Mathematica package for generalized polynomial chaos
The PolynomialChaos
Mathematica package provides various routines to work with generalized polynomial chaos (gPC).
For example, it defines the function Collocation
, which can be used to estimate efficiently the expectation, variance, and other statistical properties of a given model f[z]
when z
is a random variable with a prescribed probability distribution.
A general introduction into the gPC framework is given by Xiu, Numerical methods for stochastic computations: a spectral method approach, 2010.