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

DOI10.1007/S00211-020-01151-XzbMATH Open1455.65210OpenAlexW3099807896MaRDI QIDQ2217871FDOQ2217871

Authors: Sonja Cox, Kristin Kirchner 

Publication date: 11 January 2021

Published in: Numerische Mathematik (Search for Journal in Brave)

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.

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

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zbMATH Keywords

Gaussian random fieldregularityspectral Galerkin methods

Mathematics Subject Classification ID

Random fields (60G60) Smoothness and regularity of solutions to PDEs (35B65) Fractional partial differential equations (35R11) PDEs with randomness, stochastic partial differential equations (35R60) 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)

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• Sparse approximations of fractional Matérn fields
• Finite element representations of Gaussian processes: balancing numerical and statistical accuracy
• Regularity theory for a new class of fractional parabolic stochastic evolution equations
• Monte Carlo convergence rates for \(k\)th moments in Banach spaces
• Theoretical Guarantees for the Statistical Finite Element Method
• Multilevel approximation of Gaussian random fields: covariance compression, estimation, and spatial prediction
• Surface Finite Element Approximation of Spherical Whittle--Matérn Gaussian Random Fields
• Gaussian Whittle-Matérn fields on metric graphs
• Equivalence of measures and asymptotically optimal linear prediction for Gaussian random fields with fractional-order covariance operators
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• Covariance regularity and \(\mathcal {H}\)-matrix approximation for rough random fields
• Multilevel approximation of Gaussian random fields: fast simulation

Uses Software

• Stem
• AS 312

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