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arXiv · 1808.08381

Stochastic Collocation with Non-Gaussian Correlated Parameters via a New Quadrature Rule

Chunfeng Cui·Zheng Zhang
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Abstract

This paper generalizes stochastic collocation methods to handle correlated non-Gaussian random parameters. The key challenge is to perform a multivariate numerical integration in a correlated parameter space when computing the coefficient of each basis function via a projection step. We propose an optimization model and a block coordinate descent solver to compute the required quadrature samples. Our method is verified with a CMOS ring oscillator and an optical ring resonator, showing 3000x speedup over Monte Carlo.

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Chunfeng Cui, Zheng Zhang. 2018-08-25. Stochastic Collocation with Non-Gaussian Correlated Parameters via a New Quadrature Rule. https://arxiv.org/abs/1808.08381

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