Inexact methods for symmetric stochastic eigenvalue problems

DOI10.1137/18M1176026zbMATH Open1405.65052arXiv1811.00745MaRDI QIDQ4611535FDOQ4611535

Authors: Kookjin Lee, Bedřich Sousedík 

Publication date: 21 January 2019

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

Abstract: We study two inexact methods for solutions of random eigenvalue problems in the context of spectral stochastic finite elements. In particular, given a parameter-dependent, symmetric matrix operator, the methods solve for eigenvalues and eigenvectors represented using polynomial chaos expansions. Both methods are based on the stochastic Galerkin formulation of the eigenvalue problem and they exploit its Kronecker-product structure. The first method is an inexact variant of the stochastic inverse subspace iteration [B. Soused'{i}k, H. C. Elman, SIAM/ASA Journal on Uncertainty Quantification 4(1), pp. 163--189, 2016]. The second method is based on an inexact variant of Newton iteration. In both cases, the problems are formulated so that the associated stochastic Galerkin matrices are symmetric, and the corresponding linear problems are solved using preconditioned Krylov subspace methods with several novel hierarchical preconditioners. The accuracy of the methods is compared with that of Monte Carlo and stochastic collocation, and the effectiveness of the methods is illustrated by numerical experiments.

Full work available at URL: https://arxiv.org/abs/1811.00745

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zbMATH Keywords

eigenvaluesinverse iterationNewton iterationsubspace iterationstochastic spectral finite element method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Numerical solutions to stochastic differential and integral equations (65C30) Numerical solution of discretized equations for boundary value problems involving PDEs (65N22) Numerical solutions to inverse eigenvalue problems (65F18)

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Cited In (11)

• Iterative solution of the random eigenvalue problem with application to spectral stochastic finite element systems
• Low-rank solution methods for stochastic eigenvalue problems
• Asymptotic convergence of spectral inverse iterations for stochastic eigenvalue problems
• An efficient reduced‐order method for stochastic eigenvalue analysis
• Efficient stochastic modal decomposition methods for structural stochastic static and dynamic analyses
• Block-diagonal preconditioning for spectral stochastic finite-element systems
• Stochastic Galerkin Methods for Linear Stability Analysis of Systems with Parametric Uncertainty
• A method for solving stochastic eigenvalue problems
• A low-rank inexact Newton-Krylov method for stochastic eigenvalue problems
• Approximate methods for stochastic eigenvalue problems
• On surrogate learning for linear stability assessment of Navier-Stokes equations with stochastic viscosity.

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