Accelerating stochastic collocation methods for partial differential equations with random input data
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Publication:3179322
uncertainty quantificationconjugate gradient methoditerative solverssparse gridsstochastic collocationhigh-dimensional approximationstochastic and parametric PDEs
Probabilistic models, generic numerical methods in probability and statistics (65C20) 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: This work proposes and analyzes a generalized acceleration technique for decreasing the computational complexity of using stochastic collocation (SC) methods to solve partial differential equations (PDEs) with random input data. The SC approaches considered in this effort consist of sequentially constructed multi-dimensional Lagrange interpolant in the random parametric domain, formulated by collocating on a set of points so that the resulting approximation is defined in a hierarchical sequence of polynomial spaces of increasing fidelity. Our acceleration approach exploits the construction of the SC interpolant to accelerate the underlying ensemble of deterministic solutions. Specifically, we predict the solution of the parametrized PDE at each collocation point on the current level of the SC approximation by evaluating each sample with a previously assembled lower fidelity interpolant, and then use such predictions to provide deterministic (linear or nonlinear) iterative solvers with improved initial approximations. As a concrete example, we develop our approach in the context of SC approaches that employ sparse tensor products of globally defined Lagrange polynomials on nested one-dimensional Clenshaw-Curtis abscissas. This work also provides a rigorous computational complexity analysis of the resulting fully discrete sparse grid SC approximation, with and without acceleration, which demonstrates the effectiveness of our proposed methodology in reducing the total number of iterations of a conjugate gradient solution of the finite element systems at each collocation point. Numerical examples include both linear and nonlinear parametrized PDEs, which are used to illustrate the theoretical results and the improved efficiency of this technique compared with several others.
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Cited in
(16)- Multi-index stochastic collocation for random PDEs
- Accelerated Spatial Approximations for Time Discretized Stochastic Partial Differential Equations
- Numerical analysis of a second order ensemble algorithm for numerical approximation of stochastic Stokes-Darcy equations
- Ensemble grouping strategies for embedded stochastic collocation methods applied to anisotropic diffusion problems
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- Simplex-stochastic collocation method with improved scalability
- Surrogate-Based Ensemble Grouping Strategies for Embedded Sampling-Based Uncertainty Quantification
- A Stochastic Collocation Method for Delay Differential Equations with Random Input
- Error Analysis of a Stochastic Collocation Method for Parabolic Partial Differential Equations with Random Input Data
- A stochastic Galerkin method for Maxwell equations with uncertainty
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