Multilevel Monte Carlo finite difference methods for fractional conservation laws with random data

DOI10.1137/19M1279447MaRDI QIDQ5149779zbMATH OpenOpenAlexFDO

Authors U. Koley, Deep Ray, T. Sarkar

Publication date 8 February 2021

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

Full work available at URL https://arxiv.org/abs/2010.00537

zbMATH Keywords

multilevel Monte Carlo methodsdegenerate convection-diffusion equationwork estimatesfractal conservation lawsrandom entropy solutions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Hyperbolic conservation laws (35L65) Fractional partial differential equations (35R11) PDEs with randomness, stochastic partial differential equations (35R60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

Abstract: We establish a notion of random entropy solution for degenerate fractional conservation laws incorporating randomness in the initial data, convective flux and diffusive flux. In order to quantify the solution uncertainty, we design a multi-level Monte Carlo Finite Difference Method (MLMC-FDM) to approximate the ensemble average of the random entropy solutions. Furthermore, we analyze the convergence rates for MLMC-FDM and compare it with the convergence rates for the deterministic case. Additionally, we formulate error vs. work estimates for the multi-level estimator. Finally, we present several numerical experiments to demonstrate the efficiency of these schemes and validate the theoretical estimates obtained in this work.

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Cited in

(10)

• Operator splitting for the fractional Korteweg‐de Vries equation
• A convergent finite volume scheme for the stochastic barotropic compressible Euler equations
• Stability and convergence analysis of a Crank-Nicolson Galerkin scheme for the fractional Korteweg-de Vries equation
• A multilevel Monte Carlo ensemble and hybridizable discontinuous Galerkin method for a stochastic parabolic problem
• A fractional degenerate parabolic-hyperbolic Cauchy problem with noise
• Convergence of a spectral method for the stochastic incompressible Euler equations
• Stochastic degenerate fractional conservation laws
• Fully discrete finite difference schemes for the fractional Korteweg-de Vries equation
• A multilevel Monte Carlo finite difference method for random scalar degenerate convection-diffusion equations
• Monte Carlo finite volume element methods for the convection-diffusion equation with a random diffusion coefficient

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