A dynamically adaptive wavelet approach to stochastic computations based on polynomial chaos -- capturing all scales of random modes on independent grids
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numerical examplespolynomial chaos expansionspectral methodssteep gradients in stochastic problemsstochastic convection-diffusionstochastic space-refinementstochastic wavelet multiscale solveruncertainty quantification
PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Numerical methods for wavelets (65T60)
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Cites work
- `Les fleurs du mal' - an adaptive wavelet method of arbitrary lines I: Convection-diffusion problems
- `Les fleurs du mal'. II: A dynamically adaptive wavelet method of arbitrary lines for nonlinear evolutionary problems-capturing steep moving fronts
- A dynamically adaptive multilevel wavelet collocation method for solving partial differential equations in a finite domain
- A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data
- A stochastic projection method for fluid flow. I: Basic formulation
- A wavelet collocation method for the numerical solution of partial differential equations
- Adaptive Generalized Polynomial Chaos for Nonlinear Random Oscillators
- Adaptive wavelet methods for elliptic operator equations: Convergence rates
- An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations
- An adaptive high-dimensional stochastic model representation technique for the solution of stochastic partial differential equations
- An adaptive multi-element generalized polynomial chaos method for stochastic differential equations
- Convergence rates for sparse chaos approximations of elliptic problems with stochastic coefficients
- Efficient collocational approach for parametric uncertainty analysis
- Fast numerical methods for stochastic computations: a review
- Fully nonlinear stochastic partial differential equations
- High-Order Collocation Methods for Differential Equations with Random Inputs
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- Introduction
- Multi-element probabilistic collocation method in high dimensions
- Multi-resolution analysis of Wiener-type uncertainty propagation schemes
- Multiresolution representations using the autocorrelation functions of compactly supported wavelets
- Orthonormal bases of compactly supported wavelets
- Probabilistic characterization of transport in heterogeneous media
- Sparse grid collocation schemes for stochastic natural convection problems
- Spectral Methods for Uncertainty Quantification
- The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
- Uncertainty propagation using Wiener-Haar expansions
- Wavelet methods for PDEs -- some recent developments
- Wavelets in numerical simulation. Problem adapted construction and applications
- Wiener chaos expansions and numerical solutions of randomly forced equations of fluid mechanics
Cited in
(13)- Multiresolution analysis for stochastic finite element problems with wavelet-based Karhunen-Loève expansion
- Cost reduction of stochastic Galerkin method by adaptive identification of significant polynomial chaos bases for elliptic equations
- An adaptive wavelet optimized finite difference B-spline polynomial chaos method for random partial differential equations
- Polynomial chaos level points method for one-dimensional uncertain steep problems
- Extreme value oriented random field discretization based on an hybrid polynomial chaos expansion -- Kriging approach
- An adaptive stochastic investigation of partial differential equations using wavelet collocation generalized polynomial chaos method
- On closure schemes for polynomial chaos expansions of stochastic differential equations
- Mesh refinement for uncertainty quantification through model reduction
- Multiscale stochastic preconditioners in non-intrusive spectral projection
- Multivariate polynomial chaos expansions with dependent variables
- Efficient uncertainty quantification of a fully nonlinear and dispersive water wave model with random inputs
- Multi-resolution analysis of Wiener-type uncertainty propagation schemes
- Description of random level sets by polynomial chaos expansions
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