A non-adapted sparse approximation of PDEs with stochastic inputs
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Publication:543721
DOI10.1016/J.JCP.2011.01.002zbMATH Open1218.65008arXiv1006.2151OpenAlexW2056558085MaRDI QIDQ543721FDOQ543721
Authors: Alireza Doostan, Houman Owhadi 
Publication date: 17 June 2011
Published in: Journal of Computational Physics (Search for Journal in Brave)
Abstract: We propose a method for the approximation of solutions of PDEs with stochastic coefficients based on the direct, i.e., non-adapted, sampling of solutions. This sampling can be done by using any legacy code for the deterministic problem as a black box. The method converges in probability (with probabilistic error bounds) as a consequence of sparsity and a concentration of measure phenomenon on the empirical correlation between samples. We show that the method is well suited for truly high-dimensional problems (with slow decay in the spectrum).
Full work available at URL: https://arxiv.org/abs/1006.2151
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sparse approximationconvergenceerror boundsnumerical examplesuncertainty quantificationpolynomial chaoscompressive samplingstochastic coefficients
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Error bounds for boundary value problems involving PDEs (65N15)
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