Skip to Main content Skip to Navigation
Journal articles

Polynomial chaos expansion of a multimodal random vector

Abstract : A methodology and algorithms are proposed for constructing the polynomial chaos expansion (PCE) of multimodal random vectors. An algorithm is developed for generating independent realizations of any multimodal multivariate probability measure that is constructed from a set of independent realizations using the Gaussian kernel-density estimation method. The PCE is then performed with respect to this multimodal probability measure, for which the realizations of the polynomial chaos are computed with an adapted algorithm. Finally, a numerical application is presented for analyzing the convergence properties.
Complete list of metadata

Cited literature [47 references]  Display  Hide  Download
Contributor : Christian Soize Connect in order to contact the contributor
Submitted on : Tuesday, January 20, 2015 - 1:01:38 PM
Last modification on : Saturday, January 15, 2022 - 4:11:20 AM
Long-term archiving on: : Tuesday, April 21, 2015 - 10:48:54 AM


Files produced by the author(s)




Christian Soize. Polynomial chaos expansion of a multimodal random vector. SIAM/ASA Journal on Uncertainty Quantification, ASA, American Statistical Association, 2015, 3 (1), pp.34 - 60. ⟨10.1137/140968495⟩. ⟨hal-01105959⟩



Record views


Files downloads