✦ LIBER ✦

Fast Solvers for the White Noise Analysis of Stochastic Systems

✍ Scribed by H.G. Matthies; A. Keese

Publisher: John Wiley and Sons
Year: 2002
Weight: 102 KB
Volume: 1
Category: Article
ISSN: 1617-7061
DOI: 10.1002/1617-7061(200203)1:1<456::aid-pamm456>3.0.co;2-w

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✦ Synopsis

We consider fast numerical methods for computing the response of stochastic systems. The stochastic discretization is performed via a Karhunen-Loéve and Wiener's polynomial chaos expansion. In truncating this expansion and using a Galerkin projection, a finite dimensional system of equations remains to be solved. The solution is done using multi-level ideas, exploiting the hierarchical structure in the polynomial chaos expansion.