Stochastic Collocation for Correlated Inputs

@inproceedings{Navarro2015StochasticCF,
  title={Stochastic Collocation for Correlated Inputs},
  author={Mar{\'i}a Navarro and Jeroen A. S. Witteveen and Joke G. Blom},
  year={2015}
}
Abstract. Stochastic Collocation (SC) has been studied and used in different disciplines for Uncertainty Quantification (UQ). The method consists of computing a set of appropriate points, called collocation points, and then using Lagrange interpolation to construct the probability density function (pdf) of the quantity of interest (QoI). The collocation points are usually chosen as Gauss quadrature points, i.e., the roots of orthogonal polynomials with respect to the pdf of the uncertain inputs… CONTINUE READING

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