Numerical approach for quantification of epistemic uncertainty
confidence domaindamped linear oscillator equationencapsulation problemepistemic uncertaintyGalerkin approximationgeneralized polynomial chaoshomogeneous diffusion equationinitial-boundary value problemstochastic collocationuncertainty quantification
Heat equation (35K05) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
The authors consider solutions \(u\) of an initial-boundary value problem for a partial differential equation which depends on a set \(Z\) of some random variables (parameters). A methodology is proposed for the analysis of uncertainty in the values of \(u\) at a given space-time point. The case is considered when the distribution of \(Z\) is unknown. At first a confidence domain \(I_X\) for \(Z\) must be identified to which \(Z\) belongs wit high probability. Then an approximate solution \(u_n\) is calculated on a discrete grid on \(I_X\) and interpolated over all \(I_X\), and the obtained solution is analyzed. In fact the authors concentrate on the accuracy of the approximation and interpolation discussing different approaches (such as sparse grid interpolation and Galerkin approximation). A damped linear oscillator equation and a homogeneous diffusion equation are considered as examples.
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