A MULTIMODES MONTE CARLO FINITE ELEMENT METHOD FOR ELLIPTIC PARTIAL DIFFERENTIAL EQUATIONS WITH RANDOM COEFFICIENTS

DOI10.1615/INT.J.UNCERTAINTYQUANTIFICATION.2016016805MaRDI QIDQ5052289zbMATH OpenFDO

Authors Xiaobing Feng, Junshan Lin, Cody Lorton

Publication date 24 November 2022

Published in International Journal for Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1603.08858

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Random operators and equations (aspects of stochastic analysis) (60H25) Monte Carlo methods (65C05) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75)

Abstract: This paper develops and analyzes an efficient numerical method for solving elliptic partial differential equations, where the diffusion coefficients are random perturbations of deterministic diffusion coefficients. The method is based upon a multi-modes representation of the solution as a power series of the perturbation parameter, and the Monte Carlo technique for sampling the probability space. One key feature of the proposed method is that the governing equations for all the expanded mode functions share the same deterministic diffusion coefficients, thus an efficient direct solver by repeated use of the $LU$ decomposition matrices can be employed for solving the finite element discretized linear systems. It is shown that the computational complexity of the whole algorithm is comparable to that of solving a few deterministic elliptic partial differential equations using the $LU$ director solver. Error estimates are derived for the method, and numerical experiments are provided to test the efficiency of the algorithm and validate the theoretical results.

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• Efficient multimodes Monte Carlo method for structural topology optimization with random uncertainties
• A high-order perturbation of envelopes (HOPE) method for vector electromagnetic scattering by periodic inhomogeneous media: joint analyticity
• An ensemble-based efficient iterative method for uncertainty quantification of partial differential equations with random inputs
• A high-order perturbation of envelopes (HOPE) method for vector electromagnetic scattering by periodic inhomogeneous media: analytic continuation
• An efficient RVE-EMC approach for multiscale equations of random heterogeneous materials
• A multi-mode expansion method for boundary optimal control problems constrained by random Poisson equations
• Efficient numerical methods for elliptic optimal control problems with random coefficient

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