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