A dynamically adaptive wavelet approach to stochastic computations based on polynomial chaos -- capturing all scales of random modes on independent grids

DOI10.1016/J.JCP.2011.05.038MaRDI QIDQ655055zbMATH OpenOpenAlexFDO

Authors Xiaoan Ren, Wenquan Wu, Leonidas S. Xanthis

Publication date 28 December 2011

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jcp.2011.05.038

zbMATH Keywords

numerical examplesuncertainty quantificationspectral methodspolynomial chaos expansionsteep gradients in stochastic problemsstochastic convection-diffusionstochastic space-refinementstochastic wavelet multiscale solver

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical methods for wavelets (65T60) PDEs with randomness, stochastic partial differential equations (35R60) 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)

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Cited in

(13)

• Cost reduction of stochastic Galerkin method by adaptive identification of significant polynomial chaos bases for elliptic equations
• Multivariate polynomial chaos expansions with dependent variables
• Extreme value oriented random field discretization based on an hybrid polynomial chaos expansion -- Kriging approach
• An adaptive wavelet optimized finite difference B-spline polynomial chaos method for random partial differential equations
• An adaptive stochastic investigation of partial differential equations using wavelet collocation generalized polynomial chaos method
• Multiresolution analysis for stochastic finite element problems with wavelet-based Karhunen-Loève expansion
• Mesh refinement for uncertainty quantification through model reduction
• Multiscale stochastic preconditioners in non-intrusive spectral projection
• Polynomial chaos level points method for one-dimensional uncertain steep problems
• Multi-resolution analysis of Wiener-type uncertainty propagation schemes
• On closure schemes for polynomial chaos expansions of stochastic differential equations
• Description of random level sets by polynomial chaos expansions
• Efficient uncertainty quantification of a fully nonlinear and dispersive water wave model with random inputs

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