Stochastic Collocation Methods via Minimisation of the Transformed L<sub>1</sub>-Penalty

Stochastic Collocation Methods via Minimisation of the Transformed L<sub>1</sub>-Penalty

Year:    2018

East Asian Journal on Applied Mathematics, Vol. 8 (2018), Iss. 3 : pp. 566–585

Abstract

The sparse reconstruction of functions via a transformed $ℓ_1$ (TL1) minimisation is studied and theoretical results concerning recoverability and accuracy of such reconstruction from undersampled measurements are obtained. To identify the coefficients of sparse orthogonal polynomial expansions in uncertainty quantification, the method is combined with the stochastic collocation approach. The DCA-TL1 algorithm [37] is used in implementing the TL1 minimisation. Various numerical examples demonstrate the recoverability and efficiency of this method.

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Journal Article Details

Publisher Name:    Global Science Press

Language:    English

DOI:    https://doi.org/10.4208/eajam.060518.130618

East Asian Journal on Applied Mathematics, Vol. 8 (2018), Iss. 3 : pp. 566–585

Published online:    2018-01

AMS Subject Headings:   

Copyright:    COPYRIGHT: © Global Science Press

Pages:    20

Keywords:    Uncertainty quantification stochastic collocation DCA-TL1 minimisation compressive sensing restricted isometry property.

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