Regularity and convergence analysis in Sobolev and Hölder spaces for generalized Whittle-Matérn fields

DOI10.1007/S00211-020-01151-XMaRDI QIDQ2217871zbMATH OpenOpenAlexFDO

Authors Sonja Cox, Kristin Kirchner

Publication date 11 January 2021

Published in Numerische Mathematik (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1904.06569

zbMATH Keywords

Gaussian random fieldregularityspectral Galerkin methods

Mathematics Subject Classification ID

Smoothness and regularity of solutions to PDEs (35B65) Fractional partial differential equations (35R11) PDEs with randomness, stochastic partial differential equations (35R60) Random fields (60G60) Numerical solutions to stochastic differential and integral equations (65C30) 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) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35)

Abstract: We analyze several Galerkin approximations of a Gaussian random field $mathcalZcolonmathcalDimesOmegaomathbbR$ indexed by a Euclidean domain $mathcalDsubsetmathbb{R}^d$ whose covariance structure is determined by a negative fractional power $$ of a second-order elliptic differential operator $L:=-ablacdot(Aabla)+kapp{a}^2$. Under minimal assumptions on the domain $mathcalD$, the coefficients $AcolonmathcalDomathbb{R}^{dimesd}$, $kappacolonmathcalDomathbbR$, and the fractional exponent $$, we prove convergence in $L_q(Omega;H^{s}igma(mathcalD))$ and in $L_q(Omega;C^{d}elta(overlinemathcalD))$ at (essentially) optimal rates for (i) spectral Galerkin methods and (ii) finite element approximations. Specifically, our analysis is solely based on $H^{1+alpha}(mathcalD)$-regularity of the differential operator $L$, where $0<alphaleq1$. For this setting, we furthermore provide rigorous estimates for the error in the covariance function of these approximations in $L_{infty}(mathcalDimesmathcalD)$ and in the mixed Sobolev space $H^{sigma,sigma}(mathcalDimesmathcalD)$, showing convergence which is more than twice as fast compared to the corresponding $L_q(Omega;H^{s}igma(mathcalD))$-rate. For the well-known example of such Gaussian random fields, the original Whittle-Mat'ern class, where $L=-Delta+kapp{a}^2$ and $kappaequivoperatornameconst.$, we perform several numerical experiments which validate our theoretical results.

Review text

Gaussian random fields (GRFs) are used frequently for many applications in spatial statistics and uncertainty quantification. Therefore, efficient simulation of GRFs is needed at unstructured locations in various possibly non-convex Euclidean domains. In this work, Sobolev and Hölder regularity of generalized Whittle-Matérn fields are investigated and error analysis is performed in these norms for several Galerkin approximations, including the sinc-Galerkin approximations. The authors consider a GRF~\({\mathcal L}^\beta: {\mathcal D}\times\Omega\rightarrow \mathbb{R}\), indexed by a Euclidean domain \({\mathcal D}\subset\mathbb{R}^d\), whose covariance operator is given by the negative fractional power \(L^{-2\beta}\) of a second-order elliptic differential operator \(L \colon {\mathcal D}(L) \subseteq L_2({\mathcal D}) \rightarrow L_2({\mathcal D})\) in divergence form with Dirichlet boundary conditions \[ Lu = - \nabla \cdot ( A \nabla u) + \kappa^2 u, \qquad u \in {\mathcal D} (L)\subseteq L_2({\mathcal D}). \] The convergence of spectral Galerkin methods and finite element approximations is proved in Sobolev and Hölder norms, error estimates are provided with (essentially) optimal rates. Several numerical experiments are performed for GRFs of the Whittle-Matérn class, where \(L=-\Delta + \kappa^2\) and \(\kappa \equiv \operatorname{const.}\), in 1D using sinc-Galerkin approximations generated with a conforming finite element method with first and second order polynomials, and in 2D anisotropic, non-stationary generalized Whittle-Matérn fields, which validate the theoretical convergence orders ad error estimates.

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Cited in

(23)

• Equivalence of measures and asymptotically optimal linear prediction for Gaussian random fields with fractional-order covariance operators
• Generalized Whittle–Matérn random field as a model of correlated fluctuations
• Sparse approximations of fractional Matérn fields
• Finite element representations of Gaussian processes: balancing numerical and statistical accuracy
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• Multilevel approximation of Gaussian random fields: fast simulation
• Covariance regularity and \(\mathcal {H}\)-matrix approximation for rough random fields
• Analysis of Boundary Effects on PDE-Based Sampling of Whittle--Matérn Random Fields
• Hilbert–Schmidt regularity of symmetric integral operators on bounded domains with applications to SPDE approximations
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• Theoretical Guarantees for the Statistical Finite Element Method
• Gaussian Whittle-Matérn fields on metric graphs
• Covariance–Based Rational Approximations of Fractional SPDEs for Computationally Efficient Bayesian Inference
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• Dirichlet-Neumann averaging: the DNA of efficient Gaussian process simulation
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