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)- Compressive sensing with cross-validation and stop-sampling for sparse polynomial chaos expansions
- Solution of the 3D density-driven groundwater flow problem with uncertain porosity and permeability
- Control Theory and Experimental Design in Diffusion Processes
- Uncertainty quantification in shallow water-sediment flows: a stochastic Galerkin shallow water hydro-sediment-morphodynamic model
- Cluster-based generalized multiscale finite element method for elliptic PDEs with random coefficients
- Stochastic collocation and stochastic Galerkin methods for linear differential algebraic equations
- Propagation of uncertainties in density-driven flow
- A posteriori error estimates for the Crank-Nicolson method: application to parabolic partial differential equations subject to a Robin boundary condition with small randomness
- Error estimate of point selection in uncertainty quantification of nonlinear structures involving multiple nonuniformly distributed parameters
- Sparse collocation method for global sensitivity analysis and calculation of statistics of solutions in SPDEs
- 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
- A flexible polynomial expansion method for response analysis with random parameters
- A multi-element non-intrusive polynomial chaos method using agglomerative clustering based on the derivatives to study irregular and discontinuous quantities of interest
- Error analysis of generalized polynomial chaos for nonlinear random ordinary differential equations
- An efficient solver for cumulative density function-based solutions of uncertain kinematic wave models
- eXtended stochastic finite element method for the numerical simulation of heterogeneous materials with random material interfaces
- 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
- Characterization of discontinuities in high-dimensional stochastic problems on adaptive sparse grids
- Deterministic-stochastic modeling of transcranial magnetic stimulation featuring the use of method of moments and stochastic collocation
- Computing invariant sets of random differential equations using polynomial chaos
- Optimal control with stochastic PDE constraints and uncertain controls
- Multivariate polynomial chaos expansions with dependent variables
- 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
- Quantifying multiple uncertainties in modelling shallow water-sediment flows: a stochastic Galerkin framework with Haar wavelet expansion and an operator-splitting approach
- Prediction of apparent properties with uncertain material parameters using high-order fictitious domain methods and PGD model reduction
- Fast solver for uncertainty EM scattering problems by the perturbed-based MLFMA
- A Bloch decomposition-based stochastic Galerkin method for quantum dynamics with a random external potential
- Modelling and Simulation of Forced Oscillators with Random Periods
- Statistical solutions for the Navier-Stokes-Fourier system
- Multi-objective shape optimization of TESLA-like cavities: addressing stochastic Maxwell's eigenproblem constraints
- On stability and monotonicity requirements of finite difference approximations of stochastic conservation laws with random viscosity
- Application of gPCRK methods to nonlinear random differential equations with piecewise constant argument
- Proper generalized decompositions and separated representations for the numerical solution of high dimensional stochastic problems
- Analysis of discrete L^2 projection on polynomial spaces with random evaluations
- Generalized polynomial chaos expansions for the random fractional Bateman equations
- Error Estimation of Polynomial Chaos Approximations in Transient Structural Dynamics
- Bayesian Deep Learning Framework for Uncertainty Quantification in Stochastic Partial Differential Equations
- Recent developments in high order numerical methods for uncertainty quantification
- An adaptive minimum spanning tree multielement method for uncertainty quantification of smooth and discontinuous responses
- Generalised polynomial chaos for a class of linear conservation laws
- Evaluation of failure probability via surrogate models
- On spectral approximations with nonstandard weight functions and their implementations to generalized chaos expansions
- A study of hyperbolicity of kinetic stochastic Galerkin system for the isentropic Euler equations with uncertainty
- Data free inference with processed data products
- A hybrid polynomial chaos expansion -- Gaussian process regression method for Bayesian uncertainty quantification and sensitivity analysis
- Statistical laws of a one-dimensional model of turbulent flows subject to an external random force
- A data-driven stochastic collocation approach for uncertainty quantification in MEMS
- 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
- New high-order numerical methods for hyperbolic systems of nonlinear PDEs with uncertainties
- Hybrid topology/shape optimization under uncertainty for actively-cooled nature-inspired microvascular composites
- A study of Landau damping with random initial inputs
- Wave scattering by randomly shaped objects
- Sparse polynomial chaos expansions for uncertainty quantification in thermal tomography
- A Posteriori Validation of Generalized Polynomial Chaos Expansions
- A new paradigm for the efficient inclusion of stochasticity in engineering simulations: time-separated stochastic mechanics
- 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
- Stochastic Galerkin methods for elliptic interface problems with random input
- A multilevel Monte Carlo ensemble scheme for random parabolic PDEs
- A versatile technique for the optimal approximation of random processes by functional quantization
- Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes
- A multiscale method for semi-linear elliptic equations with localized uncertainties and non-linearities
- An adaptive dynamically low-dimensional approximation method for multiscale stochastic diffusion equations
- Uncertainty propagation in stochastic fractional order processes using spectral methods: a hybrid approach
- Stochastic polynomial chaos expansion method for random Darcy equation
- Bayesian numerical homogenization
- Note on coefficient matrices from stochastic Galerkin methods for random diffusion equations
- A flexible numerical approach for quantification of epistemic uncertainty
- Discontinuity detection in multivariate space for stochastic simulations
- Comparison of the performance and reliability between improved sampling strategies for polynomial chaos expansion
- Entropy stable Galerkin methods with suitable quadrature rules for hyperbolic systems with random inputs
- Convergence analysis of multifidelity Monte Carlo estimation
- On deterministic-stochastic time domain study of dipole antenna for GPR applications
- Schwarz preconditioners for stochastic elliptic PDEs
- Weighted Smolyak algorithm for solution of stochastic differential equations on non-uniform probability measures
- Asynchronous space-time domain decomposition method with localized uncertainty quantification
- Uncertainty quantification and stochastic polynomial chaos expansion for recovering random data in Darcy and diffusion equations
- Solution verification, goal-oriented adaptive methods for stochastic advection-diffusion problems
- Theory and methods for random differential equations: a survey
- Fokker-Planck linearization for non-Gaussian stochastic elastoplastic finite elements
- A generalized uncertainty propagation criterion from benchmark studies of microstructured material systems
- Convergence analysis of macro spreading in 3D heterogeneous porous media
- Evolution of probability distribution in time for solutions of hyperbolic equations
- Spline-based stochastic collocation methods for uncertainty quantification in nonlinear hyperbolic PDEs
- Uncertainty quantification for random Hamiltonian systems by using polynomial expansions and geometric integrators
- Variational theory and computations in stochastic plasticity
- Adaptive sparse polynomial chaos expansion based on least angle regression
- Coupled fuzzy-interval model and method for structural response analysis with non-probabilistic hybrid uncertainties
- Fictitious domain method and separated representations for the solution of boundary value problems on uncertain parameterized domains
- Extracting stress intensity factors for isotropic cracked domains having stochastic material properties
- A multiscale method with patch for the solution of stochastic partial differential equations with localized uncertainties
- Gegenbauer reconstruction method with edge detection for multi-dimensional uncertainty propagation
- Sparse grid collocation method for an optimal control problem involving a stochastic partial differential equation with random inputs
- Improved error bound for multivariate Chebyshev polynomial interpolation
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