Uncertainty Quantification, Uppsala University
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Stochastic Collocation
¶
Week 7-8
¶
Read the following notes in order:
lecture note 1
lecture note 2
lecture note 3
Table Of Contents
Introductory Overview
Basics of Probability Theory
Karhunen-Loeve expansion
Stochastic Differential Equations
Monte Carlo Sampling
Multi-level Monte Carlo Sampling
Multi-order Monte Carlo Sampling
Stochastic Polynomial Approximation
Stochastic Collocation
Stochastic Galerkin
Bayesian Inversion
Markov Chain Monte Carlo
Gibbs Sampling
Matropolis-Hastings Sampling
Metropolis-within-Gibbs Sampling
References
Homework 1
Homework 2
Homework 3
Homework 4
Homework 5
Homework 6
Homework 7
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