A weighted ?1 ? 1 -minimization approach for sparse polynomial chaos expansions
This work proposes a method for sparse polynomial chaos (PC) approximation of high-dimensional stochastic functions based on non-adapted random sampling. We modify the standard ?1 ? 1 -minimization algorithm, originally proposed in the context of compressive sampling, using a priori information about the decay of the PC coefficients, when available, and refer to the resulting algorithm as weighted ?1 ? 1 -minimization. We provide conditions under which we may guarantee recovery using this weighted scheme. Numerical tests are used to compare the weighted and non-weighted methods for the recovery of solutions to two differential equations with high-dimensional random inputs: a boundary value problem with a random elliptic operator and a 2-D thermally driven cavity flow with random boundary condition.
polynomial chaos compressive sampling sparse approximation basis pursuit denoising (bpdn) weighted ?1 ? 1 -minimization ?1 ? 1 ?1 ? 1 ? 1 uncertainty quantification stochastic pdes