A Dimension-adaptive Combination Technique for Uncertainty Quantification
From MaRDI portal
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical integration (65D30) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35)
Abstract: We present an adaptive algorithm for the computation of quantities of interest involving the solution of a stochastic elliptic PDE where the diffusion coefficient is parametrized by means of a Karhunen-Lo`eve expansion. The approximation of the equivalent parametric problem requires a restriction of the countably infinite-dimensional parameter space to a finite-dimensional parameter set, a spatial discretization and an approximation in the parametric variables. We consider a sparse grid approach between these approximation directions in order to reduce the computational effort and propose a dimension-adaptive combination technique. In addition, a sparse grid quadrature for the high-dimensional parametric approximation is employed and simultaneously balanced with the spatial and stochastic approximation. Our adaptive algorithm constructs a sparse grid approximation based on the benefit-cost ratio such that the regularity and thus the decay of the Karhunen-Lo`eve coefficients is not required beforehand. The decay is detected and exploited as the algorithm adjusts to the anisotropy in the parametric variables. We include numerical examples for the Darcy problem with a lognormal permeability field, which illustrate a good performance of the algorithm: For sufficiently smooth random fields, we essentially recover the rate of the spatial discretization as asymptotic convergence rate with respect to the computational cost.
This page was built for publication: A Dimension-adaptive Combination Technique for Uncertainty Quantification
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6396275)
