A weighted empirical interpolation method: a priori convergence analysis and applications

We extend the classical empirical interpolation method to a weighted empirical interpolation method in order to approximate nonlinear parametric functions with weighted parameters, e.g. random variables obeying various probability distributions. A priori convergence analysis is provided for the proposed method and the error bound by Kolmogorov N-width is improved from the recent work. We apply our method to geometric Brownian motion, exponential Karhunen-Loeve expansion and reduced basis approximation of non-ane stochastic elliptic equations. We demonstrate its improved accuracy and eciency over the empirical interpolation method, as well as sparse grid stochastic collocation method.


Published in:
Mathematical Modelling and Numerical Analysis
Year:
2014
Publisher:
Les Ulis Cedex A, EDP Sciences
ISSN:
0764-583X
Keywords:
Note:
MATHICSE report 05.2013
Laboratories:




 Record created 2014-02-24, last modified 2018-09-13

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