A Multilevel Stochastic Collocation Method for Partial Differential Equations with Random Input Data

DOI10.1137/140969002zbMath1327.65014arXiv1404.2647OpenAlexW1828419635MaRDI QIDQ3452535

A. L. Teckentrup, Max D. Gunzburger, Clayton G. Webster, Peter Jantsch

Publication date: 12 November 2015

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

Full work available at URL: https://arxiv.org/abs/1404.2647

zbMATH Keywords

finite element methods sparse grids multilevel methods high-dimensional approximation uncertainty quantification multivariate polynomial approximation stochastic collocation hierarchical methods PDEs with random input data

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Numerical methods for wavelets (65T60) Numerical methods for discrete and fast Fourier transforms (65T50) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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