Third M.I.T. Conference on Computational Fluid and Solid Mechanics June 14–17, 2005  

Numerical Karhunen-Loève expansion of a covariance function on a multidimensional domain via the finite elements method

S. Receka,b,*, M. Lemaireb, A. Millarda
aCommissariat à l'Energie Atomique, Gif-sur-Yvette, 91191, France bLaMI - UBP & IFMA, EA 3867 / FR CNRS 2856, Aubière, 63175, France

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This paper presents the implementation of a numerical Karhunen-Loève expansion method in a finite elements code. The procedure allows the discretization of a stochastic field in the form of a truncated series expansion including deterministic functions and random variables.

Keywords:  Stochastic finite elements; Stochastic fields; Stochastic processes; Spectral expansion; Karhunen-Loève expansion; Covariance

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