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: English

Moodle:here

Muesli:TBA

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: 

February 12th, 2018, in Mathematikon (INF 205), seminar rooms A and B