Computational Aspects for Constructing Realizations of Polynomial Chaos in High Dimension

DOI10.1137/100787830zbMath1225.60118MaRDI QIDQ3006141

Christophe Desceliers, Christian Soize

Publication date: 10 June 2011

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://hal-upec-upem.archives-ouvertes.fr/hal-00684323/file/publi-2010-SIAM-JSC-32_5_2820-2831-soize-desceliers-preprint.pdf

zbMATH Keywords

efficient computation; polynomial chaos expansion; high dimension; arbitrary measure; orthogonality relation for monomials; statistically independent realisations

Mathematics Subject Classification ID

60K40: Other physical applications of random processes

60H25: Random operators and equations (aspects of stochastic analysis)

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

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