A Low-Rank Multigrid Method for the Stochastic Steady-State Diffusion Problem
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PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Iterative numerical methods for linear systems (65F10) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55)
Abstract: We study a multigrid method for solving large linear systems of equations with tensor product structure. Such systems are obtained from stochastic finite element discretization of stochastic partial differential equations such as the steady-state diffusion problem with random coefficients. When the variance in the problem is not too large, the solution can be well approximated by a low-rank object. In the proposed multigrid algorithm, the matrix iterates are truncated to low rank to reduce memory requirements and computational effort. The method is proved convergent with an analytic error bound. Numerical experiments show its effectiveness in solving the Galerkin systems compared to the original multigrid solver, especially when the number of degrees of freedom associated with the spatial discretization is large.
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Cited in
(18)- Multi-grid methods for steady state diffusion in random media
- Stochastic discontinuous Galerkin methods with low-rank solvers for convection diffusion equations
- Enhanced alternating energy minimization methods for stochastic Galerkin matrix equations
- A low-rank solver for the stochastic unsteady Navier-Stokes problem
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