Smolyak approximation

SIAM Review - A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data

1 min read · Thu, May 6 2010

uncertainty quantification Smolyak approximation

This work proposes and analyzes a stochastic collocation method for solving elliptic partial differential equations with random coefficients and forcing terms. These input data are assumed to depend on a finite number of random variables.