Uncertainty Quantification

Vertr.-Prof. Dr. J. Giesselmann
Jonas Buenger, M.Sc.
Neeraj Sarna, M.Sc.
Nikolas Siccha, M.Sc.
Hrishikesh Joshi, M.Sc.

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

• Wednesday, 8:30 - 10:00 in 1090|328
• Wednesday, 14:00 - 15:30 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.

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

• 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.