Sparse pseudospectral approximation method

@inproceedings{Constantine2012SparsePA,
  title={Sparse pseudospectral approximation method},
  author={Paul G. Constantine and Michael S. Eldred and Eric T. Phipps},
  year={2012}
}
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… CONTINUE READING

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