Stochastic polynomial chaos based algorithm for solving PDEs with random coefficients

DOI10.1515/MCMA-2014-0006zbMATH Open1307.65013OpenAlexW2082282986MaRDI QIDQ487529FDOQ487529

Authors: Irina A. Shalimova, Karl Sabelfeld 

Publication date: 22 January 2015

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2014-0006

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zbMATH Keywords

singular value decompositionalgorithmrandom fieldMonte Carlo methodpolynomial chaos expansionDarcy equationprobabilistic collocation methodrandom hydraulic conductivityKarhunen-Loève expansion

Mathematics Subject Classification ID

Random fields (60G60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic analysis applied to problems in fluid mechanics (76M35) Flows in porous media; filtration; seepage (76S05)

Cited In (16)

• Local polynomial chaos expansion for linear differential equations with high dimensional random inputs
• A Chebyshev polynomial-based Galerkin method for the discretization of spatially varying random properties
• Adaptive multi-element polynomial chaos with discrete measure: algorithms and application to SPDEs
• Stochastic polynomial chaos expansion method for random Darcy equation
• Polynomial Chaos Expansion of Random Coefficients and the Solution of Stochastic Partial Differential Equations in the Tensor Train Format
• Uncertainty quantification and stochastic polynomial chaos expansion for recovering random data in Darcy and diffusion equations
• SDE based regression for linear random PDEs
• On closure schemes for polynomial chaos expansions of stochastic differential equations
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• A dynamically adaptive wavelet approach to stochastic computations based on polynomial chaos -- capturing all scales of random modes on independent grids
• Hybrid perturbation-polynomial chaos approaches to the random algebraic eigenvalue problem
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• A resilient domain decomposition polynomial chaos solver for uncertain elliptic PDEs
• Spectral polynomial chaos solutions of the stochastic advection equation
• Polynomial Chaos in Stochastic Finite Elements

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