Multi-index stochastic collocation convergence rates for random PDEs with parametric regularity

DOI10.1007/S10208-016-9327-7MaRDI QIDQ506615zbMATH OpenOpenAlexFDO

Authors Abdul-Lateef Haji-Ali, F. Nobile, L. Tamellini, R. Tempone

Publication date 1 February 2017

Published in Foundations of Computational Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.05393

zbMATH Keywords

convergencefinite element methodlinear elliptic partial differential equationsmulti-index stochastic collocationmulti-level methodsnumerical experimentsparse gridsuncertainty quantification

Mathematics Subject Classification ID

Boundary value problems for second-order elliptic equations (35J25) 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) Numerical solutions to stochastic differential and integral equations (65C30) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35)

Abstract: We analyze the recent Multi-index Stochastic Collocation (MISC) method for computing statistics of the solution of a partial differential equation (PDEs) with random data, where the random coefficient is parametrized by means of a countable sequence of terms in a suitable expansion. MISC is a combination technique based on mixed differences of spatial approximations and quadratures over the space of random data and, naturally, the error analysis uses the joint regularity of the solution with respect to both the variables in the physical domain and parametric variables. In MISC, the number of problem solutions performed at each discretization level is not determined by balancing the spatial and stochastic components of the error, but rather by suitably extending the knapsack-problem approach employed in the construction of the quasi-optimal sparse-grids and Multi-index Monte Carlo methods. We use a greedy optimization procedure to select the most effective mixed differences to include in the MISC estimator. We apply our theoretical estimates to a linear elliptic PDEs in which the log-diffusion coefficient is modeled as a random field, with a covariance similar to a Mat'ern model, whose realizations have spatial regularity determined by a scalar parameter. We conduct a complexity analysis based on a summability argument showing algebraic rates of convergence with respect to the overall computational work. The rate of convergence depends on the smoothness parameter, the physical dimensionality and the efficiency of the linear solver. Numerical experiments show the effectiveness of MISC in this infinite-dimensional setting compared with the Multi-index Monte Carlo method and compare the convergence rate against the rates predicted in our theoretical analysis.

Review text

The authors of this interesting paper concentrate on so-called multi-index stochastic collocation (MISC) methods to the approximation of an output from the solutions of linear elliptic partial differential equations of the form \[ -\operatorname{div}(x(x,y)\nabla u(x,y))=\zeta(x)\text{ in B }, \quad u(x,y)=0\text{ on } \partial B, \] where \(B\subset \mathbb R^d\) denotes the ``physical domain. Section 2 introduces suitable assumptions and a class of random diffusion coefficients used throughout the paper. The MISC method is reviewed in Section 3. A complexity analysis of MISC with an infinite number of random variables is carried out in Section 4. A general convergence theorem is stated and proved. In Section 5, an application of MISC to the specific class of diffusion coefficients is discussed. Dependence of the convergence rate on the regularity of the diffusion coefficients is tracked. Results of extensive numerical experiments are summarized in Section 6. Finally, Section 7 provides some conclusions and final remarks. A technical appendix summarizes some technical results on the summability and regularity properties of certain random fields written in terms of their expansions.

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