Recent developments in high order numerical methods for uncertainty quantification

DOI10.1360/N012014-00218MaRDI QIDQ5018063zbMATH OpenOpenAlexFDO

Authors

Publication date 17 December 2021

Published in SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1360/n012014-00218

zbMATH Keywords

uncertainty quantificationcompressed sensingpolynomial approximationstochastic collocationforward backward stochastic differential equationsdiscrete least-squares projection

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Approximation by polynomials (41A10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(12)

• A distributed optimal control problem with averaged stochastic gradient descent
• Ensemble time-stepping algorithm for the convection-diffusion equation with random diffusivity
• Polynomial chaos expansions for stiff random ODEs
• Application of gPCRK methods to nonlinear random differential equations with piecewise constant argument
• Bi-Orthogonal fPINN: A Physics-Informed Neural Network Method for Solving Time-Dependent Stochastic Fractional PDEs
• Data-driven polynomial chaos expansions: a weighted least-square approximation
• A sample-efficient deep learning method for multivariate uncertainty qualification of acoustic-vibration interaction problems
• Uncertainty quantification of derivative instruments
• Stochastic Collocation vial₁-Minimisation on Low Discrepancy Point Sets with Application to Uncertainty Quantification
• Data-driven compressive sensing and applications in uncertainty quantification
• Generalized polynomial chaos for nonlinear random pantograph equations
• Fast numerical methods for stochastic computations: a review

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