Error Analysis of the Wiener-Askey Polynomial Chaoswith Hyperbolic Cross Approximation and Its Applicationto Differential Equations with Random Inputs

Xue Luo Beihang University

Numerical Analysis and Scientific Computing mathscidoc:1804.25033

J.Comput.Appl. Math., 335, 242-269, 2018
It is well-known that sparse grid algorithm has been widely accepted as an efficient tool to overcome the “curse of dimensionality" in some degree. In this note, we give the error estimate of hyperbolic cross (HC) approximations with all sorts of Askey polynomials. These polynomials are useful in generalized polynomial chaos (gPC) in the field of uncertainty quantification. The exponential convergences in both regular and optimized HC approximations have been shown under the condition that the random variable depends on the random inputs smoothly in some degree. Moreover, we apply gPC to numerically solve the ordinary differential equations with slightly higher dimensional random inputs. Both regular and optimized HC have been investigated with Laguerre-chaos, Charlier-chaos and Hermite-chaos in the numerical experiment. The discussion of the connection between the standard ANOVA approximation and Galerkin approximation is in the appendix.
generalized polynomial chaos, hyperbolic cross approximation, differential equations with random inputs, spectral method
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@inproceedings{xue2018error,
  title={Error Analysis of the Wiener-Askey Polynomial Chaoswith Hyperbolic Cross Approximation and Its Applicationto Differential Equations with Random Inputs},
  author={Xue Luo},
  url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20180416123912730667068},
  booktitle={J.Comput.Appl. Math.},
  volume={335},
  pages={242-269},
  year={2018},
}
Xue Luo. Error Analysis of the Wiener-Askey Polynomial Chaoswith Hyperbolic Cross Approximation and Its Applicationto Differential Equations with Random Inputs. 2018. Vol. 335. In J.Comput.Appl. Math.. pp.242-269. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20180416123912730667068.
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