Mixed finite element analysis of lognormal diffusion and multilevel Monte Carlo methods

DOI10.1007/S40072-015-0051-0zbMATH Open1371.65008arXiv1312.6047OpenAlexW1608887775MaRDI QIDQ507013FDOQ507013

Authors: I. G. Graham, Robert Scheichl, Elisabeth Ullmann 

Publication date: 3 February 2017

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Abstract: This work is motivated by the need to develop efficient tools for uncertainty quantification in subsurface flows associated with radioactive waste disposal studies. We consider single phase flow problems in random porous media described by correlated lognormal distributions. We are interested in the error introduced by a finite element discretisation of these problems. In contrast to several recent works on the analysis of standard nodal finite element discretisations, we consider here mass-conservative lowest order Raviart-Thomas mixed finite elements. This is very important since local mass conservation is highly desirable in realistic groundwater flow problems. Due to the limited spatial regularity and the lack of uniform ellipticity and boundedness of the operator the analysis is non-trivial in the presence of lognormal random fields. We establish finite element error bounds for Darcy velocity and pressure, as well as for a more accurate recovered pressure approximation. We then apply the error bounds to prove convergence of the multilevel Monte Carlo algorithm for estimating statistics of these quantities. Moreover, we prove convergence for a class of bounded, linear functionals of the Darcy velocity. An important special case is the approximation of the effective permeability in a 2D flow cell. We perform numerical experiments to confirm the convergence results.

Full work available at URL: https://arxiv.org/abs/1312.6047

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zbMATH Keywords

convergencenumerical experimentfluid flowmultilevel Monte Carlomixed finite elementslognormal random fieldsrandom porous media

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) 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) Error bounds for boundary value problems involving PDEs (65N15) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Stochastic analysis applied to problems in fluid mechanics (76M35) Flows in porous media; filtration; seepage (76S05)

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Cited In (20)

• Multilevel Monte Carlo Analysis for Optimal Control of Elliptic PDEs with Random Coefficients
• Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
• Circulant embedding with QMC: analysis for elliptic PDE with lognormal coefficients
• Mixed finite element method for the heat diffusion equation in a random medium
• Improved Efficiency of a Multi-Index FEM for Computational Uncertainty Quantification
• Numerical analysis of lognormal diffusions on the sphere
• Uncertainty modeling and propagation for groundwater flow: a comparative study of surrogates
• Nonconforming Mixed FEM Analysis for Multi-Term Time-Fractional Mixed Sub-Diffusion and Diffusion-Wave Equation with Time-Space Coupled Derivative
• Monte Carlo convergence rates for \(k\)th moments in Banach spaces
• Multi-index stochastic collocation convergence rates for random PDEs with parametric regularity
• Multilevel estimation of rare events
• A Hierarchical Multilevel Markov Chain Monte Carlo Algorithm with Applications to Uncertainty Quantification in Subsurface Flow
• Multilevel Markov Chain Monte Carlo
• Computable error estimates for finite element approximations of elliptic partial differential equations with rough stochastic data
• Solving Log-Transformed Random Diffusion Problems by Stochastic Galerkin Mixed Finite Element Methods
• Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems
• The multi-level Monte Carlo finite element method for a stochastic Brinkman problem
• Two guaranteed equilibrated error estimators for harmonic formulations in eddy current problems
• Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling
• Efficient reduced basis methods for saddle point problems with applications in groundwater flow

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