Sampling-free linear Bayesian update of polynomial chaos representations

DOI10.1016/J.JCP.2012.04.044zbMATH Open1277.60114DBLPjournals/jcphy/RosicLPM12OpenAlexW2102125272WikidataQ57524799 ScholiaQ57524799MaRDI QIDQ385895FDOQ385895

Authors: Bojana Rosić, Alexander Litvinenko, Oliver Pajonk, Hermann G. Matthies 

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

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zbMATH Keywords

Kalman filterpolynomial chaos expansionlinear Bayesian updateminimum squared error estimateminimum variance estimate

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods for inverse problems for boundary value problems involving PDEs (65N21) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) White noise theory (60H40)

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Cited In (28)

• A practical polynomial chaos Kalman filter implementation using nonlinear error projection on a reduced polynomial chaos expansion
• Sparsity-promoting elastic net method with rotations for high-dimensional nonlinear inverse problem
• Identification and sampling of Bayesian posteriors of high-dimensional symmetric positive-definite matrices for data-driven updating of computational models
• Uncertainty updating in the description of coupled heat and moisture transport in heterogeneous materials
• Sampling free iterative PCE filter for state and parameter estimation of nonlinear dynamical systems
• Identification of properties of stochastic elastoplastic systems
• Identification of Bayesian posteriors for coefficients of chaos expansions
• Bayesian inverse problems and Kalman filters
• Bayesian updating with subset simulation using artificial neural networks
• Accurate Computation of Conditional Expectation for Highly Nonlinear Problems
• Acceleration of uncertainty updating in the description of transport processes in heterogeneous materials
• Optimal observations-based retrieval of topography in 2D shallow water equations using PC-EnKF
• Analysis of the ensemble and polynomial chaos Kalman filters in Bayesian inverse problems
• Effect of load path on parameter identification for plasticity models using Bayesian methods
• Compressed principal component analysis of non-Gaussian vectors
• Reduced model of macro-scale stochastic plasticity identification by Bayesian inference: application to quasi-brittle failure of concrete
• The use of polynomial chaos for parameter identification from measurements in nonlinear dynamical systems
• Uncertainty quantification for stochastic dynamical systems using time-dependent stochastic bases
• Parameter identification for phase-field modeling of fracture: a Bayesian approach with sampling-free update
• Considerations on the identifiability of fracture and bond properties of reinforced concrete
• Variational theory and computations in stochastic plasticity
• Data fusion for uncertainty quantification with non-intrusive polynomial chaos
• Sampling of Bayesian posteriors with a non-Gaussian probabilistic learning on manifolds from a small dataset
• Stochastic modelling of symmetric positive definite material tensors
• Likelihood approximation with hierarchical matrices for large spatial datasets
• Implementation of the multiscale stochastic finite element method on elliptic PDE problems
• A two-stage variable-separation Kalman filter for data assimilation
• Probabilistic-learning-based stochastic surrogate model from small incomplete datasets for nonlinear dynamical systems

Uses Software

• SGLib

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