Uncertainty Quantification

Aims & Contents

This class intends to give an introduction into the field of uncertainty quantification (UQ). A good definition can be found here. This course focuses on methods for uncertainty analysis and propagation, and among these on spectral methods. We also discuss collocation and Monte-Carlo methods. The aim is to provide students with a broad array of techniques which they can apply directly.
Some aspects covered are:

  • Uncertainties versus sensitivities, intrusive versus non-intrusive methods
  • Sensitivity analysis
  • Spectral expansions (Karhunen-Loève, polynomial chaos)
  • Stochastic Galerkin method
  • Stochastic collocation method
  • Connections to kinetic theory
Dates
  • Monday, 10:00 - 11:30 in 1090|328
  • Friday, 10:00 - 11:30 in 1090|328

The class is held in the format of a lecture and exercise (V2+U1). The detailed schedule can be found in L2P.

Information

The lecture is in English.
Course materials and further information will be found in L2P.

Literature
  • O.P. Le Maître, O.M. Knio: Spectral Methods for Uncertainty Quantification, Springer-Verlag, 2010.
  • D. Xiu: Numerical Methods for Stochastic Computations, Princeton University Press, 2010.
Last modified: 2017/08/29 12:15