Multilevel tensor approximation of PDEs with random data

DOI10.1007/S40072-017-0092-7zbMATH Open1383.65006arXiv1606.05505OpenAlexW2963953645MaRDI QIDQ1685682FDOQ1685682

Michael Peters, Daniel Kressner, Jonas Ballani

Publication date: 19 December 2017

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1606.05505

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zbMATH Keywords

numerical resultsfinite element methodKarhunen-Loeve expansionmultilevel methodstochastic collocation methodrandom coefficientstochastic elliptic problemlow-rank tensor approximation

Mathematics Subject Classification ID

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)

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Cited In (6)

• Convergence rates of multilevel and sparse tensor approximations for a random elliptic PDE
• A two-stage surrogate model for neo-Hookean problems based on adaptive proper orthogonal decomposition and hierarchical tensor approximation
• Approximation of Spatio-Temporal Random Processes Using Tensor Decomposition
• Interpolatory tensorial reduced order models for parametric dynamical systems
• Tensor-Based Numerical Method for Stochastic Homogenization
• GFN: a graph feedforward network for resolution-invariant reduced operator learning in multifidelity applications

Uses Software

• deal.ii
• ALEA

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