Nonintrusive Polynomial Chaos Expansions for Sensitivity Analysis in Stochastic Differential Equations
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Publication:5269869
DOI10.1137/16M1061989zbMATH Open1367.60091MaRDI QIDQ5269869FDOQ5269869
O. Le Maître, Omar M. Knio, M. Navarro Jimenez
Publication date: 28 June 2017
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
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 (13)
- Emulation of Stochastic Simulators Using Generalized Lambda Models
- 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 for random nonlinear dynamical systems and low-dimensional representations for their quantities of interest
- 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
- 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
- A spectral surrogate model for stochastic simulators computed from trajectory samples
- 10 Model order reduction in uncertainty quantification
- Solution of stochastic nonlinear time fractional PDEs using polynomial chaos expansion combined with an exponential integrator
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