ON THE OPTIMAL POLYNOMIAL APPROXIMATION OF STOCHASTIC PDES BY GALERKIN AND COLLOCATION METHODS

DOI10.1142/S0218202512500236zbMath1262.65009MaRDI QIDQ3166761

Fabio Nobile, Raúl Tempone, Joakim Beck, Lorenzo Tamellini

Publication date: 15 October 2012

Published in: Mathematical Models and Methods in Applied Sciences (Search for Journal in Brave)

zbMATH Keywords

convergence; numerical examples; sparse grids; uncertainty quantification; multivariate polynomial approximation; linear elliptic equations; stochastic coefficients; stochastic collocation methods; stochastic Galerkin methods; Smolyak approximation; best M-terms polynomial approximation

Mathematics Subject Classification ID

65N35: Spectral, collocation and related methods 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

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

A Posteriori Error Estimation for the Stochastic Collocation Finite Element Method, A novel Monte Carlo approach to hybrid local volatility models, Stochastic finite element methods for partial differential equations with random input data, Linear collective collocation approximation for parametric and stochastic elliptic PDEs, Multilevel approximation of parametric and stochastic PDES, Convergence rates of high dimensional Smolyak quadrature, An Adaptive Stochastic Galerkin Tensor Train Discretization for Randomly Perturbed Domains, A mixed ℓ₁ regularization approach for sparse simultaneous approximation of parameterized PDEs, Multilevel Quadrature for Elliptic Parametric Partial Differential Equations in Case of Polygonal Approximations of Curved Domains, The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions, Discrete least squares polynomial approximation with random evaluations − application to parametric and stochastic elliptic PDEs, Error Analysis of the Dynamically Orthogonal Approximation of Time Dependent Random PDEs, Reproducing Kernel Hilbert Spaces for Parametric Partial Differential Equations, Uncertainty Quantification for PDEs with Anisotropic Random Diffusion, Fully Discrete Approximation of Parametric and Stochastic Elliptic PDEs, Least Squares Approximation of Polynomial Chaos Expansions With Optimized Grid Points, N-TERM WIENER CHAOS APPROXIMATION RATES FOR ELLIPTIC PDEs WITH LOGNORMAL GAUSSIAN RANDOM INPUTS, Multilevel Accelerated Quadrature for PDEs with Log-Normally Distributed Diffusion Coefficient, Hyperbolic cross approximation in infinite dimensions, Convergence of quasi-optimal sparse-grid approximation of Hilbert-space-valued functions: Application to random elliptic PDEs, Numerical quadrature for high-dimensional singular integrals over parallelotopes, Convergence of quasi-optimal stochastic Galerkin methods for a class of PDES with random coefficients, High-order methods as an alternative to using sparse tensor products for stochastic Galerkin FEM, Analysis of the domain mapping method for elliptic diffusion problems on random domains, A weighted \(\ell_1\)-minimization approach for sparse polynomial chaos expansions, High-dimensional adaptive sparse polynomial interpolation and applications to parametric PDEs, Analysis of discrete \(L^2\) projection on polynomial spaces with random evaluations, Comparison between reduced basis and stochastic collocation methods for elliptic problems, Tensor networks and hierarchical tensors for the solution of high-dimensional partial differential equations, Multi-index stochastic collocation convergence rates for random PDEs with parametric regularity, Global sensitivity analysis through polynomial chaos expansion of a basin-scale geochemical compaction model, Enhancing \(\ell_1\)-minimization estimates of polynomial chaos expansions using basis selection, Novel results for the anisotropic sparse grid quadrature, Numerical solution of the homogeneous Neumann boundary value problem on domains with a thin layer of random thickness, Fast Bayesian optimal experimental design for seismic source inversion, \(\varepsilon\)-dimension in infinite dimensional hyperbolic cross approximation and application to parametric elliptic PDEs, Uncertainty quantification in discrete fracture network models: stochastic fracture transmissivity, Analysis and computation of the elastic wave equation with random coefficients, Multilevel methods for uncertainty quantification of elliptic PDEs with random anisotropic diffusion, Multi-index stochastic collocation for random PDEs, Uncertainty quantification of geochemical and mechanical compaction in layered sedimentary basins, Risk-averse structural topology optimization under random fields using stochastic expansion methods, An improved discrete least-squares/reduced-basis method for parameterized elliptic PDEs, A multilevel finite element method for Fredholm integral eigenvalue problems, Analysis of quasi-optimal polynomial approximations for parameterized PDEs with deterministic and stochastic coefficients, Fast estimation of expected information gains for Bayesian experimental designs based on Laplace approximations, Numerical Solution of the Poisson Equation on Domains with a Thin Layer of Random Thickness, A posteriori error estimation for elliptic partial differential equations with small uncertainties, Comparison of Clenshaw–Curtis and Leja Quasi-Optimal Sparse Grids for the Approximation of Random PDEs, Reduced chaos expansions with random coefficientsin reduced-dimensional stochastic modeling of coupled problems, Kolmogorov widths and low-rank approximations of parametric elliptic PDEs, Parallel Domain Decomposition Strategies for Stochastic Elliptic Equations Part B: Accelerated Monte Carlo Sampling with Local PC Expansions, Higher-Order Quasi-Monte Carlo for Bayesian Shape Inversion, A Sparse Stochastic Collocation Technique for High-Frequency Wave Propagation with Uncertainty, Stochastic Galerkin Finite Element Method with Local Conductivity Basis for Electrical Impedance Tomography

Uses Software

OPQ

Cites Work