Stochastic Collocation Methods on Unstructured Grids in High Dimensions via Interpolation

In this paper we propose a method for conducting stochastic collocation on arbitrary sets of nodes. To accomplish this, we present the framework of least orthogonal interpolation, which allows one to construct interpolation polynomials based on arbitrarily located grids in arbitrary dimensions. These interpolation polynomials are constructed as a subspace of the family of orthogonal polynomials corresponding to the probability distribution function on stochastic space. This feature enables one to conduct stochastic collocation simulations in practical problems where one cannot adopt some popular node selections such as sparse grids or cubature nodes. We present in detail both the mathematical properties of the least orthogonal interpolation and its practical implementation algorithm. Numerical benchmark problems are also presented to demonstrate the efficacy of the method.