Piecewise polynomial approximation of probability density functions with application to uncertainty quantification for stochastic PDEs

DOI10.1007/978-3-030-48721-8_5zbMATH Open1455.62157arXiv1906.10869OpenAlexW2953906353MaRDI QIDQ5141289FDOQ5141289

Authors: Max Gunzburger, Giacomo Capodaglio 

Publication date: 18 December 2020

Published in: Lecture Notes in Computational Science and Engineering (Search for Journal in Brave)

Abstract: The probability density function (PDF) associated with a given set of samples is approximated by a piecewise-linear polynomial constructed with respect to a binning of the sample space. The kernel functions are a compactly supported basis for the space of such polynomials, i.e. finite element hat functions, that are centered at the bin nodes rather than at the samples, as is the case for the standard kernel density estimation approach. This feature naturally provides an approximation that is scalable with respect to the sample size. On the other hand, unlike other strategies that use a finite element approach, the proposed approximation does not require the solution of a linear system. In addition, a simple rule that relates the bin size to the sample size eliminates the need for bandwidth selection procedures. The proposed density estimator has unitary integral, does not require a constraint to enforce positivity, and is consistent. The proposed approach is validated through numerical examples in which samples are drawn from known PDFs. The approach is also used to determine approximations of (unknown) PDFs associated with outputs of interest that depend on the solution of a stochastic partial differential equation.

Full work available at URL: https://arxiv.org/abs/1906.10869

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zbMATH Keywords

uncertainty quantificationprobability density functionsstochastic PDEspolynomial approximation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic approximation (62L20) Numerical interpolation (65D05) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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Cited In (5)

• Uncertainty quantification for random parabolic equations with nonhomogeneous boundary conditions on a bounded domain via the approximation of the probability density function
• Fourier-Legendre approximation of a probability density from discrete data
• Uncertainty quantification and stochastic polynomial chaos expansion for recovering random data in Darcy and diffusion equations
• The estimation of functional uncertainty using polynomial chaos and adjoint equations
• A computational study of preconditioning techniques for the stochastic diffusion equation with lognormal coefficient

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