A matrix-free isogeometric Galerkin method for Karhunen-Loève approximation of random fields using tensor product splines, tensor contraction and interpolation based quadrature

Michal Lukasz Mika, Thomas Joseph Robert Hughes, Dominik Schillinger +2

The Karhunen-Loève series expansion (KLE) decomposes a stochastic process into an infinite series of pairwise uncorrelated random variables and pairwise $L^2$-orthogonal functions.…