Generating Nested Quadrature Rules with Positive Weights based on Arbitrary Sample Sets

@article{Bos2020GeneratingNQ,
  title={Generating Nested Quadrature Rules with Positive Weights based on Arbitrary Sample Sets},
  author={L. M. M. van den Bos and Benjamin Sanderse and W. A. A. M. Bierbooms and G. J. W. van Bussel},
  journal={SIAM/ASA J. Uncertain. Quantification},
  year={2020},
  volume={8},
  pages={139-169}
}
  • L. M. M. van den Bos, Benjamin Sanderse, +1 author G. J. W. van Bussel
  • Published 2020
  • Mathematics, Computer Science
  • SIAM/ASA J. Uncertain. Quantification
  • For the purpose of uncertainty propagation a new quadrature rule technique is proposed that has positive weights, has high degree, and is constructed using only samples that describe the probability distribution of the uncertain parameters. Moreover, nodes can be added to the quadrature rule, resulting into a sequence of nested rules. The rule is constructed by iterating over the samples of the distribution and exploiting the null space of the Vandermonde-system that describes the nodes and… CONTINUE READING

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