SC²S Colloquium - June 10, 2011

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Date: June 10, 2011
Room: 02.07.023
Time: 10:00 am, s.t.


John Jakeman: Uncertainty Quantification Using Sparse Grids

Mathematical models of physical systems are subject to a wide range of uncertainties. The e�ects of such uncertainty should be traced through the system thoroughly enough to allow one to evaluate their e�ects on the intended use of the model. Uncertainties occur in all stages of the modelling process and assume many forms. In this talk I will present sparse grid based methods for quantifying input uncertainty driven by stochastic processes and/or arising from unknown model parameters. Speci�cally I will discuss the role of sparse grids for statistical moment estimation, sensitivity analysis, reliability based design and Bayesian inference.

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