Journal article
Multi-fidelity stochastic collocation method for computation of statistical moments
Journal of computational physics, Vol.341, pp.386-396
07/15/2017
DOI: 10.1016/j.jcp.2017.04.022
Abstract
We present an efficient numerical algorithm to approximate the statistical moments of stochastic problems, in the presence of models with different fidelities. The method extends the multi-fidelity approximation method developed in [18,26]. By combining the efficiency of low-fidelity models and the accuracy of high-fidelity models, our method exhibits fast convergence with a limited number of high-fidelity simulations. We establish an error bound of the method and present several numerical examples to demonstrate the efficiency and applicability of the multi-fidelity algorithm.
Details
- Title: Subtitle
- Multi-fidelity stochastic collocation method for computation of statistical moments
- Creators
- Xueyu Zhu - Department of Mathematics, University of Iowa, Iowa City, IA 52242, USAErin M Linebarger - Department of Mathematics, University of Utah, Salt Lake City, UT 84112, USADongbin Xiu - Department of Mathematics, The Ohio State University, Columbus, OH 43210, USA
- Resource Type
- Journal article
- Publication Details
- Journal of computational physics, Vol.341, pp.386-396
- Publisher
- Elsevier Inc
- DOI
- 10.1016/j.jcp.2017.04.022
- ISSN
- 0021-9991
- eISSN
- 1090-2716
- Grant note
- FA95501410022 / AFOSR (http://dx.doi.org/10.13039/100000181) DMS 1418771 / NSF (http://dx.doi.org/10.13039/100000001) N660011524053 / DARPA (http://dx.doi.org/10.13039/100000185)
- Language
- English
- Date published
- 07/15/2017
- Academic Unit
- Mathematics
- Record Identifier
- 9983985913202771
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