On polynomial chaos expansion via gradient-enhanced _1-minimization

DOI10.1016/J.JCP.2015.12.049MaRDI QIDQ2375016zbMATH OpenOpenAlexFDO

Authors Ji Peng, Jerrad Hampton, Alireza Doostan

Publication date 5 December 2016

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.00343

zbMATH Keywords

\(\ell_1\)-minimizationcompressive samplinggradient-enhanced \(\ell_1\)-minimizationpolynomial chaossparse approximationstochastic PDEsuncertainty quantification

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Abstract: Gradient-enhanced Uncertainty Quantification (UQ) has received recent attention, in which the derivatives of a Quantity of Interest (QoI) with respect to the uncertain parameters are utilized to improve the surrogate approximation. Polynomial chaos expansions (PCEs) are often employed in UQ, and when the QoI can be represented by a sparse PCE, $el{l}_1$-minimization can identify the PCE coefficients with a relatively small number of samples. In this work, we investigate a gradient-enhanced $el{l}_1$-minimization, where derivative information is computed to accelerate the identification of the PCE coefficients. For this approach, stability and convergence analysis are lacking, and thus we address these here with a probabilistic result. In particular, with an appropriate normalization, we show the inclusion of derivative information will almost-surely lead to improved conditions, e.g. related to the null-space and coherence of the measurement matrix, for a successful solution recovery. Further, we demonstrate our analysis empirically via three numerical examples: a manufactured PCE, an elliptic partial differential equation with random inputs, and a plane Poiseuille flow with random boundaries. These examples all suggest that including derivative information admits solution recovery at reduced computational cost.

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