus for Differential Equations with Uncertainties, Sparse Adaptive Tensor Galerkin Approximations of Stochastic PDE-Constrained Control Problems, Convergence of quasi-optimal stochastic Galerkin methods for a class of PDES with random coefficients, Variational theory and computations in stochastic plasticity, Polynomial chaos expansion approach to interest rate models, Enforcing positivity in intrusive PC-UQ methods for reactive ODE systems, Variational inference with NoFAS: normalizing flow with adaptive surrogate for computationally expensive models, Multi-element least square HDMR methods and their applications for stochastic multiscale model reduction, Uncertainty quantification for random Hamiltonian systems by using polynomial expansions and geometric integrators, Ambrosio-Tortorelli segmentation of stochastic images: model extensions, theoretical investigations and numerical methods, Influence of physical and geometrical uncertainties in the parametric instability load of an axially excited cylindrical shell, An accuracy comparison of polynomial chaos type methods for the propagation of uncertainties, Shape and topology optimization of a permanent-magnet machine under uncertainties, Polynomial chaos expansions for dependent random variables, A note on stochastic polynomial chaos expansions for uncertain volatility and Asian option pricing, Solution of the 3D density-driven groundwater flow problem with uncertain porosity and permeability, Numerical approximation of poroelasticity with random coefficients using polynomial chaos and hybrid high-order methods, Stochastic modeling of fracture initiation and propagation during fluid flow in carbonate reservoir, Low-Rank Solution of Unsteady Diffusion Equations with Stochastic Coefficients, Low-rank solvers for unsteady Stokes-Brinkman optimal control problem with random data, Polynomial chaos representation of databases on manifolds, Multi-fidelity Gaussian process regression for prediction of random fields, Computational uncertainty quantification for random non-autonomous second order linear differential equations via adapted gPC: a comparative case study with random Fröbenius method and Monte Carlo simulation, Analysis of discrete \(L^2\) projection on polynomial spaces with random evaluations, Stochastic Galerkin techniques for random ordinary differential equations, Improving the approximation of the first- and second-order statistics of the response stochastic process to the random Legendre differential equation, A dynamical polynomial chaos approach for long-time evolution of SPDEs, Approximating the first passage time density from data using generalized Laguerre polynomials, On stochastic FEM based computational homogenization of magneto-active heterogeneous materials with random microstructure, A posteriori error estimation and adaptivity in stochastic Galerkin FEM for parametric elliptic PDEs: beyond the affine case, A spectral surrogate model for stochastic simulators computed from trajectory samples, Stochastic Collocation Methods via $\ell_1$ Minimization Using Randomized Quadratures, A Christoffel function weighted least squares algorithm for collocation approximations, Uncertainty quantification for nonlinear difference equations with dependent random inputs via a stochastic Galerkin projection technique, The numerical approximation of nonlinear functionals and functional differential equations, Data-driven polynomial chaos expansions: a weighted least-square approximation, Adaptive stochastic Galerkin FEM, Preconditioned Bayesian regression for stochastic chemical kinetics, Uncertainty quantification methodology for hyperbolic systems with application to blood flow in arteries, Some greedy algorithms for sparse polynomial chaos expansions, Data-driven polynomial chaos expansion for machine learning regression, On stability and monotonicity requirements of finite difference approximations of stochastic conservation laws with random viscosity, Hyperbolic stochastic Galerkin formulation for the \(p\)-system, Simulator-free solution of high-dimensional stochastic elliptic partial differential equations using deep neural networks, Non-intrusive framework of reduced-order modeling based on proper orthogonal decomposition and polynomial chaos expansion, Constructing adaptive generalized polynomial chaos method to measure the uncertainty in continuous models: a computational approach, PC-Based Sensitivity Analysis of the Basic Reproduction Number of Population and Epidemic Models, Uncertainty quantification of simulated biomechanical stimuli in coronary artery bypass grafts, Generalized polynomial chaos for nonlinear random delay differential equations, A polynomial chaos expansion in dependent random variables, Operator differential-algebraic equations with noise arising in fluid dynamics, Model order reduction and low-dimensional representations for random linear dynamical systems, Model order reduction for random nonlinear dynamical systems and low-dimensional representations for their quantities of interest, Spectral convergence of the generalized polynomial chaos reduced model obtained from the uncertain linear Boltzmann equation, Stochastic collocation and stochastic Galerkin methods for linear differential algebraic equations, Adaptive wavelet methods for the stochastic Poisson equation, Error analysis of generalized polynomial chaos for nonlinear random ordinary differential equations, Improving adaptive generalized polynomial chaos method to solve nonlinear random differential equations by the random variable transformation technique, Optimal Bayesian experimental design for subsurface flow problems, A two-stage surrogate model for neo-Hookean problems based on adaptive proper orthogonal decomposition and hierarchical tensor approximation, Stability-preserving model order reduction for linear stochastic Galerkin systems, Spectral methods for nonlinear functionals and functional differential equations, On the construction of stochastic fields with prescribed regularity by wavelet expansions, SAMBA: sparse approximation of moment-based arbitrary polynomial chaos, Uncertainty quantification for the random viscous Burgers' partial differential equation by using the differential transform method, Sensitivity analysis of random linear differential-algebraic equations using system norms, Long-time uncertainty propagation using generalized polynomial chaos and flow map composition, Parseval inequalities and lower bounds for variance-based sensitivity indices, Fundamental equations with higher order Malliavin operators, Asymptotic expansion for some local volatility models arising in finance, On the construction of uncertain time series surrogates using polynomial chaos and Gaussian processes, Flow-driven spectral chaos (FSC) method for long-time integration of second-order stochastic dynamical systems, Pitfalls in the frequency response represented onto polynomial chaos for random SDOF mechanical systems, A hyperbolicity-preserving discontinuous stochastic Galerkin scheme for uncertain hyperbolic systems of equations, A generalized multi-resolution expansion for uncertainty propagation with application to cardiovascular modeling, Surrogate assisted active subspace and active subspace assisted surrogate -- a new paradigm for high dimensional structural reliability analysis, Adaptive stochastic Galerkin FEM for lognormal coefficients in hierarchical tensor representations, Learning ``best kernels from data in Gaussian process regression. With application to aerodynamics, Combining polynomial chaos expansions and the random variable transformation technique to approximate the density function of stochastic problems, including some epidemiological models, Propagation of uncertainties in density-driven flow, Numerical procedures for random differential equations, A polymorphic uncertainty model for the curing process of transversely fiber-reinforced plastics, Multigroup-like MC resolution of generalised polynomial chaos reduced models of the uncertain linear Boltzmann equation (+discussion on hybrid intrusive/non-intrusive uncertainty propagation), Emulation to simulate low-resolution atmospheric data, Bi-fidelity reduced polynomial chaos expansion for uncertainty quantification