Dear all,
it’s wonderful to have a go-to place for UQ-related questions!
I just wanted to advertise a piece of software I wrote: it’s called PolyChaos.jl, which is a Julia package for orthogonal polynomials, quadrature rules, and polynomial chaos expansion.
There a few keywords that deserve attention:
- Julia – Julia is a recent scientific programming language that aims to combine the readability of scripted languages with the speed of compiled languages. If you’re familiar with Python or Matlab, then reading/writing basic Julia code will be no issue. Julia incorporates several programming paradigms (multiple dispatch, macros, meta-programming, etc). I encourage everyone to give it a try.
- Polynomial chaos expansion – Polynomial chaos is a Hilbert space technique for random variables. It allows to represent random variables by deterministic coefficients. Loosely spoken, the polynomial chaos expansion of a random variable is like the Fourier series of a periodic signal. For UQ applications, polynomial chaos is most often used for uncertainty propagation or even optimization under uncertainty.
PolyChaos.jl is under active development, and I’d be very interested in finding willing contributors. There is more than enough that can be done. If you happen to be at this year’s SIAM UQ, I encourage you to stop by the the Minisymposium of Software for UQ. If you’re not, well, that’s what UQWorld is for, isn’t it? 
Very much looking forward to your responses, comments, suggestions, etc…
p.s.: Unfotunately, as a new user I can only add two links
