A method for solving stochastic eigenvalue problems

DOI10.1016/j.amc.2009.11.039zbMath1184.65017OpenAlexW2071955813MaRDI QIDQ2266970

M. M. R. Williams

Publication date: 26 February 2010

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2009.11.039

zbMATH Keywords

numerical examplesrandom matricesinitial value problempolynomial chaos expansionKarhunen-Loeve expansionstochastic eigenvalues

Mathematics Subject Classification ID

Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random matrices (algebraic aspects) (15B52) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Eigenvalue problems for integral equations (45C05) Stochastic integral equations (60H20) Numerical solution of eigenvalue problems involving ordinary differential equations (65L15)

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Cites Work

• The stochastic finite element method: past, present and future
• Comparative study of projection schemes for stochastic finite element analysis
• Efficient characterization of the random eigenvalue problem in a polynomial chaos decomposition
• Stochastic convergence acceleration through basis enrichment of polynomial chaos expansions
• Boundary-value problems in the kinetic theory of gases. Part 2. Thermal creep
• A stochastic projection method for fluid flow. I: Basic formulation
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