Multilevel quadrature for elliptic parametric partial differential equations in case of polygonal approximations of curved domains
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Publication:5217601
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical quadrature and cubature formulas (65D32) Smoothness and regularity of solutions to PDEs (35B65) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Error bounds for boundary value problems involving PDEs (65N15) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)
Abstract: Multilevel quadrature methods for parametric operator equations such as the multilevel (quasi-) Monte Carlo method are closely related to the sparse tensor product approximation between the spatial variable and the parameter. In this article, we employ this fact and reverse the multilevel quadrature method via the sparse grid construction by applying differences of quadrature rules to finite element discretizations of increasing resolution. Besides being algorithmically more efficient if the underlying quadrature rules are nested, this way of performing the sparse tensor product approximation enables the easy use of non-nested and even adaptively refined finite element meshes. Especially, we present a rigorous error and regularity analysis of the fully discrete solution, taking into account the effect of polygonal approximations to a curved physical domain and the numerical approximation of the bilinear form. Our results facilitate the construction of efficient multilevel quadrature methods based on deterministic quadrature rules. Numerical results in three spatial dimensions are provided to illustrate the approach.
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Cited in
(4)- Multilevel methods for uncertainty quantification of elliptic PDEs with random anisotropic diffusion
- Multilevel Designed Quadrature for Partial Differential Equations with Random Inputs
- Space-time Multilevel Quadrature Methods and their Application for Cardiac Electrophysiology
- Multilevel quadrature for elliptic problems on random domains by the coupling of FEM and BEM
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