Efficient approximation of random fields for numerical applications

DOI10.1002/nla.1976zbMath1349.65048OpenAlexW1851937217MaRDI QIDQ3466257

M. Siebenmorgen, Helmut Harbrecht, Michael D. Multerer

Publication date: 1 February 2016

Published in: Numerical Linear Algebra with Applications (Search for Journal in Brave)

Full work available at URL: https://edoc.unibas.ch/70020/1/Preprint-1401.pdf

zbMATH Keywords

numerical examplesnon-local operatorserror estimaterandom fieldsstochastic collocationKarhunen-Loève expansionstochastic Galerkinpivoted Cholesky decomposition

Mathematics Subject Classification ID

Random fields (60G60) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Factorization of matrices (15A23) Numerical computation of eigenvalues and eigenvectors of matrices (65F15)

Related Items

Space-time multilevel Monte Carlo methods and their application to cardiac electrophysiology, Fast random field generation with \(H\)-matrices, A fast direct solver for nonlocal operators in wavelet coordinates, Novel results for the anisotropic sparse grid quadrature, Higher-Order Quasi-Monte Carlo for Bayesian Shape Inversion, Isogeometric analysis of diffusion problems on random surfaces, Analysis of the domain mapping method for elliptic diffusion problems on random domains, Analysis of Circulant Embedding Methods for Sampling Stationary Random Fields, Isogeometric shape optimization of periodic structures in three dimensions, Likelihood approximation with hierarchical matrices for large spatial datasets, Uncertainty Quantification for PDEs with Anisotropic Random Diffusion, Error-controlled model approximation for Gaussian process morphable models, On the quasi-Monte Carlo method with Halton points for elliptic PDEs with log-normal diffusion, Space-time Multilevel Quadrature Methods and their Application for Cardiac Electrophysiology, On Uncertainty Quantification of Eigenvalues and Eigenspaces with Higher Multiplicity, An Adaptive Stochastic Galerkin Tensor Train Discretization for Randomly Perturbed Domains, Unified Analysis of Periodization-Based Sampling Methods for Matérn Covariances, Regularity and convergence analysis in Sobolev and Hölder spaces for generalized Whittle-Matérn fields, Rapid computation of far-field statistics for random obstacle scattering, Optimization-Based Markov Chain Monte Carlo Methods for Nonlinear Hierarchical Statistical Inverse Problems, Fast sampling of parameterised Gaussian random fields, Covariance regularity and \(\mathcal {H}\)-matrix approximation for rough random fields, Multilevel Accelerated Quadrature for PDEs with Log-Normally Distributed Diffusion Coefficient, A note on the domain mapping method with rough diffusion coefficients, A matrix-free isogeometric Galerkin method for Karhunen-Loève approximation of random fields using tensor product splines, tensor contraction and interpolation based quadrature, Multilevel Quadrature for Elliptic Parametric Partial Differential Equations in Case of Polygonal Approximations of Curved Domains, Multilevel methods for uncertainty quantification of elliptic PDEs with random anisotropic diffusion, Improved Efficiency of a Multi-Index FEM for Computational Uncertainty Quantification, Analysis of Boundary Effects on PDE-Based Sampling of Whittle--Matérn Random Fields, Tucker tensor analysis of Matérn functions in spatial statistics, Improved efficiency of multilevel Monte Carlo for stochastic PDE through strong pairwise coupling

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the low-rank approximation by the pivoted Cholesky decomposition
• Galerkin methods for linear and nonlinear elliptic stochastic partial differential equations
• Approximation theory in tensor product spaces
• Quadrature for \(hp\)-Galerkin BEM in \(\mathbb{R}^3\)
• Adaptive low-rank approximation of collocation matrices
• Approximation of boundary element matrices
• Finite elements for elliptic problems with stochastic coefficients
• Cluster robust error estimates for the Rayleigh-Ritz approximation. I: Estimates for invariant subspaces
• Computational aspects of the stochastic finite element method
• Comparison of fast boundary element methods on parametric surfaces
• Karhunen-Loève approximation of random fields by generalized fast multipole methods
• Numerical Methods for Large Eigenvalue Problems
• Sparse tensor discretizations of high-dimensional parametric and stochastic PDEs
• Hierarchische Matrizen
• Implicit Application of Polynomial Filters in a k-Step Arnoldi Method
• New estimates for Ritz vectors
• ARPACK Users' Guide
• Galerkin Finite Element Approximations of Stochastic Elliptic Partial Differential Equations
• Deflation Techniques for an Implicitly Restarted Arnoldi Iteration
• Accuracy and Stability of Numerical Algorithms
• Approximation of bi-variate functions: singular value decomposition versus sparse grids
• The Mathematical Theory of Finite Element Methods
• Wavelet Galerkin Schemes for Boundary Integral Equations---Implementation and Quadrature
• Compression Techniques for Boundary Integral Equations---Asymptotically Optimal Complexity Estimates
• A Theory of Cross-Spaces. (AM-26)
• A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data
• Multilevel approximation of boundary integral operators