Block Preconditioning of Stochastic Galerkin Problems: New Two-sided Guaranteed Spectral Bounds
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block-diagonal preconditioningdiffusion problempreconditioningspectral boundsstochastic Galerkin method
Numerical solutions to stochastic differential and integral equations (65C30) Preconditioners for iterative methods (65F08) Iterative numerical methods for linear systems (65F10) Numerical solution of discretized equations for boundary value problems involving PDEs (65N22) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)
Abstract: The paper focuses on numerical solution of parametrized diffusion equations with scalar parameter-dependent coefficient function by the stochastic (spectral) Galerkin method. We study preconditioning of the related discretized problems using preconditioners obtained by modifying the stochastic part of the partial differential equation. We present a simple but general approach for obtaining two-sided bounds to the spectrum of the resulting matrices, based on a particular splitting of the discretized operator. Using this tool and considering the stochastic approximation space formed by classical orthogonal polynomials, we obtain new spectral bounds depending solely on the properties of the coefficient function and the type of the approximation polynomials for several classes of block-diagonal preconditioners. These bounds are guaranteed and applicable to various distributions of parameters. Moreover, the conditions on the parameter-dependent coefficient function are only local, and therefore less restrictive than those usually assumed in the literature.
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Cited in
(10)- Hierarchical preconditioning for the stochastic Galerkin method: upper bounds to the strengthened CBS constants
- Stochastic discontinuous Galerkin methods with low-rank solvers for convection diffusion equations
- A stochastic gradient algorithm with momentum terms for optimal control problems governed by a convection-diffusion equation with random diffusivity
- Block triangular preconditioning for stochastic Galerkin method
- Accurate error estimation in CG
- Properties of the multidimensional finite elements
- A factorization of the spectral Galerkin system for parameterized matrix equations: derivation and applications
- Truncation preconditioners for stochastic Galerkin finite element discretizations
- First- and second-order adjoint methods for stochastic identification problems.
- Improving convergence in stochastic Galerkin finite element methods via truncation preconditioners
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