Accelerating stochastic collocation methods for partial differential equations with random input data

DOI10.1137/15M1019568zbMATH Open1352.65499arXiv1505.00680OpenAlexW2963283735MaRDI QIDQ3179322FDOQ3179322

Author name not available (Why is that?)

Publication date: 21 December 2016

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1505.00680

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zbMATH Keywords

uncertainty quantificationconjugate gradient methoditerative solverssparse gridsstochastic collocationhigh-dimensional approximationstochastic and parametric PDEs

Mathematics Subject Classification ID

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)

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Cited In (14)

• Implementation of optimal Galerkin and collocation approximations of PDEs with random coefficients
• Numerical analysis of a second order ensemble algorithm for numerical approximation of stochastic Stokes-Darcy equations
• Convergence of quasi-optimal sparse-grid approximation of Hilbert-space-valued functions: Application to random elliptic PDEs
• Accelerated Spatial Approximations for Time Discretized Stochastic Partial Differential Equations
• Simplex-stochastic collocation method with improved scalability
• A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data
• Strong convergence analysis of iterative solvers for random operator equations
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• Ensemble Grouping Strategies for Embedded Stochastic Collocation Methods Applied to Anisotropic Diffusion Problems
• Surrogate-Based Ensemble Grouping Strategies for Embedded Sampling-Based Uncertainty Quantification
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• A Stochastic Collocation Method for Delay Differential Equations with Random Input
• A stochastic Galerkin method for Maxwell equations with uncertainty
• Error Analysis of a Stochastic Collocation Method for Parabolic Partial Differential Equations with Random Input Data

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