Nonintrusive polynomial chaos expansions for sensitivity analysis in stochastic differential equations

DOI10.1137/16M1061989zbMATH Open1367.60091MaRDI QIDQ5269869FDOQ5269869

Authors M. Navarro Jimenez, Omar M. Knio, O. Le Maître 

Publication date 28 June 2017

Published in SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationsvariance decompositionpolynomial chaos expansions

Mathematics Subject Classification ID

Numerical quadrature and cubature formulas (65D32) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Algorithms for approximation of functions (65D15)

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Cited In (16)

• Global sensitivity analysis for models described by stochastic differential equations
• Stochastic response surfaces based on non-intrusive polynomial chaos for uncertainty quantification
• On the capabilities of the polynomial chaos expansion method within SFE analysis -- an overview
• Model order reduction in uncertainty quantification
• Model order reduction for random nonlinear dynamical systems and low-dimensional representations for their quantities of interest
• Emulation of stochastic simulators using generalized lambda models
• Performing global sensitivity analysis on simulations of a continuous-time Markov chain model motivated by epidemiology
• Sensitivity Analysis for Stability of Uncertain Delay Differential Equations Using Polynomial Chaos Expansions
• Identification of high-dimension polynomial chaos expansions with random coefficients for non-Gaussian tensor-valued random fields using partial and limited experimental data
• A new non-intrusive polynomial chaos using higher order sensitivities
• On the use of derivatives in the polynomial chaos based global sensitivity and uncertainty analysis applied to the distributed parameter models
• A sequential experimental design for multivariate sensitivity analysis using polynomial chaos expansion
• Sensitivity analysis and variance reduction in a stochastic non-destructive testing problem
• A spectral surrogate model for stochastic simulators computed from trajectory samples
• Importance sampling for pathwise sensitivity of stochastic chaotic systems
• Solution of stochastic nonlinear time fractional PDEs using polynomial chaos expansion combined with an exponential integrator

Uses Software

• bootstrap

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