Multi-element stochastic spectral projection for high quantile estimation

DOI10.1016/J.JCP.2013.01.012zbMATH Open1349.62099OpenAlexW1980711053MaRDI QIDQ347642FDOQ347642

Authors: Jordan Ko, Josselin Garnier 

Publication date: 5 December 2016

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

Full work available at URL: https://doi.org/10.1016/j.jcp.2013.01.012

Recommendations

• Uncertainty quantification for approximate \(p\)-quantiles for physical models with stochastic inputs
• Estimation of extreme quantiles in a simulation model
• Multi-element probabilistic collocation method in high dimensions
• Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models
• Simulation and estimation of extreme quantiles and extreme probabilities

zbMATH Keywords

metamodelsnumerical quadraturequantile estimationgeneralized polynomial chaosanisotropic quadraturemulti-element refinementmultiple design pointssparse-tensor quadrature

Mathematics Subject Classification ID

Nonparametric estimation (62G05)

Cites Work

• Fully symmetric interpolatory rules for multiple integrals over infinite regions with Gaussian weight
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• Some basic hypergeometric orthogonal polynomials that generalize Jacobi polynomials
• Order Statistics
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
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• A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data
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• The Optimum Addition of Points to Quadrature Formulae
• The multi-element probabilistic collocation method (ME-PCM): Error analysis and applications
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• Multi-Element Generalized Polynomial Chaos for Arbitrary Probability Measures
• The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
• Adapted polynomial chaos expansion for failure detection
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• Sensitivity of two-dimensional spatially developing mixing layers with respect to uncertain inflow conditions
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• Construction of Gauss-Christoffel Quadrature Formulas

Cited In (4)

• Uncertainty quantification for approximate \(p\)-quantiles for physical models with stochastic inputs
• A New Family of High-Resolution Multivariate Spectral Estimators
• Efficient estimation of extreme quantiles using adaptive kriging and importance sampling
• The algebraic method in quadrature for uncertainty quantification

Uses Software

• PATSYM
• HRMSYM

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