Course Contents
Monte Carlo finite elements, multi level Monte Carlo finite elements, Karhunen Loeve expansion of random fields, stochastic Galerkin methods: formulation, implementation, solution and error estimation, stochastic collocation
Literature
G. J. Lord, C. E. Powell, and T. Shardlow. An Introduction to Computational Stochastic PDEs. Cambridge University Press, 2014.
R. C. Smith. Uncertainty Quantification: Theory, Implementation, and Applications. SIAM Computational Science and Engineering, 2014.
D. Xiu. Numerical Methods for Stochastic Computations: A Spectral Method Approach. Princeton University Press, 2010.
Preconditions
recommended: Introduction to Numerical Analysis, Introduction to Stochastics
ideally: Numerical Analysis of Partial Differential Equations
Online Offerings
Moodle
Monte Carlo finite elements, multi level Monte Carlo finite elements, Karhunen Loeve expansion of random fields, stochastic Galerkin methods: formulation, implementation, solution and error estimation, stochastic collocation
Literature
G. J. Lord, C. E. Powell, and T. Shardlow. An Introduction to Computational Stochastic PDEs. Cambridge University Press, 2014.
R. C. Smith. Uncertainty Quantification: Theory, Implementation, and Applications. SIAM Computational Science and Engineering, 2014.
D. Xiu. Numerical Methods for Stochastic Computations: A Spectral Method Approach. Princeton University Press, 2010.
Preconditions
recommended: Introduction to Numerical Analysis, Introduction to Stochastics
ideally: Numerical Analysis of Partial Differential Equations
Online Offerings
Moodle
- Lehrende: Jens Lang
- Lehrende: Hendrik Wilka
Semester: ST 2023