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B-Spline based Polynomial Chaos Approximation for Random Variables

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 Proceedings of the Eighth Conference on Computational Stochastic Mechanics
Paros, Greece, June 10--13, 2018

B-SPLINE BASED POLYNOMIAL CHAOS

APPROXIMATION FOR RANDOM VARIABLES
CHRISTOPH ECKERT1 and MICHAEL BEER1 and POL D. SPANOS2
1
Institute for Risk and Reliability, Leibniz Universität Hannover, Callinstr. 34 - 30171
Hannover, Germany.
E-mail: eckert@irz.uni-hannover.de
E-mail: beer@irz.uni-hannover.de
2
Department of Civil and Environmental Engineering, Rice University, 6100 Main St,
Houston, TX 77251-1892, USA.
E-mail: spanos@rice.edu

Isogeometric analysis which extends the finite element method through the usage of B-splines
has become well established in engineering analysis and design procedures. In this paper, this
concept is considered in context with the methodology of polynomial chaos as applied to
computational stochastic mechanics. In this regard it is noted that many random processes used
in several applications can be approximated by the chaos representation by truncating the
associated series expansion. Ordinarily, the basis of these series are orthogonal Hermite
polynomials which are replaced by B-spline basis functions. Further, the convergence of the B-
spline based polynomial chaos is explored and substantiated by numerical results. Furthermore,
it is pointed out‚ that the B-spline chaos is a generalization of the Legendre multi-element
generalized polynomial chaos which is proven by solving a stochastic differential equation.
Keywords: Piecewise polynomial chaos, multi-element generalized polynomial chaos, B-splines,
random variable approximation, stochastic Galerkin.

1 Introduction variables. For other types of random input the

convergence rate may substantially slower. In
The usage of polynomial chaos (PC)
this case, other types of orthogonal
representation to approximate random
polynomials, instead of Hermite polynomials,
processes is widespread in the area of
could be used to construct the chaos
stochastic mechanics (Grigoriu (2003),
expansion. Xiu and Karniadakis (2002)
Ghanem and Spanos (2003), Stefanou (2010)
proposed the generalized polynomial chaos
and has a mathematically solid framework.
(gPC) and proved optimal convergence for the
For any arbitrary random process with finite
polynomials of the Askey-scheme, e.g. the
second-order moments the original Wiener
Legendre polynomials corresponds to the
polynomial chaos expansion Wiener (1938)
uniform distribution. Further, Wan and
converges in accord with the Cameron-Martin
Karniadakis (2005) extended the gPC by
theorem Cameron and Martin (1947).
decomposing the stochastic space in elements
Further, the convergence rate is optimal for
and build a gPC within each element, which is
Gaussian inputs; in fact the rate is
known as the multi-element generalized
exponential. This can be understood from the
polynomial chaos (ME-gPC). This extension
fact that the weighting function of Hermite
captures the problems of long-term integration
polynomials is the same as the probability
and stochastic discontinuities, and was first
density function of Gaussian random

1
Jie Li, Giovanni Solari and Pol Spanos (Eds)
applied to flow problems (Wan and normal, and gamma distributions are studied
Karniadakis (2006a), Wan and Karniadakis extensively and compared with Hermite and
(2006b)) and others (Wan and Karniadakis Legendre chaos. At last, an ordinary
(2009), Le Meitour (2010), Kewlani et al. differential equation (ODE) is solved by the
(2012), Sarrouy et al. (2013)). More recently, B-spline chaos using a stochastic Galerkin
improvements of the method were proposed scheme and faced with the ME-gPC.
(Gerritsma (2010), Chouvion and Sarrouy
(2016)), but handling long-term integration 2 B-spline based Polynomial Chaos
and stochastic discontinuities remains a
challenging problem. However, in practical Let (Ω,F ,P) be a probability space and X a
applications, one often does not know the real-valued random variable. Denote by
analytical form of the distribution of the input, L2 (Ω,F ,P) the Hilbert space of all random
or, if known, it may not be one of the basic variables with finite second moment.
distributions, e.g. uniform, Gaussian, etc. In Consider the non-Gaussian random variable
this case, the optimal convergence may X as a function of a standard Gaussian
deteriorates (Field and Grigoriu (2004), random variable Z , i.e.
Stefanou (2010)).
In 2005, Hughes et al. (2005) bridged the gap X = g(Z ), (1)
between computer aided design and
engineering by introducing the methodology where g is a deterministic mapping.
of isogeometric analysis (IGA), which
successfully has enhanced many deterministic 2.1 B-spline basis functions
engineering applications (Cottrell et al.
(2006), Bazilevs et al. (2008), Sangalli et al. Next, as a generalization of Bernstein
(2010), Cottrell et al. (2010), Auricchio et al. polynomials B-spline basis functions are
(2012)). In this regard, it is remarkable that characterized by an open non-uniform real
the notion of IGA was not widely adopted knot vector
within stochastic frameworks (Bhardwaj et al.
(2015), Hien and Noh (2017), Li et al. Ξ = [u1 ,…,uN + p+1 ] (2)
(2018)). In the best of the authors’
knowledge, there are two relevant approaches: where p is the polynomial order and N is
Hien and Noh (2017) combined the IGA with the number of basis functions – see e.g.
stochastic perturbation and Li et al. (2018) Hughes et al. (2005). The ui are called knots
numerically solved the Karhunen-Lóeve (KL)
and define element borders if they differ
expansion using isogeometric basis functions.
named knot spans. The B-spline basis
One procedure within the IGA framework is
functions can then be explained by the Cox-de
to use non-uniform rational B-splines
Boor recursion formula for p = 0 :
(NURBS), which are prevalent in engineering
design processes, as a basis for solution fields.
It turned out that B-splines are also beneficial ⎧⎪ 1 if ui ≤ u < ui+1
Bi,0 (u) ! ⎨ ; (3)
in terms of the analysis.
⎪⎩ 0 otherwise
In this paper, the B-spline basis functions are
employed in the truncated PC expansion and
and for p ≥ 1 :
weak convergence for arbitrary input variables
are shown. Further, strong convergence is
achieved for uniform distributed random
inputs. These results supported by numerical
examples where approximations of beta,

2
 Proceedings of the Eighth Conference on Computational Stochastic Mechanics

Bi, p (u) !
u−ui
Bi, p−1 (u) this necessitates the introduction of a new
ui+ p −ui

u −u
(4) space for the parameter u of the B-spline
+ u i+ p+1−u Bi+1, p−1 (u). basis functions Bi, p which explicitly depend
i+ p+1 i+1

on the random variable Z . The question next

Repeating inner knots in the interior of the arises as to how the random variable Z , or an
knot vector entail in a lower continuity over arbitrary random variable, can be uniquely
knot spans (element boundaries). Single knots
mapped on the parameter space [0,1] in a
reveal a C p−1 -continuity. A prescribed proper way. A convenient choice is the
continuity affects profoundly the number of
inverse cumulative distribution function
basis functions, too. This indeed is the main
reason for the effectiveness of the subsequent (iCDF) of a random variable Z , given by
method.
FZ−1 (u) := inf{z : FZ (z) ≥ u}∈[0,1] , (9)
2.2 B-spline chaos
where FZ is the cumulative distribution
According to the original Wiener polynomial function of Z . Clearly, the iCDF always
chaos for approximating Eq. (1), the B-spline
exists and is unique. This allows one to
chaos with knot vector Ξ( p, N ) is defined by
connect the parameter u and the random
N variable Z . The paramter u can be
X ≅ X! N " ∑ xi N i, p (u(Z )). (5) interpreted as a uniformly distributed random
i=1
variable U . If the distribution of Z is
B-splines cannot be used for the explicitly known, Eq. (6) can be expressed in
approximation of random variables in the terms of U , i.e. for a Gaussian random
same manner then orthogonal polynomials, variable Z ,
like Hermite polynomials, because of the lack
of orthogonality. Nevertheless, it suffices that z 1 t2
the functions in use form a basis of the u = FZ (z) = ∫ exp(− ) dt (10)
−∞
2π 2
underlying Hilbert space L2 (Ω,F ,P)
du 1 t2
Grigoriu (2003). Thus, the coefficients in Eq. = exp(− ) ! f Z (z) (11)
dz 2π 2
(5) can be determined by solving a linear
algebraic system resulting from the L2 - ⇒ du = f Z (z) dz (12)
projection:
Hence, a proper mapping between Ω and
Ax = b (6) [0,1] by FZ is established. So, the integrals
in Eq. (7) and Eq. (8) can be expressed as
with
E(Bi, p (FZ (Z ))B j, p (FZ (Z ))) (13)
(
A ij ! E N i, p (u(Z ))N j, p (u(Z )) ) (7)
= ∫ Bi, p (FZ (z))B j, p (FZ (z)) f Z (z) dz (14)
(
b j ! E g(Z )N j, p (u(Z )) ) (8) Ω
1
= ∫ Bi, p (u)B j, p (u) du (15)
0
i, j = 1,…, N and E(⋅) is the operator of
= EU (Bi, p (U )B j, p (U )) (16)
mathematical expectation. Next, the integrals
in Eq. (6) must be calculated. Specifically, and

3
Jie Li, Giovanni Solari and Pol Spanos (Eds)
(
E g(Z )B j, p (FZ (Z )) ) (17)
= ∫ g (z)B j, p (FZ (z)) f Z (z) dz (18)
Ω be achieved Xiu (2010). However, in most
( )
1
= ∫ g F (u) B j, p (u) du
Z
−1
(19)
0 g(Z ) or even less information is available.
Thus, the matrix A depends only on the
configuration of the B-spline basis functions,
and can be stored before the analysis. Further,
A is a band matrix, if the knot Vector
Ξ( p, N ) has inner knots, i.e.
A ij = 0 for | i − j |> p + 1. (20)
Examining the integrals in Eq. (19) and Eq.
(16), it is seen only the iCDF of the describing
random variable and the mapping g must be
known. Thus, this procedure is not limited to
Gaussian random variables and
simultaneously paves the way even for using
this method with discrete random variables.
In fact, under the assumption that Z is a
uniformly distributed random variable FZ is
the identity, and optimal convergence is
expected in correspondence with the uniform
distribution.
2.3 Convergence
The proposed method is closely related to the
gPC Xiu and Karniadakis (2002) where the
same mapping property between an uniform
and arbitrary distribution is utilized. It can be
shown, see e.g. Xiu (2010), that the gPC
approximation converges weakly, if the
random variable to be approximated is square
integrable and the moments in the chaos
expansion exists. This can be adopted here
and X N converges in probability and in
distribution, i.e.
P
XN → X for N → ∞, (21)
D
XN → X for N → ∞. (22)
4
Further, if g(Z ) in Eq. (1) is explicitly
known in terms of Z , L2 -convergence can
practical numerical analyses only the PDF of
But in this case, strong convergence cannot
established because of the lack of information
concerning g and Z . Nevertheless, the
above theorem ensures weak convergence.
3 Numerical Examples
In this section the versatility of the
aforementioned approach is demonstrated, and
the convergence results are further
substantiated by numerical examples.
Specifically, the probability density function
(PDF) of an uniform, and normal distributed
random variable is approximated by the B-
spline chaos, respectively. In addition, the
results are juxtaposed with Hermite and
Legendre chaos - e.g. Xiu and Karniadakis
(2002). All density functions are estimated by
a normal kernel smoothing function available
in all common statistical toolboxes. The
advantage of the proposed technique lies in
the flexibility of adapting the order, number of
elements and continuity over knot spans,
which can be quite powerful if the underlying
distribution is unknown. See e.g. Xiu (2010)
for other density fittings.
Finally, the ODE from Wan and Karniadakis
(2005) is solved using a stochastic Galerkin
scheme and compared to the Legendre based
ME-gPC. Besides, h − p -convergence is
shown and it turns out, that the B-spline chaos
is a generalization of the Legendre multi-
element polynomial chaos, which can
extensively improved by increasing the
continuity over element boundaries.
 Proceedings of the Eighth Conference on Computational Stochastic Mechanics

0.25
normpdf (y, , )
p=1
p=3
0.2 p=5
p = 10

0.15

0.1

0.05
Figure 1. Approximation of uniform
distribution by Legendre and B-spline chaos.
0
-4 -2 0 2 4 6 8 10
3.1 Uniform distribution Figure 3. Approximation of normal distribution
by B-spline chaos.
Let X be a beta distributed random variable
on [0,1] with PDF B-splines - see figure 2. However, in this case
only a straight line has to be approximated.
1 Therefore, linear B-splines are sufficient.
f X (x) = xα −1 (1− x)β −1 (23)
Β(α , β ) This leads to the conclusion that a
correspondence between the uniform
where α , β > 0 and Β(α , β ) is the beta
distribution and B-splines can be identified.
function. In the case of α = β = 1 , the beta
Remark, for the Hermite chaos more terms are
distribution degenerates to the import uniform
necessary to reach the same accuracy, and
distribution. Figure 1 shows approximations
oscillations are observed at x = 0 and x = 1
of a uniform PDF by B-spline, and Legendre
and is referred to the stochastic Gibbs
chaos for several numbers of basis functions.
phenomenon Xiu (2010).
The B-splines and Legendre polynomials
remains stable and unchanged from the first 3.2 Normal distribution
order on. Neither order elevation nor knot
insertion changes the accuracy. The changing Let X be a normal distributed random
variable with PDF
values of the expansion coefficients are the
main difference. While only the first two 1 −
( x− µ )2

basis functions influence the representation f X (x) = e σ2

for the Legendre chaos, because all
coefficients are zero for i > 2 , the coefficients
are changing for every configuration for the
Figure 2. Coefficients of Legendre, B-spline
and Hermite chaos 5
, x ∈! (24)
2πσ
with expectation µ ∈! and variance σ 2 > 0 .
Hermite polynomials correspond to the
Gaussian measure. Thus, the Hermite chaos is
exact from the first order on. Further, a
Gaussian kernel is used here. Thus, the
approximation fits perfectly. In contrast, a
Gaussian input is not optimal for the B-spline
or Legendre chaos, which can clearly be
recognized by figure 3. Nevertheless,
inserting nine inner knots, which leads to ten
elements, improves the performance
Jie Li, Giovanni Solari and Pol Spanos (Eds)
and
0.25
normpdf (y, , ) N

0.2
p = 1, nel = 10
p = 3, nel = 10 y N (t) = ∑ yi (t)Ψ i (Z ), (29)
p = 5, nel = 10 i=1
p = 10, nel = 10
0.15
where Z is the corresponding random
0.1 variable of the polynomials Ψi . { }
Substituting Eq. (28) and (29) in Eq. (25)
0.05
leads to
Figure
0 4. Approximation of normal distribution N
dyi (t)
∑
-4 -2 0 2 4 6 8 10
by B-spline chaos with ten elements. Ψ i (Z ) =
i=1 dt
(30)
distinctly, although moderate oscillations N N

remain at the tails - see figure 4. The − ∑ ∑ ai y j (t)Ψ i (Z )Ψ j (Z ).

i=1 j=1
fluctuations can be attributed to the different
supports. The L2 -projection must determine Applying the Galerkin projection to Eq. (30)
a proper mapping from [0,1] yields
to (−∞,∞) . N
dyi (t)
∑ E(Ψ i (Z ) Ψ k (Z )) =
dt
3.3 Ordinary stochastic differential
i=1
(31)
N N
equation − ∑ ∑ ai y j (t) E(Ψ i (Z )Ψ j (Z )Ψ k (Z ))
i=1 j=1
In the following consider the stochastic ODE
Eq. (31) can be solved by any ODE solver.
dy(t) Here, the standard fourth order Runge-Kutta
= −a y(t) with y(0) = 1, (25)
dt scheme is used. For the mean and variance
the errors are defined by
where t ∈! + and the decay rate is a random
variable a : Ω → ! with mean µ a and PDF E( y N (t)) − E( y(t))
ε mean (t) ! (32)
E( y(t))
f a . The exact solution of Eq. (25) is
and
y(t) = e− a(ω )t , (26)
Var( y N (t)) − Var( y(t))
so the stochastic mean solution can be ε var (t) ! , (33)
determined by Var( y(t))

E( y(t)) = ∫ e− at f a (a) da (27) where Var( y(t)) ! E(( y(t) − E( y(t))2 ) .

S
In the sequel, the random decay rate a(ω ) is
with support S of a . Applying the PC expected to be uniformly distributed on [−1,1] .
scheme to the random variables a and y Thus, the exact stochastic mean solution is
yields
sinh(t)
N E( y(t)) = . (34)
a = ∑ ai Ψ i (Z )
N
(28) t
i=1

Figure 5. Error of mean and variance of the ODE solved by Hermite, Legendre and B-spline chaos (t = 5).
 Proceedings of the Eighth Conference on Computational Stochastic Mechanics

100100
0
102
10
Bernstein N el = 2
Bernstein N el = 3
-2 10-1
10-2
10 Bernstein N el = 4
B-Spline N el = 2 100
B-Spline N el = 3 10-2
-4

Variance
10
10-4 B-Spline N el = 4

Variance
Mean
Mean

-2
Hermite
10-3
10
-6 Legendre
10
10-6 Bernstein Nel = 1
Bernstein Nel = 2
10-4-4
-8 10
10 Bernstein Nel = 3
10-8
Bernstein Nel = 4 10-5

10-10
10-10 1 2
4 6 8 10
N N
Numerical results of equation (31) are shown
in figure 5. Hermite, Legendre and B-spline
chaos are opposed against each other.
Specifically, the error of mean and variance of
the multi-element generalized polynomial
chaos expansion from Wan and Karniadakis
(2005) are reproduced by using Bernstein
polynomials, which are equivalent to C 0 -B-
spline basis functions. Exponential p -type
convergence for different stochastic meshes,
i.e. number of elements in the spectral
expansion, are achieved. The Legendre chaos
is optimal for the uniform input. Therefore, it
generally outperforms the Hermite chaos here,
which error is fluctuating and decreases
slower. Furthermore, the Legendre multi-
element approach coincides with the C 0 -B-
spline chaos. Increasing the number of
elements validates the results of (Wan and
Karniadakis (2005), Figure 2). This means,
through the natural structure of B-splines, that
the performance of Legendre ME-gPC is
inherited by simply using C 0 -B-splines basis
functions in the polynomial chaos expansion.
Note in addition, it is much easier to
implement the B-spline basis in an ordinary
PC framework then it is the case with ME-
gPC.
Further, the capability of C 0 - with C p−1 -B-
splines chaos is compared. The convergence
10-6
3 4 10-6 1 2 3 4
P 12 14 16 4 6 8 P10 12 14 16
for the error of mean and variance of the
solution with respect to the number of basis
functions is illustrated in figure 6. The dotted
lines represent the same results as in figure 6.
The solid lines show the errors of C 3 -B-spline
chaos. Exponential h -type convergence for
both B-spline variants are on hand. Moreover,
it can clearly be seen that for C 3 -continuity
much less basis functions are need to reach
nearly the same accuracy. The number of
basis functions N is directly related to the
degrees of freedom of the numerical model.
Thus, using smooth B-splines over element
boundaries instead of Legendre polynomials
in each element leads to a drastic reduction of
the degrees of freedom and gain of efficiency.
As mentioned above, this improvement is
predicated on the smoothness over knot spans.
Note that, the exhibit advantages becomes
even more pronounced if more elements or
higher degrees are treated.
4 Concluding Remarks
In this paper the potential of a B-spline based
polynomial chaos expansion has been
demonstrated. Weak convergence has been
shown and substantiated by several numerical
examples. Correspondingly, the B-spline

Figure 6. Error of mean and variance of the ODE solved by Bernstein and B-spline chaos (t = 5).
Jie Li, Giovanni Solari and Pol Spanos (Eds)
approach has been found optimal for uniform
input and generalizes the Legendre multi-
element formulation (ME-gPC). Further, it
has been found that the smoothness property
of B-spline basis functions improves
significantly the efficiency when
decomposing the random space, which comes
to a greater extent if the dimensionality is
increased.
As a first example, to show the versatility and
flexibility of the B-spline chaos a uniform,
and normal distributed random variable have
been approximated. Varying the polynomial
degree, number of elements and also the
continuity over knot spans are powerful tools
to treat arbitrary non-uniform random inputs.
Afterwards, a stochastic ODE has been
investigated within a Galerkin framework to
address long-time integration problems.
Exponential h − p -convergence has been
achieved for uniform input. Note that Wan
and Karniadakis (2010) have stated that the
efficiency of ME-gPC is reduced significantly
by the rapidly increasing number of random
elements for high-dimensional problems; the
results reported herein indicate that the B-
spline chaos can overcome this drawback of
ME-gPC.
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