Uncertainty Quantification (Summer Semester 2021)
- Lecturer: PhD Jonas Kusch
- Classes: Lecture (0164400), Problem class (0164410)
- Weekly hours: 2+1
The lecture and tutorial will take place virtually on Microsoft Teams. You can find the Link to Teams via ILIAS, which you can access through the Campus system.
The lecture and tutorial will take place virtually on Microsoft Teams. You can find the Link to Teams via ILIAS, which you access through the Campus system.
|Problem class:||Thursday 15:45-17:15|
|Lecturer, Problem classes||PhD Jonas Kusch|
|Office hours: by appointment|
|Room 3.019 Kollegiengebäude Mathematik (20.30)|
There are known knowns; there are things we know we know. We also know there are known unknowns; that is to say we know there are some things we do not know. But there are also unknown unknowns – there are things we do not know we don't know." (Donald Rumsfeld)
In this class, we learn to deal with the "known unknowns", a field called Uncertainty Quantification (UQ). More specifically, we focus on methods to propagate uncertain input parameters through differential equation models. Given uncertain input, how uncertain is the output? The first part of the course ("how to do it") gives an overview on techniques that are used. Among these are: Sensitivity analysis, Monte-Carlo methods, Spectral expansions, Stochastic Galerkin method, Collocation methods and sparse grids. The second part of the course ("why to do it like this") deals with the theoretical foundations of these methods. The so-called "curse of dimensionality" leads us to questions from approximation theory. We look back at the very standard numerical algorithms of interpolation and quadrature, and ask how they perform in many dimensions.
- R.C. Smith: Uncertainty Quantification: Theory, Implementation, and Applications, SIAM, 2014.
- T.J. Sullivan: Introduction to Uncertainty Quantification, Springer-Verlag, 2015.
- D. Xiu: Numerical Methods for Stochastic Computations, Princeton University Press, 2010.
- O.P. Le Maître, O.M. Knio: Spectral Methods for Uncertainty Quantification, Springer-Verlag, 2010.
- R. Ghanem, D. Higdon, H. Owhadi:Handbook of Uncertainty Quantification, Springer-Verlag, 2017.