Comparison of uncertainty quantification methods for mathematical problems in intermediate dimensions

Summary

The efficiency of multidimensional quadrature methods is compared for seven test functions in intermediate dimensions. Following this goal, the numerical evaluations of the mean and variance of the test functions, for two probability density functions, are assessed with respect to (wrt) their known exact values. The retained dimensions (3 to 6) correspond to the number of operational and geometrical uncertain parameters we plan to consider in a near future for realistic sensitivity analysis or robust designs. Most of the numerical quadrature methods rely on a generalized Polynomial Chaos (gPC) defined either by quadrature or by collocation. Two of the gPC collocation techniques, Basis Poursuit Denoise (BPdn) and Least Angle Regression (LAR), search for a sparse gPC while satisfying the collocation equations. Finally, the efficiency of the quadrature methods is discussed in relation with the regularity, the input dimension and the ANOVA decomposition of the test functions.

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