Quasi-Monte Carlo finite element methods for elliptic PDEs with lognormal random coefficients

DOI10.1007/S00211-014-0689-YzbMath1341.65003OpenAlexW2051344283MaRDI QIDQ495544

J. A. Nichols, Christoph Schwab, Robert Scheichl, Ian H. Sloan, Frances Y. Kuo, Ivan G. Graham

Publication date: 14 September 2015

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-014-0689-y

zbMATH Keywords

convergence finite element method random coefficients diffusion problem quasi-Monte Carlo method elliptic PDEs Gaussian random field uncertainty quantification

Mathematics Subject Classification ID

Random fields (60G60) Boundary value problems for second-order elliptic equations (35J25) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (79)

Circulant embedding with QMC: analysis for elliptic PDE with lognormal coefficients ⋮ Numerical analysis of lognormal diffusions on the sphere ⋮ Numerical analysis for time-dependent advection-diffusion problems with random discontinuous coefficients ⋮ Novel results for the anisotropic sparse grid quadrature ⋮ Representations of Gaussian random fields and approximation of elliptic PDEs with lognormal coefficients ⋮ MDFEM: Multivariate decomposition finite element method for elliptic PDEs with lognormal diffusion coefficients using higher-order QMC and FEM ⋮ QMC Galerkin Discretization of Parametric Operator Equations ⋮ Analysis of Circulant Embedding Methods for Sampling Stationary Random Fields ⋮ Learning multivariate functions with low-dimensional structures using polynomial bases ⋮ Low-Rank Tensor Approximation for High-Order Correlation Functions of Gaussian Random Fields ⋮ Extrapolated Polynomial Lattice Rule Integration in Computational Uncertainty Quantification ⋮ On the quasi-Monte Carlo method with Halton points for elliptic PDEs with log-normal diffusion ⋮ Goal-oriented adaptive finite element multilevel Monte Carlo with convergence rates ⋮ Subordinated Gaussian random fields in elliptic partial differential equations ⋮ Application of high-credible statistical results calculation scheme based on least squares quasi-Monte Carlo method in multimodal stochastic problems ⋮ Error Estimate of a Quasi-Monte Carlo Time-Splitting Pseudospectral Method for Nonlinear Schrödinger Equation with Random Potentials ⋮ Multilevel quasi-Monte Carlo for optimization under uncertainty ⋮ On some distributional properties of subordinated Gaussian random fields ⋮ Suboptimality of Gauss–Hermite Quadrature and Optimality of the Trapezoidal Rule for Functions with Finite Smoothness ⋮ A data-driven and model-based accelerated Hamiltonian Monte Carlo method for Bayesian elliptic inverse problems ⋮ On properties and applications of Gaussian subordinated Lévy fields ⋮ Analyticity of parametric elliptic eigenvalue problems and applications to quasi-Monte Carlo methods ⋮ A multilevel sparse kernel-based stochastic collocation finite element method for elliptic problems with random coefficients ⋮ Risk-neutral PDE-constrained generalized Nash equilibrium problems ⋮ A Multilevel Monte Carlo Algorithm for Parabolic Advection-Diffusion Problems with Discontinuous Coefficients ⋮ Convergence rates of high dimensional Smolyak quadrature ⋮ Numerical methods for the deterministic second moment equation of parabolic stochastic PDEs ⋮ Uncertainty Quantification for Low-Frequency, Time-Harmonic Maxwell Equations with Stochastic Conductivity Models ⋮ Multilevel QMC with Product Weights for Affine-Parametric, Elliptic PDEs ⋮ Modern Monte Carlo Variants for Uncertainty Quantification in Neutron Transport ⋮ Ian Sloan and Lattice Rules ⋮ A Multi-Index Quasi--Monte Carlo Algorithm for Lognormal Diffusion Problems ⋮ A distributed active subspace method for scalable surrogate modeling of function valued outputs ⋮ QMC integration for lognormal-parametric, elliptic PDEs: local supports and product weights ⋮ Unified Analysis of Periodization-Based Sampling Methods for Matérn Covariances ⋮ A Multiscale Reduced Basis Method for the Schrödinger Equation With Multiscale and Random Potentials ⋮ Fast component-by-component construction of lattice algorithms for multivariate approximation with POD and SPOD weights ⋮ Quasi-Monte Carlo Finite Element Analysis for Wave Propagation in Heterogeneous Random Media ⋮ A Data-Driven Approach for Multiscale Elliptic PDEs with Random Coefficients Based on Intrinsic Dimension Reduction ⋮ Projection methods for stochastic dynamic systems: a frequency domain approach ⋮ Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation ⋮ Mixed finite element analysis of lognormal diffusion and multilevel Monte Carlo methods ⋮ Analysis and Application of Stochastic Collocation Methods for Maxwell's Equations with Random Inputs ⋮ Approximation of High-Dimensional Periodic Functions with Fourier-Based Methods ⋮ Analysis and Application of Single Level, Multi-Level Monte Carlo and Quasi-Monte Carlo Finite Element Methods for Time-Dependent Maxwell's Equations with Random Inputs ⋮ Fast CBC construction of randomly shifted lattice rules achieving \(\mathcal{O}(n^{- 1 + \delta})\) convergence for unbounded integrands over \(\mathbb{R}^s\) in weighted spaces with POD weights ⋮ Multilevel Accelerated Quadrature for PDEs with Log-Normally Distributed Diffusion Coefficient ⋮ Advances in Gaussian random field generation: a review ⋮ Infinite-dimensional integration and the multivariate decomposition method ⋮ A Model Reduction Method for Multiscale Elliptic Pdes with Random Coefficients Using an Optimization Approach ⋮ Multi-level Monte Carlo finite volume methods for uncertainty quantification of acoustic wave propagation in random heterogeneous layered medium ⋮ Complexity analysis of quasi continuous level Monte Carlo ⋮ Consistent inference for diffusions from low frequency measurements ⋮ A quasi Monte Carlo-based model reduction method for solving Helmholtz equation in random media ⋮ Sparse quadrature for high-dimensional integration with Gaussian measure ⋮ Multilevel approximation of Gaussian random fields: covariance compression, estimation, and spatial prediction ⋮ Proper orthogonal decomposition method for multiscale elliptic PDEs with random coefficients ⋮ MDFEM: multivariate decomposition finite element method for elliptic PDEs with uniform random diffusion coefficients using higher-order QMC and FEM ⋮ Multilevel quasi-Monte Carlo integration with product weights for elliptic PDEs with lognormal coefficients ⋮ Multilevel methods for uncertainty quantification of elliptic PDEs with random anisotropic diffusion ⋮ Optimal multilevel randomized quasi-Monte-Carlo method for the stochastic drift-diffusion-Poisson system ⋮ Regularity analysis of metamaterial Maxwell's equations with random coefficients and initial conditions ⋮ Three kinds of discrete approximations of statistical multivariate distributions and their applications ⋮ Fast approximation by periodic kernel-based lattice-point interpolation with application in uncertainty quantification ⋮ Efficient stochastic Galerkin methods for Maxwell's equations with random inputs ⋮ Quasi-Monte Carlo Bayesian estimation under Besov priors in elliptic inverse problems ⋮ Multilevel Markov Chain Monte Carlo for Bayesian Inversion of Parabolic Partial Differential Equations under Gaussian Prior ⋮ Lattice algorithms for multivariate approximation in periodic spaces with general weight parameters ⋮ On expansions and nodes for sparse grid collocation of lognormal elliptic PDEs ⋮ Propagation of uncertainties in density-driven flow ⋮ Fast QMC Matrix-Vector Multiplication ⋮ Multilevel Quasi Monte Carlo Methods for Elliptic PDEs with Random Field Coefficients via Fast White Noise Sampling ⋮ A Quasi-Monte Carlo Method for Optimal Control Under Uncertainty ⋮ The uniform sparse FFT with application to PDEs with random coefficients ⋮ Data-free likelihood-informed dimension reduction of Bayesian inverse problems ⋮ Multilevel Monte Carlo estimators for elliptic PDEs with Lévy-type diffusion coefficient ⋮ Interpretable Approximation of High-Dimensional Data ⋮ Quasi-Monte Carlo and Multilevel Monte Carlo Methods for Computing Posterior Expectations in Elliptic Inverse Problems ⋮ Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems

Cites Work

This page was built for publication: Quasi-Monte Carlo finite element methods for elliptic PDEs with lognormal random coefficients