Physical systems with random uncertainties: Chaos representations with arbitrary probability measure

Christian Soize (1) , R. Ghanem (2)

1 LaM - Laboratoire de Mécanique
2 JHU - Johns Hopkins University

The basic random variables on which random uncertainties can in a given model depend can be viewed as de. ning a measure space with respect to which the solution to the mathematical problem can be defined. This measure space is defined on a product measure associated with the collection of basic random variables. This paper clarifies the mathematical structure of this space and its relationship to the underlying spaces associated with each of the random variables. Cases of both dependent and independent basic random variables are addressed. Bases on the product space are developed that can be viewed as generalizations of the standard polynomial chaos approximation. Moreover, two numerical constructions of approximations in this space are presented along with the associated convergence analysis.

Mots clés: random vector; random fields; arbitrary probability measure; uncertainty quantification; polynomial haos

Domaines: Mécanique [physics.med-ph]; Probabilités [math.PR]; Statistiques [math.ST]

Christian Soize, R. Ghanem. Physical systems with random uncertainties: Chaos representations with arbitrary probability measure. SIAM Journal on Scientific Computing, 2004, 26 (2), pp.395-410. ⟨10.1137/S1064827503424505⟩. ⟨hal-00686211⟩