A Multilevel, Hierarchical Sampling Technique for Spatially Correlated Random Fields

DOI10.1137/16M1082688zbMath1422.65406arXiv1703.08498OpenAlexW2613465422MaRDI QIDQ5372642

Umberto Villa, Sarah V. Osborn, Panayot S. Vassilevski

Publication date: 27 October 2017

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.08498

zbMATH Keywords

mixed finite elementsmultilevel methodsuncertainty quantificationmultilevel Monte CarloPDEs with random input data

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Boundary value problems for second-order elliptic equations (35J25) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Iterative numerical methods for linear systems (65F10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Eigenvalue problems for exponential-type kernels, Parallel Element-Based Algebraic Multigrid for \(\boldsymbol{H}\) (curl) and \(\boldsymbol{H}\) (div) Problems Using the ParELAG Library, Multilevel approximation of Gaussian random fields: Fast simulation, Efficient White Noise Sampling and Coupling for Multilevel Monte Carlo with Nonnested Meshes, Regularity and convergence analysis in Sobolev and Hölder spaces for generalized Whittle-Matérn fields, Fast sampling of parameterised Gaussian random fields, Multilevel Hierarchical Decomposition of Finite Element White Noise with Application to Multilevel Markov Chain Monte Carlo, Analysis of Boundary Effects on PDE-Based Sampling of Whittle--Matérn Random Fields, Multilevel Hierarchical Decomposition of Finite Element White Noise with Application to Multilevel Markov Chain Monte Carlo, Multilevel Spectral Coarsening for Graph Laplacian Problems with Application to Reservoir Simulation, Multilevel Quasi Monte Carlo Methods for Elliptic PDEs with Random Field Coefficients via Fast White Noise Sampling, A Distributed-Memory Package for Dense Hierarchically Semi-Separable Matrix Computations Using Randomization

Uses Software

• trng
• R-INLA

Cites Work

• Unnamed Item
• Unnamed Item
• An Explicit Link between Gaussian Fields and Gaussian Markov Random Fields: The Stochastic Partial Differential Equation Approach
• Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
• Spatial models generated by nested stochastic partial differential equations, with an application to global ozone mapping
• Spatial variation. 2nd ed
• The construction of the coarse de Rham complexes with improved approximation properties
• Strong and Weak Error Estimates for Elliptic Partial Differential Equations with Random Coefficients
• Preconditioning discretizations of systems of partial differential equations
• Inverse problems: A Bayesian perspective
• A note on the optimality of the Karhunen-Loeve expansion
• Multilevel Monte Carlo Path Simulation
• Exact de Rham Sequences of Spaces Defined on Macro-Elements in Two and Three Spatial Dimensions
• Finite element exterior calculus, homological techniques, and applications
• Finite element exterior calculus: from Hodge theory to numerical stability
• Mixed and Hybrid Finite Element Methods
• A Fast and High Quality Multilevel Scheme for Partitioning Irregular Graphs
• A Note on Preconditioning for Indefinite Linear Systems
• Interior penalty preconditioners for mixed finite element approximations of elliptic problems
• Parallel Auxiliary Space AMG Solver for $H(div)$ Problems
• Mixed Finite Element Methods and Applications
• Element agglomeration coarse Raviart–Thomas spaces with improved approximation properties
• Statistics for Spatial Data
• Scheduling Massively Parallel Multigrid for Multilevel Monte Carlo Methods
• A Computational Framework for Infinite-Dimensional Bayesian Inverse Problems Part I: The Linearized Case, with Application to Global Seismic Inversion
• Randomized algorithms for generalized Hermitian eigenvalue problems with application to computing Karhunen–Loève expansion
• ON STATIONARY PROCESSES IN THE PLANE