Circulant embedding with QMC: analysis for elliptic PDE with lognormal coefficients
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PDEs in connection with geophysics (35Q86) PDEs with randomness, stochastic partial differential equations (35R60) Stationary stochastic processes (60G10) Random fields (60G60) Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Error bounds for boundary value problems involving PDEs (65N15) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50)
Abstract: In a previous paper (J. Comp. Phys. 230 (2011), 3668--3694), the authors proposed a new practical method for computing expected values of functionals of solutions for certain classes of elliptic partial differential equations with random coefficients. This method was based on combining quasi-Monte Carlo (QMC) methods for computing the expected values with circulant embedding methods for sampling the random field on a regular grid. It was found capable of handling fluid flow problems in random heterogeneous media with high stochastic dimension, but a convergence theory was missing. This paper provides a convergence analysis for the method in the case when the QMC method is a specially designed randomly shifted lattice rule. The convergence result depends on the eigenvalues of the underlying nested block circulant matrix and can be independent of the number of stochastic variables under certain assumptions. In fact the QMC analysis applies to general factorisations of the covariance matrix to sample the random field. The error analysis for the underlying fully discrete finite element method allows for locally refined meshes (via interpolation from a regular sampling grid of the random field). Numerical results on a non-regular domain with corner singularities in two spatial dimensions and on a regular domain in three spatial dimensions are included.
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Cites work
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Cited in
(28)- QMC integration for lognormal-parametric, elliptic PDEs: local supports and product weights
- Multilevel Monte Carlo estimators for elliptic PDEs with Lévy-type diffusion coefficient
- Learning multivariate functions with low-dimensional structures using polynomial bases
- 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
- Interpretable approximation of high-dimensional data
- Numerical analysis for time-dependent advection-diffusion problems with random discontinuous coefficients
- Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation
- MDFEM: multivariate decomposition finite element method for elliptic PDEs with lognormal diffusion coefficients using higher-order QMC and FEM
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- A Multilevel Monte Carlo Algorithm for Parabolic Advection-Diffusion Problems with Discontinuous Coefficients
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- Quasi-Monte Carlo finite element analysis for wave propagation in heterogeneous random media
- Approximation of high-dimensional periodic functions with Fourier-based methods
- Quasi-Monte Carlo and multilevel Monte Carlo methods for computing posterior expectations in elliptic inverse problems
- Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications
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- Multilevel quasi-Monte Carlo for optimization under uncertainty
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- Analyticity of parametric elliptic eigenvalue problems and applications to quasi-Monte Carlo methods
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