Fast numerical methods for stochastic computations: a review
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Publication:5268569
uncertainty quantificationspectral methodsstochastic differential equationsgeneralized polynomial chaos
Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
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Cited in
(only showing first 100 items - show all)- Timing observations of diffusions
- The Vlasov-Poisson-Fokker-Planck system with uncertainty and a one-dimensional asymptotic preserving method
- Intrusive acceleration strategies for uncertainty quantification for hyperbolic systems of conservation laws
- A finite element method for Maxwell polynomial chaos Debye model
- Uncertainty quantification for random Hamiltonian systems by using polynomial expansions and geometric integrators
- A Bloch decomposition-based stochastic Galerkin method for quantum dynamics with a random external potential
- An arbitrary polynomial chaos expansion approach for response analysis of acoustic systems with epistemic uncertainty
- Ensemble time-stepping algorithm for the convection-diffusion equation with random diffusivity
- Cluster-based generalized multiscale finite element method for elliptic PDEs with random coefficients
- Volatility uncertainty quantification in a stochastic control problem applied to energy
- A model reduction method for multiscale elliptic PDEs with random coefficients using an optimization approach
- A flexible polynomial expansion method for response analysis with random parameters
- Stochastic collocation and stochastic Galerkin methods for linear differential algebraic equations
- Convergence analysis of multifidelity Monte Carlo estimation
- Numerical prediction of the influence of uncertain inflow conditions in pipes by polynomial chaos
- Convergence analysis on stochastic collocation methods for the linear Schrödinger equation with random inputs
- A multilevel Monte Carlo ensemble scheme for random parabolic PDEs
- On deterministic-stochastic time domain study of dipole antenna for GPR applications
- Data-driven low-fidelity models for multi-fidelity Monte Carlo sampling in plasma micro-turbulence analysis
- On the long-term simulation of stochastic differential equations for predicting effective dispersion coefficients
- Stochastic polynomial chaos expansion method for random Darcy equation
- A study of Landau damping with random initial inputs
- Hybrid topology/shape optimization under uncertainty for actively-cooled nature-inspired microvascular composites
- Convergence analysis of macro spreading in 3D heterogeneous porous media
- Quantifying multiple uncertainties in modelling shallow water-sediment flows: a stochastic Galerkin framework with Haar wavelet expansion and an operator-splitting approach
- Mercer kernels and integrated variance experimental design: connections between Gaussian process regression and polynomial approximation
- Multivariate polynomial chaos expansions with dependent variables
- Data-driven compressive sensing and applications in uncertainty quantification
- Fast solver for uncertainty EM scattering problems by the perturbed-based MLFMA
- The estimation of functional uncertainty using polynomial chaos and adjoint equations
- Stochastic collocation applications in computational electromagnetics
- Fokker-Planck linearization for non-Gaussian stochastic elastoplastic finite elements
- Wave scattering by randomly shaped objects
- Uniform regularity in the random space and spectral accuracy of the stochastic Galerkin method for a kinetic-fluid two-phase flow model with random initial inputs in the light particle regime
- Optimal truncations for multivariate Fourier and Chebyshev series: mysteries of the hyperbolic cross. I: bivariate case
- Adaptive wavelet methods for elliptic partial differential equations with random operators
- Comparison of the performance and reliability between improved sampling strategies for polynomial chaos expansion
- On spectral approximations with nonstandard weight functions and their implementations to generalized chaos expansions
- Solution of the 3D density-driven groundwater flow problem with uncertain porosity and permeability
- A multi-element non-intrusive polynomial chaos method using agglomerative clustering based on the derivatives to study irregular and discontinuous quantities of interest
- Error Estimation of Polynomial Chaos Approximations in Transient Structural Dynamics
- Numerical analysis of the advection-diffusion of a solute in porous media with uncertainty
- Condensed SFEs for nonlinear mechanical problems
- Estimation of exciton diffusion lengths of organic semiconductors in random domains
- Enhancing statistical moment calculations for stochastic Galerkin solutions with Monte Carlo techniques
- An efficient solver for cumulative density function-based solutions of uncertain kinematic wave models
- A study of hyperbolicity of kinetic stochastic Galerkin system for the isentropic Euler equations with uncertainty
- Entropy stable Galerkin methods with suitable quadrature rules for hyperbolic systems with random inputs
- On the relationship between the stochastic Galerkin method and the pseudo-spectral collocation method for linear differential algebraic equations
- A stochastic Galerkin method for Maxwell equations with uncertainty
- Gegenbauer reconstruction method with edge detection for multi-dimensional uncertainty propagation
- Coupled fuzzy-interval model and method for structural response analysis with non-probabilistic hybrid uncertainties
- Asynchronous space-time domain decomposition method with localized uncertainty quantification
- A generalized uncertainty propagation criterion from benchmark studies of microstructured material systems
- Galerkin methods for stochastic hyperbolic problems using bi-orthogonal polynomials
- A stochastic asymptotic-preserving scheme for a kinetic-fluid model for disperse two-phase flows with uncertainty
- Weak Galerkin finite element methods for stochastic linear plane elasticity equations
- Model order reduction based on proper generalized decomposition for the propagation of uncertainties in structural dynamics
- Discontinuity detection in multivariate space for stochastic simulations
- Generalised polynomial chaos for a class of linear conservation laws
- Analysis of discrete \(L^2\) projection on polynomial spaces with random evaluations
- Optimal control with stochastic PDE constraints and uncertain controls
- Solution verification, goal-oriented adaptive methods for stochastic advection-diffusion problems
- Extracting stress intensity factors for isotropic cracked domains having stochastic material properties
- Analysis of methods for the Maxwell-random Lorentz model
- Recent developments in high order numerical methods for uncertainty quantification
- Evolution of probability distribution in time for solutions of hyperbolic equations
- Gaussian process regression and conditional polynomial chaos for parameter estimation
- Uncertainty quantification in shallow water-sediment flows: a stochastic Galerkin shallow water hydro-sediment-morphodynamic model
- Stochastic dosimetry of a three compartment head model
- A goal-oriented reduced basis methods-accelerated generalized polynomial chaos algorithm
- An adaptive dynamically low-dimensional approximation method for multiscale stochastic diffusion equations
- On stability and monotonicity requirements of finite difference approximations of stochastic conservation laws with random viscosity
- Uncertainty quantification and stochastic polynomial chaos expansion for recovering random data in Darcy and diffusion equations
- Fictitious domain method and separated representations for the solution of boundary value problems on uncertain parameterized domains
- Application of the random eigenvalue problem in forced response analysis of a linear stochastic structure
- Transonic velocity fluctuations simulated using extremum diminishing uncertainty quantification based on inverse distance weighting
- Mesh refinement for uncertainty quantification through model reduction
- A flexible numerical approach for quantification of epistemic uncertainty
- An accuracy comparison of polynomial chaos type methods for the propagation of uncertainties
- Adaptive-sparse polynomial chaos expansion for reliability analysis and design of complex engineering systems
- An adaptive minimum spanning tree multielement method for uncertainty quantification of smooth and discontinuous responses
- Note on coefficient matrices from stochastic Galerkin methods for random diffusion equations
- Characterization of discontinuities in high-dimensional stochastic problems on adaptive sparse grids
- Compressive sensing with cross-validation and stop-sampling for sparse polynomial chaos expansions
- Evaluation of failure probability via surrogate models
- Bayesian numerical homogenization
- Polynomial meta-models with canonical low-rank approximations: numerical insights and comparison to sparse polynomial chaos expansions
- Long-time uncertainty propagation using generalized polynomial chaos and flow map composition
- A finite mass based method for Vlasov-Poisson simulations
- Asymptotic-preserving methods for hyperbolic and transport equations with random inputs and diffusive scalings
- Variance reduction through robust design of boundary conditions for stochastic hyperbolic systems of equations
- The discrete stochastic Galerkin method for hyperbolic equations with non-smooth and random coefficients
- Stochastic Galerkin methods for elliptic interface problems with random input
- Stochastic finite element methods for partial differential equations with random input data
- Propagation of uncertainties in density-driven flow
- Towards a unified multiresolution scheme for treating discontinuities in differential equations with uncertainties
- A data-driven stochastic collocation approach for uncertainty quantification in MEMS
- eXtended stochastic finite element method for the numerical simulation of heterogeneous materials with random material interfaces
- Probability density evolution analysis of engineering structures via cubature points
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