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Mathematica package for generalized polynomial chaos


The PolynomialChaos Mathematica package provides various routines to work with generalized polynomial chaos (gPC). For example, it defines the function Collocation, which can be used to estimate efficiently the expectation, variance, and other statistical properties of a given model f[z] when z is a random variable with a prescribed probability distribution. A general introduction into the gPC framework is given by Xiu, Numerical methods for stochastic computations: a spectral method approach, 2010.