Sampling-free linear Bayesian update of polynomial chaos representations

DOI10.1016/j.jcp.2012.04.044zbMath1277.60114WikidataQ57524799 ScholiaQ57524799MaRDI QIDQ385895

Alexander Litvinenko, Hermann G. Matthies, Oliver Pajonk, Bojana V. Rosić

Publication date: 12 December 2013

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

Full work available at URL: https://doi.org/10.1016/j.jcp.2012.04.044

zbMATH Keywords

Kalman filter; polynomial chaos expansion; linear Bayesian update; minimum squared error estimate; minimum variance estimate

Mathematics Subject Classification ID

65C05: Monte Carlo methods

60H40: White noise theory

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

65N21: Numerical methods for inverse problems for boundary value problems involving PDEs

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Uses Software

• SGLib

Cites Work

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