On Discrete Least-Squares Projection in Unbounded Domain with Random Evaluations and its Application to Parametric Uncertainty Quantification

This work is concerned with approximating multivariate functions in unbounded domain by using discrete least-squares projection with random points evaluations. Particular attention are given to functions with random Gaussian or Gamma parameters. We first demonstrate that the traditional Hermite (Laguerre) polynomials chaos expansion suffers from the \textit{instability} in the sense that an \textit{unfeasible} number of points, which is relevant to the dimension of the approximation space, is needed to guarantee the stability in the least square framework. We then propose to use the Hermite/Laguerre {\em functions} (rather than polynomials) as bases in the expansion. The corresponding design points are obtained by mapping the uniformly distributed random points in bounded intervals to the unbounded domain, which involved a mapping parameter $L$. By using the Hermite/Laguerre {\em functions} and a proper mapping parameter, the stability can be significantly improved even if the number of design points scales \textit{linearly} (up to a logarithmic factor) with the dimension of the approximation space. Apart from the stability, another important issue is the rate of convergence. To speed up the convergence, an effective scaling factor is introduced, and a principle for choosing quasi-optimal scaling factor is discussed. Applications to parametric uncertainty quantification are illustrated by considering a random ODE model together with an elliptic problem with lognormal random input.