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The algebraic method in quadrature for uncertainty quantification

Ko, Jordan and Wynn, Henry P. (2016) The algebraic method in quadrature for uncertainty quantification. SIAM/ASA Journal on Uncertainty Quantification, 4 (1). pp. 331-357.

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Identification Number: 10.1137/140978612

Abstract

A general method of quadrature for uncertainty quantification (UQ) is introduced based on the algebraic method in experimental design. This is a method based on the theory of zero-dimensional algebraic varieties. It allows quadrature of polynomials or polynomial approximands for quite general sets of quadrature points, here called “designs.” The method goes some way to explaining when quadrature weights are nonnegative and gives exact quadrature for monomials in the quotient ring defined by the algebraic method. The relationship to the classical methods based on zeros of orthogonal polynomials is discussed, and numerical comparisons are made with methods such as Gaussian quadrature and Smolyak grids. Application to UQ is examined in the context of polynomial chaos expansion and the probabilistic collocation method, where solution statistics are estimated.

Item Type: Article
Official URL: http://epubs.siam.org/loi/sjuqa3
Additional Information: © 2016 Society for Industrial and Applied Mathematics and American Statistical Association
Subjects: Q Science > QA Mathematics
Sets: Research centres and groups > Centre for the Analysis of Time Series (CATS)
Research centres and groups > Decision Support and Risk Group (DSRG)
Date Deposited: 16 May 2016 11:46
Last Modified: 19 Sep 2017 09:51
URI: http://eprints.lse.ac.uk/id/eprint/66521

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