Mathematical properties of polynomial dimensional decomposition
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Publication:3176246
uncertainty quantificationmultivariate orthogonal polynomialspolynomial chaos expansionANOVA decomposition
Computational methods for problems pertaining to statistics (62-08) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Abstract: Many high-dimensional uncertainty quantification problems are solved by polynomial dimensional decomposition (PDD), which represents Fourier-like series expansion in terms of random orthonormal polynomials with increasing dimensions. This study constructs dimension-wise and orthogonal splitting of polynomial spaces, proves completeness of polynomial orthogonal basis for prescribed assumptions, and demonstrates mean-square convergence to the correct limit -- all associated with PDD. A second-moment error analysis reveals that PDD cannot commit larger error than polynomial chaos expansion (PCE) for the appropriately chosen truncation parameters. From the comparison of computational efforts, required to estimate with the same precision the variance of an output function involving exponentially attenuating expansion coefficients, the PDD approximation can be markedly more efficient than the PCE approximation.
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Cited in
(11)- Uncertainty quantification under dependent random variables by a generalized polynomial dimensional decomposition
- An iterative polynomial chaos approach toward stochastic elastostatic structural analysis with non-Gaussian randomness
- Uncertainty quantification by optimal spline dimensional decomposition
- Dimensional decomposition-aided metamodels for uncertainty quantification and optimization in engineering: a review
- Practical uncertainty quantification analysis involving statistically dependent random variables
- A spline chaos expansion
- Stochastic isogeometric analysis in linear elasticity
- Approximation errors in truncated dimensional decompositions
- Adaptive sparse polynomial dimensional decomposition for derivative-based sensitivity
- Dimensionwise multivariate orthogonal polynomials in general probability spaces
- A Spline Dimensional Decomposition for Uncertainty Quantification in High Dimensions
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