Multilevel Monte Carlo finite difference methods for fractional conservation laws with random data
From MaRDI portal
Publication:5149779
DOI10.1137/19M1279447zbMATH Open1471.65104arXiv2010.00537OpenAlexW3119333937MaRDI QIDQ5149779FDOQ5149779
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)
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.
Full work available at URL: https://arxiv.org/abs/2010.00537
Recommendations
- Sparse tensor multi-level Monte Carlo finite volume methods for hyperbolic conservation laws with random initial data
- A multilevel Monte Carlo finite difference method for random scalar degenerate convection-diffusion equations
- Monte-Carlo finite-volume methods in uncertainty quantification for hyperbolic conservation laws
- Multilevel Monte Carlo finite volume methods for random conservation laws with discontinuous flux
- Multi-level Monte Carlo finite volume methods for uncertainty quantification in nonlinear systems of balance laws
multilevel Monte Carlo methodsdegenerate convection-diffusion equationwork estimatesfractal conservation lawsrandom entropy solutions
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)
Cites Work
- On Upstream Differencing and Godunov-Type Schemes for Hyperbolic Conservation Laws
- Fractal first-order partial differential equations
- Lévy Processes and Stochastic Calculus
- A fractional porous medium equation
- Entropy solutions for nonlinear degenerate problems
- Sparse tensor multi-level Monte Carlo finite volume methods for hyperbolic conservation laws with random initial data
- Monotone Difference Approximations Of BV Solutions To Degenerate Convection-Diffusion Equations
- Entropy solution theory for fractional degenerate convection-diffusion equations
- Title not available (Why is that?)
- Title not available (Why is that?)
- Entropy formulation for fractal conservation laws
- High-Order Collocation Methods for Differential Equations with Random Inputs
- Multi-level Monte Carlo finite volume methods for uncertainty quantification in nonlinear systems of balance laws
- Adaptive anisotropic spectral stochastic methods for uncertain scalar conservation laws
- Numerical solution of scalar conservation laws with random flux functions
- Title not available (Why is that?)
- The Cauchy problem for conservation laws with a multiplicative stochastic perturbation
- On strongly degenerate convection-diffusion problems modeling sedimentation-consolidation processes
- On numerical methods and error estimates for degenerate fractional convection-diffusion equations
- Continuous dependence estimates for nonlinear fractional convection-diffusion equations
- Discontinuous Galerkin method for fractional convection-diffusion equations
- Uncertainty quantification for systems of conservation laws
- Uncertainty analysis for the steady-state flows in a dual throat nozzle
- Long-term behavior of polynomial chaos in stochastic flow simulations
- Continuous dependence estimate for a degenerate parabolic-hyperbolic equation with Lévy noise
- Optimal continuous dependence estimates for fractional degenerate parabolic equations
- The stochastic piston problem
- Title not available (Why is that?)
- A numerical method for fractal conservation laws
- An error estimate for the finite difference approximation to degenerate convection-diffusion equations
- The discontinuous Galerkin method for fractional degenerate convection-diffusion equations
- The discontinuous Galerkin method for fractal conservation laws
- A hybrid stochastic Galerkin method for uncertainty quantification applied to a conservation law modelling a clarifier-thickener unit
- Convergence of a fully discrete finite element method for a degenerate parabolic system modelling nematic liquid crystals with variable degree of orientation
- Generalized solutions of degenerate second-order quasilinear parabolic and elliptic equations
- Monte Carlo finite volume element methods for the convection-diffusion equation with a random diffusion coefficient
- A multilevel Monte Carlo finite difference method for random scalar degenerate convection-diffusion equations
- A finite difference scheme for conservation laws driven by Lévy noise
- Continuous dependence estimate for conservation laws with Lévy noise
- The Cauchy problem for fractional conservation laws driven by Lévy noise
- A uniformly converging scheme for fractal conservation laws
Cited In (10)
- Convergence of a spectral method for the stochastic incompressible Euler equations
- 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 fractional degenerate parabolic-hyperbolic Cauchy problem with noise
- Monte Carlo finite volume element methods for the convection-diffusion equation with a random diffusion coefficient
- Fully discrete finite difference schemes for the fractional Korteweg-de Vries equation
- Stochastic degenerate fractional conservation laws
- Operator splitting for the fractional Korteweg‐de Vries equation
- A multilevel Monte Carlo ensemble and hybridizable discontinuous Galerkin method for a stochastic parabolic problem
- A multilevel Monte Carlo finite difference method for random scalar degenerate convection-diffusion equations
Uses Software
This page was built for publication: Multilevel Monte Carlo finite difference methods for fractional conservation laws with random data
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5149779)
