Polynomial chaos expansion for uncertainty analysis and global sensitivity analysis

Abstract

Abstract Uncertainty analysis has received increasing attention across all kinds of scientific and engineering fields recently. Uncertainty analysis is often conducted by Monte Carlo simulation (MCS), while with low convergence rate. In this paper, numerical test examples as benchmarks and engineering problems in practice are studied by polynomial chaos expansion (PCE) and compared with the solutions got by MCS. Results show that PCE approach establishes accurate surrogate model for complicated original model with efficiency to conduct uncertainty analysis and global sensitivity analysis. What’s more, sparse PCE is able to tackle problem of high dimension with efficiency. Hence PCE approach can be applied in uncertainty analysis and global sensitivity analysis of engineering problems with efficiency and effectiveness.