Coefficients of Polynomial Chaos Expansion (PCE)

This simple Matlab code calculates the coefficients of PCE for a lognormal distributed uncertain parameter X up to the order of N.

The coefficients of order “n” for any uncertain parameter X with LN(mu,sigma) can analytically calculated as:
ai_a=sigma^n*exp(mu+sigma^2/2)/(n!)
The code calculated the coefficients using Matlab symbolic integration