Numerical Methods for Uncertainty Quantification

Course Information

September 14, 2011 - December 7, 2011

Principal Instructors: Various

Course Day and Time: Course will be held at SAMSI (driving directions) in RTP on Wednesdays, 4:30-7:00 p.m. in Room 150.

Schedule: First class Wednesday, September 14, 2011 ; last class Wednesday, December 7, 2011.

No class on September 21 because of workshops this week.

This course focuses on numerical methods for stochastic computation and uncertainty quantification (UQ). It is a two-semester course, where the first semester focuses on fundamental materials for UQ computing and the second semester on more advanced research materials.

The main topics covered in the first semester include

  • basic probability theory
  • basic approximation theory
  • basic numerical methods and error estimation
  • formulation of stochastic system
  • sensitivity analysis
  • generalized polynomial chaos
  • stochastic Galerkin and collocation method.

Prerequisites:
Numerical linear algebra, numerical methods for ordinary and partial differential equations;
programming skill in one language, e.g., C/C++, FORTRAN, or Matlab.

The course is open to all levels of graduate students in Mathematics, Statistics, as well as to those in other departments of sciences and engineering. Senior level undergraduate students with outstanding background are also considered.

Registration for this course is being processed through your university.
Duke: STA 294-02
NCSU: NCSU MA/ST 810.003
UNC: STOR 891-001

Questions about the course or the UQ program should be emailed to [email protected].