Journal
JOURNAL OF COMPUTATIONAL SCIENCE
Volume 11, Issue -, Pages 46-57Publisher
ELSEVIER
DOI: 10.1016/j.jocs.2015.08.008
Keywords
Uncertainty quantification; Polynomial chaos expansions; Monte Carlo simulation; Rosenblatt transformations; Python package
Funding
- Statoil ASA through the Simula School of Research and Innovation
- Center of Excellence grant from the Research Council of Norway, Center for Biomedical Computing
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The paper describes the philosophy, design, functionality, and usage of the Python software toolbox Chaospy for performing uncertainty quantification via polynomial chaos expansions and Monte Carlo simulation. The paper compares Chaospy to similar packages and demonstrates a stronger focus on defining reusable software building blocks that can easily be assembled to construct new, tailored algorithms for uncertainty quantification. For example, a Chaospy user can in a few lines of high-level computer code define custom distributions, polynomials, integration rules, sampling schemes, and statistical metrics for uncertainty analysis. In addition, the software introduces some novel methodological advances, like a framework for computing Rosenblatt transformations and a new approach for creating polynomial chaos expansions with dependent stochastic variables. (C) 2015 The Authors. Published by Elsevier B.V.
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