Multilevel Higher Order QMC Petrov--Galerkin Discretization for Affine Parametric Operator Equations

DOI10.1137/16M1078690zbMath1347.65012arXiv1406.4432MaRDI QIDQ2817781

Josef Dick, Christoph Schwab, Frances Y. Kuo, Quoc Thong Le Gia

Publication date: 2 September 2016

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.4432

zbMATH Keywords

algorithm; convergence; error bound; numerical experiment; multilevel methods; quasi-Monte Carlo methods; Petrov-Galerkin discretization; Karhunen-Loève eigenfunctions; interlaced polynomial lattice rules; higher-order digital nets; affine parametric operator equations

Mathematics Subject Classification ID

65C05: Monte Carlo methods

65N15: Error bounds for boundary value problems involving PDEs

65N12: Stability and convergence of numerical methods for boundary value problems involving PDEs

65N30: Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

35R60: PDEs with randomness, stochastic partial differential equations

65C30: Numerical solutions to stochastic differential and integral equations

35J47: Second-order elliptic systems

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