Extended Polynomial Dimensional Decomposition for Arbitrary Probability Distributions

  title={Extended Polynomial Dimensional Decomposition for Arbitrary Probability Distributions},
  author={Sharif Rahman},
This paper presents an extended polynomial dimensional decomposition method for solving stochastic problems subject to independent random input following an arbitrary probability distribution. The method involves Fourier-polynomial expansions of component functions by orthogonal polynomial bases, the Stieltjes procedure for generating the recursion coefficients of orthogonal polynomials and the Gauss quadrature rule for a specified probability measure, and dimension-reduction integration for… CONTINUE READING
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