On local Fourier analysis of multigrid methods for PDEs with jumping and random coefficients
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local Fourier analysismultigridmultilevel Monte CarloPDEsrandom coefficientsuncertainty quantification
Monte Carlo methods (65C05) Iterative numerical methods for linear systems (65F10) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)
Abstract: In this paper, we propose a novel non-standard Local Fourier Analysis (LFA) variant for accurately predicting the multigrid convergence of problems with random and jumping coefficients. This LFA method is based on a specific basis of the Fourier space rather than the commonly used Fourier modes. To show the utility of this analysis, we consider, as an example, a simple cell-centered multigrid method for solving a steady-state single phase flow problem in a random porous medium. We successfully demonstrate the prediction capability of the proposed LFA using a number of challenging benchmark problems. The information provided by this analysis helps us to estimate a-priori the time needed for solving certain uncertainty quantification problems by means of a multigrid multilevel Monte Carlo method.
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Cited in
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