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

DOI10.1137/16M1082597MaRDI QIDQ4600832zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Quasi-Monte Carlo integration with product weights for elliptic PDEs with log-normal coefficients
• Multilevel quasi-Monte Carlo integration with product weights for elliptic PDEs with lognormal coefficients
• scientific article; zbMATH DE number 2051226
• Multilevel QMC with product weights for affine-parametric, elliptic PDEs
• scientific article; zbMATH DE number 1103085
• Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications
• QMC algorithms with product weights for lognormal-parametric, elliptic PDEs
• scientific article; zbMATH DE number 4082826

Cites work

• scientific article; zbMATH DE number 3678487 (Why is no real title available?)
• Analytic regularity and polynomial approximation of parametric and stochastic elliptic PDE's
• Bounds on Walsh coefficients by dyadic difference and a new Koksma-Hlawka type inequality for quasi-Monte Carlo integration
• Computational higher order quasi-Monte Carlo integration
• Convergence rates of best \(N\)-term Galerkin approximations for a class of elliptic SPDEs
• Dimension truncation in QMC for affine-parametric operator equations
• Fast QMC matrix-vector multiplication
• Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
• Fast component-by-component construction of rank-1 lattice rules with a non-prime number of points
• Function spaces and wavelets on domains
• High-dimensional integration: The quasi-Monte Carlo way
• High-order Galerkin approximations for parametric second-order elliptic partial differential equations
• Higher order QMC Petrov-Galerkin discretization for affine parametric operator equations with random field inputs
• Multi-level quasi-Monte Carlo finite element methods for a class of elliptic PDEs with random coefficients
• Multilevel QMC with product weights for affine-parametric, elliptic PDEs
• Multilevel higher order QMC Petrov-Galerkin discretization for affine parametric operator equations
• QMC Galerkin discretization of parametric operator equations
• Quasi-Monte Carlo finite element methods for a class of elliptic partial differential equations with random coefficients
• Quasi-Monte Carlo methods for high-dimensional integration: the standard (weighted Hilbert space) setting and beyond
• Sparse adaptive Taylor approximation algorithms for parametric and stochastic elliptic PDEs
• Sparse polynomial approximation of parametric elliptic PDEs. Part I: affine coefficients
• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?

Cited in

(20)

• Multilevel approximation of Gaussian random fields: fast simulation
• 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

This page was built for publication: Quasi--Monte Carlo Integration for Affine-Parametric, Elliptic PDEs: Local Supports and Product Weights

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4600832)