In recent years, extensive research has been reported about a method which is called the generalized polynomial chaos expansion. In contrast to the sampling methods, e.g., Monte Carlo simulations, polynomial chaos expansion is a nonsampling method which represents the uncertain quantities as an expansion including the decomposition of deterministic coefficients and random orthogonal bases. The generalized polynomial chaos expansion uses more orthogonal polynomials as the expansion bases in various random spaces which are not necessarily Gaussian. A general review of uncertainty quantification methods, the theory, the construction method, and various convergence criteria of the polynomial chaos expansion are presented. We apply it to identify the uncertain parameters with predefined probability density functions. The new concepts of optimal and nonoptimal expansions are defined and it demonstrated how we can develop these expansions for random variables belonging to the various random spaces. The calculation of the polynomial coefficients for uncertain parameters by using various procedures, e.g., Galerkin projection, collocation method, and moment method is presented. A comprehensive error and accuracy analysis of the polynomial chaos method is discussed for various random variables and random processes and results are compared with the exact solution or/and Monte Carlo simulations. The method is employed for the basic stochastic differential equation and, as practical application, to solve the stochastic modal analysis of the microsensor quartz fork. We emphasize the accuracy in results and time efficiency of this nonsampling procedure for uncertainty quantification of stochastic systems in comparison with sampling techniques, e.g., Monte Carlo simulation.
Uncertainty quantification under dependent random variables by a generalized polynomial dimensional decomposition
