Compressive sensing adaptation for polynomial chaos expansions

Basis adaptation in Homogeneous Chaos spaces rely on a suitable rotation of the underlying Gaussian germ. Several rotations have been proposed in the literature resulting in adaptations with different convergence properties. In this paper we present a new adaptation mechanism that builds on compressive sensing algorithms, resulting in a reduced polynomial chaos approximation with optimal sparsity. The developed adaptation algorithm consists of a two-step optimization procedure that computes the ...