Identification of Polynomial Chaos Representations in High Dimension from a Set of Realizations

@article{Perrin2012IdentificationOP,
  title={Identification of Polynomial Chaos Representations in High Dimension from a Set of Realizations},
  author={Guillaume Perrin and Christian Soize and D. Duhamel and C. Funfschilling},
  journal={SIAM J. Scientific Computing},
  year={2012},
  volume={34}
}
This paper deals with the identification in high dimensions of a polynomial chaos expansion of random vectors from a set of realizations. Due to numerical and memory constraints, the usual polynomial chaos identification methods are based on a series of truncations that induce a numerical bias. This bias becomes very detrimental to the convergence analysis of polynomial chaos identification in high dimensions. This paper therefore proposes a new formulation of the usual polynomial chaos… CONTINUE READING
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