Circulant embedding with QMC: analysis for elliptic PDE with lognormal coefficients

DOI10.1007/s00211-018-0968-0zbMath1417.65203arXiv1710.09254OpenAlexW2766099653WikidataQ91472396 ScholiaQ91472396MaRDI QIDQ1616013

Ivan G. Graham, Frances Y. Kuo, Ian H. Sloan, Dirk Nuyens, Robert Scheichl

Publication date: 31 October 2018

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.09254

Mathematics Subject Classification ID

Related Items (20)

Numerical analysis for time-dependent advection-diffusion problems with random discontinuous coefficients ⋮ MDFEM: Multivariate decomposition finite element method for elliptic PDEs with lognormal diffusion coefficients using higher-order QMC and FEM ⋮ Learning multivariate functions with low-dimensional structures using polynomial bases ⋮ Subordinated Gaussian random fields in elliptic partial differential equations ⋮ Multilevel quasi-Monte Carlo for optimization under uncertainty ⋮ Multilevel approximation of Gaussian random fields: Fast simulation ⋮ On properties and applications of Gaussian subordinated Lévy fields ⋮ Analyticity of parametric elliptic eigenvalue problems and applications to quasi-Monte Carlo methods ⋮ A Multilevel Monte Carlo Algorithm for Parabolic Advection-Diffusion Problems with Discontinuous Coefficients ⋮ Unified Analysis of Periodization-Based Sampling Methods for Matérn Covariances ⋮ Fast component-by-component construction of lattice algorithms for multivariate approximation with POD and SPOD weights ⋮ Quasi-Monte Carlo Finite Element Analysis for Wave Propagation in Heterogeneous Random Media ⋮ Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation ⋮ Approximation of High-Dimensional Periodic Functions with Fourier-Based Methods ⋮ Multilevel quasi-Monte Carlo integration with product weights for elliptic PDEs with lognormal coefficients ⋮ Lattice algorithms for multivariate approximation in periodic spaces with general weight parameters ⋮ Multilevel Quasi Monte Carlo Methods for Elliptic PDEs with Random Field Coefficients via Fast White Noise Sampling ⋮ Multilevel Monte Carlo estimators for elliptic PDEs with Lévy-type diffusion coefficient ⋮ Interpretable Approximation of High-Dimensional Data ⋮ Quasi-Monte Carlo and Multilevel Monte Carlo Methods for Computing Posterior Expectations in Elliptic Inverse Problems

Uses Software

• AS 312

Cites Work

• Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
• On the low-rank approximation by the pivoted Cholesky decomposition
• Quasi-Monte Carlo finite element methods for elliptic PDEs with lognormal random coefficients
• Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation
• Mixed finite element analysis of lognormal diffusion and multilevel Monte Carlo methods
• Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications
• Fast CBC construction of randomly shifted lattice rules achieving \(\mathcal{O}(n^{- 1 + \delta})\) convergence for unbounded integrands over \(\mathbb{R}^s\) in weighted spaces with POD weights
• An Introduction to Computational Stochastic PDEs
• Maximum Norm Estimates in the Finite Element Method on Plane Polygonal Domains. Part 2, Refinements
• Improving the Rate of Convergence of High-Order Finite Elements on Polyhedra I:A PrioriEstimates
• Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
• An Algorithm for Simulating Stationary Gaussian Random Fields
• Analysis of Circulant Embedding Methods for Sampling Stationary Random Fields
• Finite Element Error Analysis of Elliptic PDEs with Random Coefficients and Its Application to Multilevel Monte Carlo Methods
• Constructing Embedded Lattice Rules for Multivariate Integration
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