A weighted _1-minimization approach for sparse polynomial chaos expansions
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Publication:349012
sparse approximationuncertainty quantificationpolynomial chaoscompressive samplingbasis pursuit denoising (BPDN)stochastic PDEs (SPDEs)weighted \(\ell_1\)-minimization
Numerical optimization and variational techniques (65K10) Convex programming (90C25) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Probabilistic models, generic numerical methods in probability and statistics (65C20) Sampling theory in information and communication theory (94A20)
Abstract: This work proposes a method for sparse polynomial chaos (PC) approximation of high-dimensional stochastic functions based on non-adapted random sampling. We modify the standard l1 -minimization algorithm, originally proposed in the context of compressive sampling, using a priori information about the decay of the PC coefficients and refer to the resulting algorithm as weighted l1 -minimization. We provide conditions under which we may guarantee recovery using this weighted scheme. Numerical tests are used to compare the weighted and non-weighted methods for the recovery of solutions to two differential equations with high-dimensional random inputs: a boundary value problem with a random elliptic operator and a 2-D thermally driven cavity flow with random boundary condition.
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