Convergence of Sparse Collocation for Functions of Countably Many Gaussian Random Variables (with Application to Elliptic PDEs)

DOI10.1137/17M1123079OpenAlexW2606283473WikidataQ130039823 ScholiaQ130039823MaRDI QIDQ4637512FDOQ4637512

Authors: Oliver G. Ernst, Björn Sprungk, L. Tamellini 

Publication date: 24 April 2018

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

Full work available at URL: https://arxiv.org/abs/1611.07239

zbMATH Keywords

parametric PDEssparse gridsstochastic collocationhigh-dimensional approximationrandom PDEshigh-dimensional interpolationbest-\(N\)-term approximationGauss-Hermite pointslognormal diffusion coefficient

Mathematics Subject Classification ID

Numerical interpolation (65D05) Numerical solutions to stochastic differential and integral equations (65C30) Algorithms for approximation of functions (65D15) Random operators and equations (aspects of stochastic analysis) (60H25)

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Cited In (18)

• Sparse-grid polynomial interpolation approximation and integration for parametric and stochastic elliptic PDEs with lognormal inputs
• Collocation approximation by deep neural ReLU networks for parametric and stochastic PDEs with lognormal inputs
• Sparse polynomial approximations for affine parametric saddle point problems
• Uncertainty quantification analysis in discrete fracture network flow simulations
• On the convergence of adaptive stochastic collocation for elliptic partial differential equations with affine diffusion
• A combination technique for optimal control problems constrained by random PDEs
• Uncertainty modeling and propagation for groundwater flow: a comparative study of surrogates
• Algorithm 1040: the Sparse Grids Matlab Kit -- a Matlab implementation of sparse grids for high-dimensional function approximation and uncertainty quantification
• Deep ReLU neural network approximation in Bochner spaces and applications to parametric PDEs
• Convergence of Sparse Collocation for Functions of Countably Many Gaussian Random Variables (with Application to Elliptic PDEs)
• Sparse quadrature for high-dimensional integration with Gaussian measure
• Uncertainty quantification for low-frequency, time-harmonic Maxwell equations with stochastic conductivity models
• Domain uncertainty quantification in computational electromagnetics
• Exploiting locality in sparse polynomial approximation of parametric elliptic PDEs and application to parameterized domains
• IGA-based multi-index stochastic collocation for random PDEs on arbitrary domains
• PDE-constrained optimal control problems with uncertain parameters using SAGA
• On expansions and nodes for sparse grid collocation of lognormal elliptic PDEs
• Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing

Uses Software

• PATSYM
• HRMSYM

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