An Anisotropic Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data

DOI10.1137/070680540zbMath1176.65007OpenAlexW1982421072MaRDI QIDQ3642886

Raúl Tempone, Fabio Nobile, Clayton G. Webster

Publication date: 6 November 2009

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/070680540

zbMATH Keywords

convergenceGalerkin methodfinite elementsnumerical exampleserror analysisMonte Carlo methoduncertainty quantificationmultivariate polynomial approximationstochastic collocation methodsparse tensor product gridsanisotropic sparse gridsrandom coefficients and forcing termsSmolyak sparse approximation

Mathematics Subject Classification ID

Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Error bounds for boundary value problems involving PDEs (65N15) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30)

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