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

DOI10.1137/16M1082597zbMath1378.65072OpenAlexW2782466637MaRDI QIDQ4600832

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

error estimatesquasi-Monte Carlo methodsuncertainty quantificationhigh-dimensional quadratureelliptic partial differential equations with random input

Mathematics Subject Classification ID

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

Related Items

Higher-Order Quasi-Monte Carlo for Bayesian Shape Inversion, Adaptive quasi-Monte Carlo finite element methods for parametric elliptic PDEs, Extrapolated Polynomial Lattice Rule Integration in Computational Uncertainty Quantification, Multilevel approximation of Gaussian random fields: Fast simulation, Analyticity of parametric elliptic eigenvalue problems and applications to quasi-Monte Carlo methods, Multilevel Quasi-Monte Carlo Uncertainty Quantification for Advection-Diffusion-Reaction, Constructing QMC Finite Element Methods for Elliptic PDEs with Random Coefficients by a Reduced CBC Construction, Multilevel QMC with Product Weights for Affine-Parametric, Elliptic PDEs, QMC integration for lognormal-parametric, elliptic PDEs: local supports and product weights, Quasi-Monte Carlo Finite Element Analysis for Wave Propagation in Heterogeneous Random Media, Estimation of the covariance function of Gaussian isotropic random fields on spheres, related Rosenblatt-type distributions and the cosmic variance problem, MDFEM: multivariate decomposition finite element method for elliptic PDEs with uniform random diffusion coefficients using higher-order QMC and FEM, Multilevel quasi-Monte Carlo integration with product weights for elliptic PDEs with lognormal coefficients, 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, Uncertainty Quantification for Spectral Fractional Diffusion: Sparsity Analysis of Parametric Solutions

Cites Work

• Unnamed Item
• Convergence rates of best \(N\)-term Galerkin approximations for a class of elliptic SPDEs
• Function spaces and wavelets on domains
• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
• Dimension truncation in QMC for affine-parametric operator equations
• Multi-level quasi-Monte Carlo finite element methods for a class of elliptic PDEs with random coefficients
• Bounds on Walsh coefficients by dyadic difference and a new Koksma-Hlawka type inequality for quasi-Monte Carlo integration
• Fast component-by-component construction of rank-1 lattice rules with a non-prime number of points
• Multilevel Higher Order QMC Petrov--Galerkin Discretization for Affine Parametric Operator Equations
• 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
• QMC Galerkin Discretization of Parametric Operator Equations
• Computational Higher Order Quasi-Monte Carlo Integration
• Sparse polynomial approximation of parametric elliptic PDEs. Part I: affine coefficients
• ANALYTIC REGULARITY AND POLYNOMIAL APPROXIMATION OF PARAMETRIC AND STOCHASTIC ELLIPTIC PDE'S
• Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
• Multilevel QMC with Product Weights for Affine-Parametric, Elliptic PDEs
• Quasi-Monte Carlo Finite Element Methods for a Class of Elliptic Partial Differential Equations with Random Coefficients
• Higher Order QMC Petrov--Galerkin Discretization for Affine Parametric Operator Equations with Random Field Inputs
• Fast QMC Matrix-Vector Multiplication
• HIGH-ORDER GALERKIN APPROXIMATIONS FOR PARAMETRIC SECOND-ORDER ELLIPTIC PARTIAL DIFFERENTIAL EQUATIONS
• High-dimensional integration: The quasi-Monte Carlo way