Sparse pseudospectral approximation method
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Publication:695891
DOI10.1016/J.CMA.2012.03.019zbMATH Open1253.65117arXiv1109.2936OpenAlexW2168170318MaRDI QIDQ695891FDOQ695891
Michael S. Eldred, Eric T. Phipps, P. Constantine
Publication date: 17 December 2012
Published in: Computer Methods in Applied Mechanics and Engineering (Search for Journal in Brave)
Abstract: Multivariate global polynomial approximations - such as polynomial chaos or stochastic collocation methods - are now in widespread use for sensitivity analysis and uncertainty quantification. The pseudospectral variety of these methods uses a numerical integration rule to approximate the Fourier-type coefficients of a truncated expansion in orthogonal polynomials. For problems in more than two or three dimensions, a sparse grid numerical integration rule offers accuracy with a smaller node set compared to tensor product approximation. However, when using a sparse rule to approximately integrate these coefficients, one often finds unacceptable errors in the coefficients associated with higher degree polynomials. By reexamining Smolyak's algorithm and exploiting the connections between interpolation and projection in tensor product spaces, we construct a sparse pseudospectral approximation method that accurately reproduces the coefficients of basis functions that naturally correspond to the sparse grid integration rule. The compelling numerical results show that this is the proper way to use sparse grid integration rules for pseudospectral approximation.
Full work available at URL: https://arxiv.org/abs/1109.2936
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uncertainty quantificationpseudospectral methodssparse gridspolynomial chaosstochastic collocationnon-intrusive spectral projection
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