Applied and Computational Mathematics Seminar
Monday, September 22, 2008 - 1:00pm
1 hour (actually 50 minutes)
There has been growing interest in developing numerical methods for stochastic computations. This is motivated by the need to conduct uncertainty quantification in simulations, where uncertainty is ubiquitous and exists in parameter values, initial and boundary conditions, geometry, etc. In order to obtain simulation results with high fidelity, it is imperative to conduct stochastic computations to incorporate uncertainty from the beginning of the simulations. In this talk we review and discuss a class of fast numerical algorithms based on generalized polynomial chaos (gPC) expansion.The methods are highly efficient, compared to other traditional In addition to the forward stochastic problem solvers, we also discuss gPC-based methods for addressing "modeling uncertainty", i.e., deficiency in mathematical models, and solving inverse problems such as parameter estimation. ones, and suitable for stochastic simulations of complex systems.