Professor:

Prof. Dr. Vincent Heuveline

Schedule: Tuesday and Thursday 16:00-18:00 

Location: Mathematikon, INF 205, SR C

SWS: Lecture 4 SWS, Exercises 2 SWS

CP: 8

Language: German

Topics:

Knowledge in mathematical modelling in numerical quantification of parametric uncertainty propagation for differential equations:

  1. Fundamentals in probability theory
  2. Karhunen-Löve decomposition
  3. Generalized polynomial chaos expension
  4. Monte-Carlo and Quasi-Monte-Carlo methods
  5. Stochastic collocation method
  6. Stochastic Galerkin method
  7. Inverse uncertainty Quantification

Recommended literature:

  • O.P. Le Maitre an Knio: Spectral methods for uncertainty quantification: with applications to fluid flow, Springer, 2010
  • R. Ghanem and P. Spanos: Stochastic Finite-Elements: A spectral approach, Dover, 2013
  • T. J. Sullivan. Introduction to Uncertainty Quantification, Springer, New York, 2015.

Exam: 

TBA