PolyChaos.jl - An open source Julia package for polynomial chaos expansion

Polynomial chaos expansion (PCE) is a Hilbert space technique for random variables that alleviates uncertainty propagation. Random variables are expanded in terms of polynomials that are orthogonal relative to a given probability density function. The applicability of PCE hinges on software that allows, among others, to construct orthogonal polynomials. We offer a package for (intrusive) PCE written in the Julia programming language, a trending programming language dedicated to scientific computing.