Module Handbook

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Course MAT-81-38-K-7

Uncertainty Quantification (2V, 4.5 LP)

Course Type

SWS Type Course Form CP (Effort) Presence-Time / Self-Study
2 V Lecture 4.5 CP 28 h 107 h
(2V) 4.5 CP 28 h 107 h

Basedata

SWS 2V
CP, Effort 4.5 CP = 135 h
Position of the semester 1 Sem. irreg.
Level [7] Master (Advanced)
Language [EN] English
Lecturers
Klar, Axel, Prof. Dr. (PROF | DEPT: MAT)
+ further Lecturers of the department Mathematics
Area of study [MAT-TEMA] Industrial Mathematics
Additional informations
Livecycle-State [NORM] Active

Contents

  • introduction: prototypical models,
  • basic concepts from probability and approximation theory: random vectors, orthogonal polynomials,
  • representation of random inputs: independent and correlated random inputs, Karhunen-Loève expansion,
  • propagation of random inputs: (Multilevel) Monte-Carlo methods, stochastic Galerkin methods, stochastic collocation.

Literature

  • R.C. Smith: Uncertainty Quantification,
  • R. Abgrall, S. Mishra: Uncertainty Quantification for Hyperbolic Conservation Laws.

Materials

Further literature will be announced in the lecture.

Requirements for attendance (informal)

Modules:

Courses

Requirements for attendance (formal)

None

References to Course [MAT-81-38-K-7]

Module Name Context
[MAT-81-38-M-7] Uncertainty Quantification P: Obligatory 2V, 4.5 LP