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Numerical Methods for Stochastic Computations
Author: Dongbin Xiu

ISBN: 9780691142128
Format: Hardcover
Number Of Pages: 144
Published: 20 July 2010
Country of Publication: US
Dimensions (cm): 22.9 x 15.2 x 1.5
Description:


The first graduate-level textbook to focus on fundamental aspects of numerical methods for stochastic computations, this book describes the class of numerical methods based on generalized polynomial chaos (gPC). These fast, efficient, and accurate methods are an extension of the classical spectral methods of high-dimensional random spaces. Designed to simulate complex systems subject to random inputs, these methods are widely used in many areas of computer science and engineering.

The book introduces polynomial approximation theory and probability theory; describes the basic theory of gPC methods through numerical examples and rigorous development; details the procedure for converting stochastic equations into deterministic ones; using both the Galerkin and collocation approaches; and discusses the distinct differences and challenges arising from high-dimensional problems. The last section is devoted to the application of gPC methods to critical areas such as inverse problems and data assimilation.

Ideal for use by graduate students and researchers both in the classroom and for self-study, "Numerical Methods for Stochasti...

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