Quasi-Monte Carlo finite element methods for elliptic PDEs with lognormal random coefficients

DOI10.1007/S00211-014-0689-YzbMATH Open1341.65003OpenAlexW2051344283MaRDI QIDQ495544FDOQ495544

Authors: J. A. Nichols, Christoph Schwab, I. G. Graham, F. Y. Kuo, Robert Scheichl, Ian H. Sloan 

Publication date: 14 September 2015

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-014-0689-y

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zbMATH Keywords

Gaussian random fieldconvergenceuncertainty quantificationfinite element methodelliptic PDEsrandom coefficientsdiffusion problemquasi-Monte Carlo method

Mathematics Subject Classification ID

Random fields (60G60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Boundary value problems for second-order elliptic equations (35J25) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)

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• \(N\)-term Wiener chaos approximation rates for elliptic PDEs with lognormal Gaussian random inputs
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Cited In (93)

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• Approximation of high-dimensional periodic functions with Fourier-based methods
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• Learning multivariate functions with low-dimensional structures using polynomial bases
• Proper orthogonal decomposition method for multiscale elliptic PDEs with random coefficients
• Circulant embedding with QMC: analysis for elliptic PDE with lognormal coefficients
• Low-Rank Tensor Approximation for High-Order Correlation Functions of Gaussian Random Fields
• Fast CBC construction of randomly shifted lattice rules achieving \(\mathcal{O}(n^{- 1 + \delta})\) convergence for unbounded integrands over \(\mathbb{R}^s\) in weighted spaces with POD weights
• Fast QMC matrix-vector multiplication
• Sparse Quadrature as an Alternative to Monte Carlo for Stochastic Finite Element Techniques
• Multi-level quasi-Monte Carlo finite element methods for a class of elliptic PDEs with random coefficients
• Numerical analysis of lognormal diffusions on the sphere
• On some distributional properties of subordinated Gaussian random fields
• Quasi-Monte Carlo Bayesian estimation under Besov priors in elliptic inverse problems
• Advances in Gaussian random field generation: a review
• Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications
• Analysis of quasi-Monte Carlo methods for elliptic eigenvalue problems with stochastic coefficients
• Lattice algorithms for multivariate approximation in periodic spaces with general weight parameters
• Numerical analysis for time-dependent advection-diffusion problems with random discontinuous coefficients
• Convergence rates of high dimensional Smolyak quadrature
• Fast component-by-component construction of lattice algorithms for multivariate approximation with POD and SPOD weights
• A multilevel sparse kernel-based stochastic collocation finite element method for elliptic problems with random coefficients
• Fast approximation by periodic kernel-based lattice-point interpolation with application in uncertainty quantification
• Multi-level Monte Carlo finite volume methods for uncertainty quantification of acoustic wave propagation in random heterogeneous layered medium
• Data-free likelihood-informed dimension reduction of Bayesian inverse problems
• Multilevel Monte Carlo estimators for elliptic PDEs with Lévy-type diffusion coefficient
• Weak truncation error estimates for elliptic PDEs with lognormal coefficients
• Quasi-Monte Carlo finite element methods for a class of elliptic partial differential equations with random coefficients
• Multilevel accelerated quadrature for PDEs with log-normally distributed diffusion coefficient
• Optimal multilevel randomized quasi-Monte-Carlo method for the stochastic drift-diffusion-Poisson system
• QMC Galerkin discretization of parametric operator equations
• Novel results for the anisotropic sparse grid quadrature
• Representations of Gaussian random fields and approximation of elliptic PDEs with lognormal coefficients
• Sparse quadrature for high-dimensional integration with Gaussian measure
• Multilevel quasi-Monte Carlo integration with product weights for elliptic PDEs with lognormal coefficients
• Interpretable approximation of high-dimensional data
• The uniform sparse FFT with application to PDEs with random coefficients
• Quasi-randomized numerical methods for systems with coefficients of bounded variation
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• MDFEM: multivariate decomposition finite element method for elliptic PDEs with uniform random diffusion coefficients using higher-order QMC and FEM
• A Multilevel Monte Carlo Algorithm for Parabolic Advection-Diffusion Problems with Discontinuous Coefficients
• Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation
• Three kinds of discrete approximations of statistical multivariate distributions and their applications
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• Analysis of Circulant Embedding Methods for Sampling Stationary Random Fields
• Uncertainty quantification for PDEs with anisotropic random diffusion
• A model reduction method for multiscale elliptic PDEs with random coefficients using an optimization approach
• A distributed active subspace method for scalable surrogate modeling of function valued outputs
• Infinite-dimensional integration and the multivariate decomposition method
• Subordinated Gaussian random fields in elliptic partial differential equations
• Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems
• QMC algorithms with product weights for lognormal-parametric, elliptic PDEs
• Multilevel Markov chain Monte Carlo for Bayesian inversion of parabolic partial differential equations under Gaussian prior
• Mixed finite element analysis of lognormal diffusion and multilevel Monte Carlo methods
• QMC integration for lognormal-parametric, elliptic PDEs: local supports and product weights
• The Wick-Malliavin approximation of elliptic problems with log-normal random coefficients
• A multi-index quasi-Monte Carlo algorithm for lognormal diffusion problems
• On expansions and nodes for sparse grid collocation of lognormal elliptic PDEs
• Multilevel QMC with product weights for affine-parametric, elliptic PDEs
• On the quasi-Monte Carlo method with halton points for elliptic PDEs with log-normal diffusion
• Quasi-Monte Carlo and multilevel Monte Carlo methods for computing posterior expectations in elliptic inverse problems
• MDFEM: multivariate decomposition finite element method for elliptic PDEs with lognormal diffusion coefficients using higher-order QMC and FEM
• A multiscale reduced basis method for the Schrödinger equation with multiscale and random potentials
• A data-driven and model-based accelerated Hamiltonian Monte Carlo method for Bayesian elliptic inverse problems
• Analysis and application of single level, multi-level Monte Carlo and quasi-Monte Carlo finite element methods for time-dependent Maxwell's equations with random inputs
• Goal-oriented adaptive finite element multilevel Monte Carlo with convergence rates
• Ian Sloan and Lattice Rules
• Multilevel quasi-Monte Carlo for optimization under uncertainty
• Multilevel Quasi Monte Carlo Methods for Elliptic PDEs with Random Field Coefficients via Fast White Noise Sampling
• Unified Analysis of Periodization-Based Sampling Methods for Matérn Covariances
• Suboptimality of Gauss–Hermite Quadrature and Optimality of the Trapezoidal Rule for Functions with Finite Smoothness
• A data-driven approach for multiscale elliptic PDEs with random coefficients based on intrinsic dimension reduction
• A QMC-Spectral Method for Elliptic PDEs with Random Coefficients on the Unit Sphere
• Extrapolated polynomial lattice rule integration in computational uncertainty quantification
• On properties and applications of Gaussian subordinated Lévy fields
• A quasi Monte Carlo-based model reduction method for solving Helmholtz equation in random media
• Generalized dimension truncation error analysis for high-dimensional numerical integration: lognormal setting and beyond
• Analyticity of parametric elliptic eigenvalue problems and applications to quasi-Monte Carlo methods
• Uncertainty quantification for random domains using periodic random variables
• Multilevel approximation of Gaussian random fields: covariance compression, estimation, and spatial prediction
• Uncertainty quantification for low-frequency, time-harmonic Maxwell equations with stochastic conductivity models
• Numerical methods for the deterministic second moment equation of parabolic stochastic PDEs
• A Quasi-Monte Carlo Method for Optimal Control Under Uncertainty
• Complexity analysis of quasi continuous level Monte Carlo
• Risk-neutral PDE-constrained generalized Nash equilibrium problems
• Analysis and application of stochastic collocation methods for Maxwell's equations with random inputs
• Application of high-credible statistical results calculation scheme based on least squares quasi-Monte Carlo method in multimodal stochastic problems
• Consistent inference for diffusions from low frequency measurements
• Error Estimate of a Quasi-Monte Carlo Time-Splitting Pseudospectral Method for Nonlinear Schrödinger Equation with Random Potentials

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