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.

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Cited in

(22)

• 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
• Monte Carlo convergence rates for kth moments in Banach spaces
• 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
• Regularity and numerical approximation of fractional elliptic differential equations on compact metric graphs
• Out-of-distributional risk bounds for neural operators with applications to the Helmholtz equation
• Regularity theory for a new class of fractional parabolic stochastic evolution equations
• Multilevel approximation of Gaussian random fields: covariance compression, estimation, and spatial prediction
• Numerical approximation of Gaussian random fields on closed surfaces
• Deep Gaussian process priors for Bayesian image reconstruction
• Multiple and weak Markov properties in Hilbert spaces with applications to fractional stochastic evolution equations
• Gaussian process regression under computational and epistemic misspecification
• Dirichlet-Neumann averaging: the DNA of efficient Gaussian process simulation

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