Fundamental limitations of polynomial chaos for uncertainty quantification in systems with intermittent instabilities

Michal Branickiy, Andrew J. Majdaz

Research output: Contribution to journalArticlepeer-review


Here, we examine the suitability of truncated Polynomial Chaos Expansions (PCE) and truncated Gram-Charlier Expansions (GrChE) as possible methods for uncertainty quantication (UQ) in nonlinear systems with intermittency and positive Lyapunov exponents. These two methods rely on truncated Galerkin projections of either the system variables in a xed polynomial basis spanning the 'uncertain' subspace (PCE) or a suitable eigenfunction expansion of the joint probability distribution associated with the uncertain evolution of the system (GrChE). Based on a simple, statistically exactly solvable non-linear and non-Gaussian test model, we show in detail that methods exploiting truncated spectral expansions, be it PCE or GrChE, have signicant limitations for uncertainty quantication in systems with intermittent instabilities or parametric uncertainties in the damping. Intermittency and fat-tailed probability densities are hallmark features of the inertial and dissipation ranges of turbulence and we show that in such important dynamical regimes PCE performs, at best, similarly to the vastly simpler Gaussian moment closure technique utilized earlier by the authors in a dierent context for UQ within a framework of Empirical Information Theory. Moreover, we show that the non-realizability of the GrChE approximations is linked to the onset of intermittency in the dynamics and it is frequently accompanied by an erroneous blow-up of the second-order statistics at short times. These limitations of the two types of truncated spectral expansions arise from the following: (i) Non-uniform convergence in time of PCE and GrChE resulting in a rapidly increasing number of terms necessary for a good approximation of the random process as time evolves, (ii) Fundamental problems with capturing the constant ux of randomness due to white Gaussian noise forcing via nite truncations of the spectral representation of the associated Wiener process, (iii) Slow decay of PCE and GrChE coecients in the presence of intermittency, hampering implementation of sparse truncation methods which have been widely used in nearly elliptic problems or in low Reynolds number ows. Rigorous justication of these limitations is richly illustrated by straightforward tests exploiting a simple nonlinear and non-Gaussian but statistically exactly solvable test model which is proposed here as a challenging benchmark for algorithms for UQ in systems with intermittency.

Original languageEnglish (US)
Pages (from-to)55-103
Number of pages49
JournalCommunications in Mathematical Sciences
Issue number1
StatePublished - Mar 2013


  • Intermittency
  • Parametric uncertainty
  • Polynomial chaos
  • Uncertainty quantication
  • White noise

ASJC Scopus subject areas

  • General Mathematics
  • Applied Mathematics


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