Real-time reduced-order modeling of stochastic partial differential equations via time-dependent subspaces
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Publication:2194337
DOI10.1016/J.JCP.2020.109511zbMATH Open1440.65012arXiv1910.04299OpenAlexW3023022637MaRDI QIDQ2194337FDOQ2194337
Publication date: 25 August 2020
Published in: Journal of Computational Physics (Search for Journal in Brave)
Abstract: We present a new methodology for the real-time reduced-order modeling of stochastic partial differential equations called the dynamically/bi-orthonormal (DBO) decomposition. In this method, the stochastic fields are approximated by a low-rank decomposition to spatial and stochastic subspaces. Each of these subspaces is represented by a set of orthonormal time-dependent modes. We derive exact evolution equations of these time-dependent modes and the evolution of the factorization of the reduced covariance matrix. We show that DBO is equivalent to the dynamically orthogonal (DO) and bi-orthogonal (BO) decompositions via linear and invertible transformation matrices that connect DBO to DO and BO. However, DBO shows several improvements compared to DO and BO: (i) DBO performs better than DO and BO for cases with ill-conditioned covariance matrix; (ii) In contrast to BO, the issue of eigenvalue crossing is not present in the DBO formulation; (iii) In contrast to DO, the stochastic modes are orthonormal, which leads to more accurate representation of the stochastic subspace. We study the convergence properties of the method and compare it to the DO and BO methods. For demonstration, we consider three cases: (i) stochastic linear advection equation, (ii) stochastic Burgers' equation, and (iii) stochastic incompressible flow over a bump in a channel. Overall we observe improvements in the numerical accuracy of DBO compared against DO and BO.
Full work available at URL: https://arxiv.org/abs/1910.04299
uncertainty quantificationstochastic partial differential equationreduced order modeltime-dependent subspaces
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)
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