NARC  Autumn Quarter 2011
Uncertainty Quantification
Main NARC pageWe will meet Thursdays 1:30  2:20pm in GUG 415L.
Tentative schedule and slides from talks:
 29 September 2011: Introduction by Randy LeVeque [uq1.pdf]
 6 October 2011: Guang Lin, Uncertainty Quantification and Its Application in Energy and Environmental related complex systems [uq2.pdf]
 13 October 2011: Andrea HawkinsDaarud and Alex Konomi, Introduction to Bayesian statistics
 20 October 2011: MonteCarlo methods and HastingsMetropolis algorithm
 The Bayesian Choice, Chapter 1 link

Introduction to Bayesian Scientific Computing Ten Lectures on
Subjective Computing, (Free online)
Calvetti, Daniela, Somersalo, E.
link
 Jeff Hart's Bayesian Statistics course at Texas A&M Notes See in particular sections 1, 4, 5, 6, 10, 17 of these notes.

International Journal for Uncertainty Quantification
 Tutorials
from a workshop at the Stanford Center for Integrated Turbulence
Simulations.
 An Introduction to Stochastic Differential Equations Version 1.2,
by L.C. Evans, UC Berkeley class notes
[pdf file]
Lecture notes from L.C. Evan's webpage.

Review Article: Fast Numerical Methods for Stochastic Computations,
by Dongbin Xiu, Communications in computational physics, vol 5, No 24, pp242272.
[pdf file]
 Uncertainty quantification via random domain decomposition and probabilistic collocation on sparse grids,
by G Lin and A Tartakovsky, J. Comput. Phys. 229 (2010) 69957012.
DOI: 10.1016/j.jcp.2010.05.036
 Quantification of uncertainty in computational fluid dynamics,
by P. J. Roache,
Annual Review of Fluid Mechanics
29 (1997) pp. 123160.
DOI: 10.1146/annurev.fluid.29.1.123
 Highorder collocation methods for differential equations with random inputs
by D. Xiu and J. Hesthaven, SIAM J. Sci. Comput. 27 (2005), pp. 11181139.
link
 Modeling uncertainty in flow simulations via generalized polynomial chaos,
by D. Xiu and G. E. Karniadakis, J. Comput. Phys 187 (2003), pp. 137167.
link

Numerical Methods for Stochastic Computations: A Spectral Method Approach,
Dongbin Xiu
link

Monte Carlo Strategies in Scientific Computing
Liu, Jun S.
link

Computational Statistics
Geof H. Givens and Jennifer A. Hoeting
link

Introducing Monte Carlo Methods with R (Free online)
Christian Robert and George Casella
link

R.G. Ghanem and P.D. Spanos. Stochastic Finite Elements: A Spectral Approach.
SpringerVerlag, 1991.
link

Marzouk, Y.M., Xiu, D.B. A stochastic collocation approach to
Bayesian inference in inverse problems. Communications in
Computational Physics 6: 826847 (2009).
link
 Sandia Labs
 Dakota software