Wiener-Hermite Polynomial Expansion for Multivariate Gaussian Probability Measures

TL;DR

This paper develops a generalized polynomial chaos expansion using multivariate Hermite polynomials for dependent Gaussian variables, enabling accurate statistical analysis of complex systems with dependent uncertainties.

Contribution

It introduces a new generalized PCE framework for dependent Gaussian variables, including analytical formulas for mean and variance, and discusses convergence and optimality.

Findings

The generalized PCE converges to the true distribution with dependent Gaussian variables.

New formulas accurately compute mean and variance from expansion coefficients.

Numerical examples demonstrate effective approximation of statistical properties.

Abstract

This paper introduces a new generalized polynomial chaos expansion (PCE) comprising multivariate Hermite orthogonal polynomials in dependent Gaussian random variables. The second-moment properties of Hermite polynomials reveal a weakly orthogonal system when obtained for a general Gaussian probability measure. Still, the exponential integrability of norm allows the Hermite polynomials to constitute a complete set and hence a basis in a Hilbert space. The completeness is vitally important for the convergence of the generalized PCE to the correct limit. The optimality of the generalized PCE and the approximation quality due to truncation are discussed. New analytical formulae are proposed to calculate the mean and variance of a generalized PCE approximation of a general output variable in terms of the expansion coefficients and statistical properties of Hermite polynomials. However, unlike in the classical PCE, calculating the coefficients of the generalized PCE requires solving a coupled system of linear equations. Besides, the variance formula of the generalized PCE contains additional terms due to statistical dependence among Gaussian variables. The additional terms vanish when the Gaussian variables are statistically independent, reverting the generalized PCE to the classical PCE. Numerical examples illustrate the generalized PCE approximation in estimating the statistical properties of various output variables.

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See pages 1-29 of genpce_revised2.pdf