Nonintrusive polynomial chaos expansions for sensitivity analysis in stochastic differential equations
From MaRDI portal
Publication:5269869
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)
Recommendations
- Global sensitivity analysis for models described by stochastic differential equations
- The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
- Intrusive versus non-intrusive methods for stochastic finite elements
- A new non-intrusive polynomial chaos using higher order sensitivities
- An adaptive multi-element generalized polynomial chaos method for stochastic differential equations
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)
Cites Work
- Title not available (Why is that?)
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code
- Making best use of model evaluations to compute sensitivity indices
- Title not available (Why is that?)
- Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
- Title not available (Why is that?)
- Title not available (Why is that?)
- Sensitivity Analysis in Practice
- Mathematical epidemiology.
- Dimension-adaptive tensor-product quadrature
- Title not available (Why is that?)
- Spectral Methods for Uncertainty Quantification
- A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data
- Adaptive anisotropic spectral stochastic methods for uncertain scalar conservation laws
- Title not available (Why is that?)
- On Latin hypercube sampling
- A stochastic projection method for fluid flow. II: Random process
- Approximate Integration of Stochastic Differential Equations
- The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
- Uncertainty propagation using Wiener-Haar expansions
- Sparse Quadrature as an Alternative to Monte Carlo for Stochastic Finite Element Techniques
- Adaptive Smolyak Pseudospectral Approximations
- Sparse pseudospectral approximation method
- Uncertainty Quantification in CFD Simulations: A Stochastic Spectral Approach
- A computable evolution equation for the joint response-excitation probability density function of stochastic dynamical systems
- Multi-resolution analysis of Wiener-type uncertainty propagation schemes
- Runge-Kutta methods for numerical solution of stochastic differential equations
- Lectures on Monte Carlo methods
- Monte Carlo algorithms for evaluating Sobol' sensitivity indices
- Uncertainty quantification in MD simulations. I: Forward propagation
- Uncertainty quantification in MD simulations. II: Bayesian inference of force-field parameters
- Stochastic differential equations applied to the study of geophysical and financial time series
- Wong-Zakai approximations for stochastic differential equations
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
This page was built for publication: Nonintrusive polynomial chaos expansions for sensitivity analysis in stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5269869)
