Quasi--Monte Carlo Integration for Affine-Parametric, Elliptic PDEs: Local Supports and Product Weights

DOI10.1137/16M1082597zbMATH Open1378.65072OpenAlexW2782466637MaRDI QIDQ4600832FDOQ4600832

Authors: Robert Nicholas Gantner, Lukas Herrmann, Christoph Schwab 

Publication date: 17 January 2018

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/16m1082597

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zbMATH Keywords

quasi-Monte Carlo methodsuncertainty quantificationerror estimateshigh-dimensional quadratureelliptic partial differential equations with random input

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)

Cites Work

• Bounds on Walsh coefficients by dyadic difference and a new Koksma-Hlawka type inequality for quasi-Monte Carlo integration
• Analytic regularity and polynomial approximation of parametric and stochastic elliptic PDE's
• Title not available (Why is that?)
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• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
• QMC Galerkin discretization of parametric operator equations
• Computational higher order quasi-Monte Carlo integration
• Function spaces and wavelets on domains
• Higher order QMC Petrov-Galerkin discretization for affine parametric operator equations with random field inputs
• Convergence rates of best \(N\)-term Galerkin approximations for a class of elliptic SPDEs
• Fast component-by-component construction of rank-1 lattice rules with a non-prime number of points
• Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
• High-dimensional integration: The quasi-Monte Carlo way
• Sparse adaptive Taylor approximation algorithms for parametric and stochastic elliptic PDEs
• Quasi-Monte Carlo methods for high-dimensional integration: the standard (weighted Hilbert space) setting and beyond
• High-order Galerkin approximations for parametric second-order elliptic partial differential equations
• Sparse polynomial approximation of parametric elliptic PDEs. Part I: affine coefficients
• Multi-level quasi-Monte Carlo finite element methods for a class of elliptic PDEs with random coefficients
• Multilevel higher order QMC Petrov-Galerkin discretization for affine parametric operator equations
• Fast QMC matrix-vector multiplication
• Multilevel QMC with product weights for affine-parametric, elliptic PDEs
• Dimension truncation in QMC for affine-parametric operator equations

Cited In (20)

• Quasi-Monte Carlo integration with product weights for elliptic PDEs with log-normal coefficients
• Higher order quasi-Monte Carlo integration for holomorphic, parametric operator equations
• Higher-order quasi-Monte Carlo for Bayesian shape inversion
• Improved Efficiency of a Multi-Index FEM for Computational Uncertainty Quantification
• Fast approximation by periodic kernel-based lattice-point interpolation with application in uncertainty quantification
• Extrapolated polynomial lattice rule integration in computational uncertainty quantification
• Adaptive quasi-Monte Carlo finite element methods for parametric elliptic PDEs
• Analyticity of parametric elliptic eigenvalue problems and applications to quasi-Monte Carlo methods
• Multilevel quasi-Monte Carlo integration with product weights for elliptic PDEs with lognormal coefficients
• Higher order QMC Petrov-Galerkin discretization for affine parametric operator equations with random field inputs
• Constructing QMC Finite Element Methods for Elliptic PDEs with Random Coefficients by a Reduced CBC Construction
• MDFEM: multivariate decomposition finite element method for elliptic PDEs with uniform random diffusion coefficients using higher-order QMC and FEM
• Uncertainty Quantification for Spectral Fractional Diffusion: Sparsity Analysis of Parametric Solutions
• Estimation of the covariance function of Gaussian isotropic random fields on spheres, related Rosenblatt-type distributions and the cosmic variance problem
• Quasi-Monte Carlo finite element analysis for wave propagation in heterogeneous random media
• Parabolic PDE-constrained optimal control under uncertainty with entropic risk measure using quasi-Monte Carlo integration
• QMC integration for lognormal-parametric, elliptic PDEs: local supports and product weights
• Multilevel Quasi-Monte Carlo Uncertainty Quantification for Advection-Diffusion-Reaction
• Multilevel QMC with product weights for affine-parametric, elliptic PDEs
• Multilevel approximation of Gaussian random fields: fast simulation

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