PCE with custom continuous marginals

Hello all,
I am building a sparse PCE surrogate model from existing data (from a FEM) using a custom marginal (continuous distribution) for one of the inputs. However, PCE doesn’t seem to work correctly. The custom marginal produces the expected sampling (so I am confident of its correctness). Still, the PCE does not correctly predict the system behaviour (I tried different strategies to calculate the PCE coefficients). I read on the blog that PCE does not support discrete custom marginals. Is PCE supporting the continuous custom marginals?
Best regards,

Dear @Irma

PCE does indeed support arbitrary distributions, as documented here:

However, I am unable to narrow down the problem with the limited information provided. Can you give me

  • more information about your problem/input variables;
  • the code that is giving incorrect results;
  • ideally also the data that leads to wrong results.

Best regards