Comparison of numerical methods in uncertainty quantification
This paper presents and compares the results obtained using several methods for Stochastic Computations, used in Uncertainty Quantification. We practically present the methods using a simple ODE model. The focus is on both intrusive and non-intrusive methods, namely the Monte Carlo method, along with methods based on generalized polynomial $chaos(gPC)$ methodology. Moreover, we asses the obtained results by comparing them with the analytical solution of the system.
Full Text: PDF