Multilevel tensor approximation of PDEs with random data
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Publication:1685682
numerical resultsfinite element methodKarhunen-Loeve expansionmultilevel methodstochastic collocation methodrandom coefficientstochastic elliptic problemlow-rank tensor approximation
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35)
Abstract: In this paper, we introduce and analyze a new low-rank multilevel strategy for the solution of random diffusion problems. Using a standard stochastic collocation scheme, we first approximate the infinite dimensional random problem by a deterministic parameter-dependent problem on a high-dimensional parameter domain. Given a hierarchy of finite element discretizations for the spatial approximation, we make use of a multilevel framework in which we consider the differences of the solution on two consecutive finite element levels in the collocation points. We then address the approximation of these high-dimensional differences by adaptive low-rank tensor techniques. This allows to equilibrate the error on all levels by exploiting analytic and algebraic properties of the solution at the same time. We arrive at an explicit representation in a low-rank tensor format of the approximate solution on the entire parameter domain, which can be used for, e.g., the direct and cheap computation of statistics. Numerical results are provided in order to illustrate the approach.
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Cited in
(16)- Uncertainty quantification for PDEs with anisotropic random diffusion
- Rank adaptive tensor recovery based model reduction for partial differential equations with high-dimensional random inputs
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