On the Optimality of the Discrete Karhunen--Loève Expansion

DOI10.1137/S0363012997315750zbMATH Open0914.93074MaRDI QIDQ4210194FDOQ4210194

Authors: Arne Dür 

Publication date: 21 September 1998

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

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zbMATH Keywords

linear approximationKarhunen-Loève expansionapproximation of a random variable

Mathematics Subject Classification ID

Multivariate analysis (62H99) Least squares and related methods for stochastic control systems (93E24) Approximation by arbitrary linear expressions (41A45)

Cited In (17)

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• On a Class of Random Variational Inequalities on Random Sets
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• A probabilistic collocation eulerian-Lagrangian localized adjoint method on sparse grids for assessing \(\operatorname{CO}_2\) leakage through wells in randomly heterogeneous porous media
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• A model reduction method for the post-buckling analysis of cellular microstructures
• Relationship between the Karhunen- Loéve transform and the Courant - Fischer theorem (Corresp.)
• The reduced model multiscale method (R3M) for the nonlinear homogenization of hyperelastic media at finite strains
• Karhunen-Loève expansion revisited for vector-valued random fields: scaling, errors and optimal basis.
• Dimensional model reduction in nonlinear finite element dynamics of solids and structures
• Numerical studies of three-dimensional stochastic Darcy's equation and stochastic advection-diffusion-dispersion equation
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