A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data

DOI10.1137/100786356zbMath1226.65004OpenAlexW2060528584MaRDI QIDQ5901031

Ivo M. Babuška, Raúl Tempone, Fabio Nobile

Publication date: 13 July 2010

Published in: SIAM Review (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10754/555664

zbMATH Keywords

convergence ratesfinite elementsnumerical examplesexponential convergenceGalerkin approximationuncertainty quantificationmultivariate polynomial approximationstochastic collocation methodMonte Carlo approachpartial differential equations with random inputsSmolyak approximationanisotropic sparse approximation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) 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)

Related Items

Multi-index Monte Carlo: when sparsity meets sampling, Stable splittings of Hilbert spaces of functions of infinitely many variables, Conditional Karhunen-Loève expansion for uncertainty quantification and active learning in partial differential equation models, On tensor product approximation of analytic functions, Low-rank tensor reconstruction of concentrated densities with application to Bayesian inversion, A novel weakly-intrusive non-linear multiresolution framework for uncertainty quantification in hyperbolic partial differential equations, A stochastic collocation method based on sparse grids for a stochastic Stokes-Darcy model, A sparse grid stochastic collocation method for elliptic interface problems with random input, Simulation of the 3D hyperelastic behavior of ventricular myocardium using a finite-element based neural-network approach, A sparse grid stochastic collocation upwind finite volume element method for the constrained optimal control problem governed by random convection diffusion equations, Large deformation shape uncertainty quantification in acoustic scattering, Convergence analysis of macro spreading in 3D heterogeneous porous media, Numerical Integration in Multiple Dimensions with Designed Quadrature, Stochastic Modeling and Regularity of the Nonlinear Elliptic curl--curl Equation, A Sparse Stochastic Collocation Technique for High-Frequency Wave Propagation with Uncertainty, Local Equilibration Error Estimators for Guaranteed Error Control in Adaptive Stochastic Higher-Order Galerkin Finite Element Methods, Convergence of quasi-optimal sparse-grid approximation of Hilbert-space-valued functions: Application to random elliptic PDEs, Convergence of quasi-optimal stochastic Galerkin methods for a class of PDES with random coefficients, A two-level sparse grid collocation method for semilinear stochastic elliptic equation, A one-time truncate and encode multiresolution stochastic framework, A Kernel-Based Collocation Method for Elliptic Partial Differential Equations With Random Coefficients, Bayesian inference of earthquake parameters from buoy data using a polynomial chaos-based surrogate, Comparison of approaches for random PDE optimization problems based on different matching functionals, Shape and topology optimization of a permanent-magnet machine under uncertainties, IGA-based multi-index stochastic collocation for random PDEs on arbitrary domains, Eigenvalue problems for exponential-type kernels, Robust averaged control of vibrations for the Bernoulli-Euler beam equation, Analytic regularity and stochastic collocation of high-dimensional Newton iterates, A bi-fidelity stochastic collocation method for transport equations with diffusive scaling and multi-dimensional random inputs, A fast discrete spectral method for stochastic partial differential equations, Robust optimal shape design for an elliptic PDE with uncertainty in its input data, Fast \(r\)-adaptivity for multiple queries of heterogeneous stochastic material fields, Basis adaptation and domain decomposition for steady-state partial differential equations with random coefficients, On a Multilevel Preconditioner and its Condition Numbers for the Discretized Laplacian on Full and Sparse Grids in Higher Dimensions, Multilevel tensor approximation of PDEs with random data, Multi-fidelity non-intrusive polynomial chaos based on regression, A computational approach for robust nondestructive test design maximizing characterization capabilities for solids and structures subject to uncertainty, Fuzzy interval perturbation method for uncertain heat conduction problem with interval and fuzzy parameters, Analysis of discrete \(L^2\) projection on polynomial spaces with random evaluations, Goal-oriented adaptive finite element multilevel Monte Carlo with convergence rates, Offline-enhanced reduced basis method through adaptive construction of the surrogate training set, A posteriori error analysis and adaptive non-intrusive numerical schemes for systems of random conservation laws, Wavelets Galerkin method for solving stochastic heat equation, A gradient enhanced \(\ell_{1}\)-minimization for sparse approximation of polynomial chaos expansions, Polynomial Collocation for Handling an Inaccurately Known Measurement Configuration in Electrical Impedance Tomography, Stochastic Collocation Methods via $\ell_1$ Minimization Using Randomized Quadratures, Optimal control with stochastic PDE constraints and uncertain controls, Data-driven polynomial chaos expansions: a weighted least-square approximation, Symplectic dynamical low rank approximation of wave equations with random parameters, Adaptive stochastic Galerkin FEM, Stochastic collocation applications in computational electromagnetics, Some greedy algorithms for sparse polynomial chaos expansions, On weak tractability of the Clenshaw-Curtis Smolyak algorithm, A bi-fidelity method for the multiscale Boltzmann equation with random parameters, A fictitious domain approach to the numerical solution of PDEs in stochastic domains, Towards a unified multiresolution scheme for treating discontinuities in differential equations with uncertainties, An analysis of polynomial chaos approximations for modeling single-fluid-phase flow in porous medium systems, A blackbox yield estimation workflow with Gaussian process regression applied to the design of electromagnetic devices, Adaptive algorithm for stochastic Galerkin method., On the extreme eigenvalues of certain matrices of non-standard inner products of Hermite polynomials, A third order hierarchical basis WENO interpolation for sparse grids with application to conservation laws with uncertain data, Stochastic regularity of a quadratic observable of high-frequency waves, A note on tools for prediction under uncertainty and identifiability of SIR-like dynamical systems for epidemiology, Multi-index stochastic collocation convergence rates for random PDEs with parametric regularity, Optimization of mesh hierarchies in multilevel Monte Carlo samplers, A bi-fidelity ensemble Kalman method for PDE-constrained inverse problems in computational mechanics, Uncertainty quantification for Maxwell's eigenproblem based on isogeometric analysis and mode tracking, An adaptive WENO collocation method for differential equations with random coefficients, An efficient alternating direction method of multipliers for optimal control problems constrained by random Helmholtz equations, Hierarchical preconditioning for the stochastic Galerkin method: upper bounds to the strengthened CBS constants, A stochastic collocation approach for parabolic PDEs with random domain deformations, Uncertainty quantification in numerical simulation of particle-laden flows, Gaussian processes with built-in dimensionality reduction: applications to high-dimensional uncertainty propagation, A heterogeneous stochastic FEM framework for elliptic PDEs, Stochastic discrete equation method (SDEM) for two-phase flows, Enhancing sparsity of Hermite polynomial expansions by iterative rotations, A two-level stochastic collocation method for semilinear elliptic equations with random coefficients, An Adaptive Sparse Grid Algorithm for Elliptic PDEs with Lognormal Diffusion Coefficient, A hyperbolicity-preserving discontinuous stochastic Galerkin scheme for uncertain hyperbolic systems of equations, Derivative-informed projected neural networks for high-dimensional parametric maps governed by PDEs, An efficient Monte Carlo interior penalty discontinuous Galerkin method for elastic wave scattering in random media, Multi-index stochastic collocation for random PDEs, Uncertainty quantification of geochemical and mechanical compaction in layered sedimentary basins, Adaptive reduced-basis generation for reduced-order modeling for the solution of stochastic nondestructive evaluation problems, Ensemble time-stepping algorithm for the convection-diffusion equation with random diffusivity, A multigrid multilevel Monte Carlo method for Stokes-Darcy model with random hydraulic conductivity and Beavers-Joseph condition, Comparison of Clenshaw–Curtis and Leja Quasi-Optimal Sparse Grids for the Approximation of Random PDEs, Stochastic simulation of riser-sections with uncertain measured pressure loads and/or uncertain material properties, Kernel-Based Collocation Methods Versus Galerkin Finite Element Methods for Approximating Elliptic Stochastic Partial Differential Equations, Efficient numerical methods for elliptic optimal control problems with random coefficient, On expansions and nodes for sparse grid collocation of lognormal elliptic PDEs, A posteriori error estimation for the stochastic collocation finite element approximation of the heat equation with random coefficients, Efficiently transforming from values of a function on a sparse grid to basis coefficients, Conditional stochastic simulations of flow and transport with Karhunen-Loève expansions, stochastic collocation, and sequential Gaussian simulation, On surrogate learning for linear stability assessment of Navier-Stokes equations with stochastic viscosity., Multiscale model reduction for stochastic elasticity problems using ensemble variable-separated method, Stochastic collocation method for stochastic optimal boundary control of the Navier-Stokes equations, An approximation method for stochastic heat equation driven by white noise, A continuation multilevel Monte Carlo algorithm, Sparse grids and applications -- Stuttgart 2014. Collected contributions of the 3rd workshop, SGA 2014, Stuttgart, Germany, September 1--5, 2014, Density Estimation in RKHS with Application to Korobov Spaces in High Dimensions, A General Framework of Rotational Sparse Approximation in Uncertainty Quantification, An Efficient Numerical Method for Acoustic Wave Scattering in Random Media, Hierarchical Tensor Approximation of Output Quantities of Parameter-Dependent PDEs, Complexity Analysis of stochastic gradient methods for PDE-constrained optimal Control Problems with uncertain parameters, Adaptive Multilevel Monte Carlo Methods for Stochastic Variational Inequalities, An ensemble scheme for the numerical solution of a random transient heat equation with uncertain inputs, Stochastic collocation for optimal control problems with stochastic PDE constraints by meshless techniques, A multilevel Monte Carlo ensemble and hybridizable discontinuous Galerkin method for a stochastic parabolic problem, Grassmannian diffusion maps based surrogate modeling via geometric harmonics, An hp‐adaptive multi‐element stochastic collocation method for surrogate modeling with information re‐use, Cluster‐based gradient method for stochastic optimal control problems with elliptic partial differential equation constraint, A massively parallel implementation of multilevel Monte Carlo for finite element models, Convergence of a stochastic collocation finite volume method for the compressible Navier-Stokes system, Suboptimality of Gauss–Hermite Quadrature and Optimality of the Trapezoidal Rule for Functions with Finite Smoothness, Convergence and error analysis of compressible fluid flows with random data: Monte Carlo method, An ensemble Monte Carlo HDG method for parabolic PDEs with random coefficients, A Multilevel Stochastic Collocation Method for Schrödinger Equations with a Random Potential, Posterior consistency for Gaussian process approximations of Bayesian posterior distributions, Constructing Least-Squares Polynomial Approximations, Global sensitivity analysis using multi-resolution polynomial chaos expansion for coupled Stokes-Darcy flow problems, Reduced Models and Uncertainty Quantification, Estimating Failure Probabilities, An Adaptive Stochastic Galerkin Tensor Train Discretization for Randomly Perturbed Domains, Sliced-Inverse-Regression--Aided Rotated Compressive Sensing Method for Uncertainty Quantification, Chance constrained optimization of elliptic PDE systems with a smoothing convex approximation, A Sparse Grid Stochastic Collocation Discontinuous Galerkin Method for Constrained Optimal Control Problem Governed by Random Convection Dominated Diffusion Equations, Stochastic Basis Adaptation and Spatial Domain Decomposition for Partial Differential Equations with Random Coefficients, Reduced Basis Methods for Uncertainty Quantification, Convergence of Sparse Collocation for Functions of Countably Many Gaussian Random Variables (with Application to Elliptic PDEs), Approximation of stochastic partial differential equations by a kernel-based collocation method, An Efficient Monte Carlo-Transformed Field Expansion Method for Electromagnetic Wave Scattering by Random Rough Surfaces, Accurate Solution of Bayesian Inverse Uncertainty Quantification Problems Combining Reduced Basis Methods and Reduction Error Models, Risk-Averse PDE-Constrained Optimization Using the Conditional Value-At-Risk, Block Preconditioning of Stochastic Galerkin Problems: New Two-sided Guaranteed Spectral Bounds, Sparse quadrature for high-dimensional integration with Gaussian measure, Robust Optimization of PDEs with Random Coefficients Using a Multilevel Monte Carlo Method, Random field representations for stochastic elliptic boundary value problems and statistical inverse problems, Hierarchical Schur complement preconditioner for the stochastic Galerkin finite element methods, The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions, Quantification of measurement error effects on conductivity reconstruction in electrical impedance tomography, To Be or Not to be Intrusive? The Solution of Parametric and Stochastic Equations---Proper Generalized Decomposition, Error Analysis of the Dynamically Orthogonal Approximation of Time Dependent Random PDEs, Numerical Methods for SPDEs with Tempered Stable Processes, Stochastic Collocation Algorithms Using $l_1$-Minimization for Bayesian Solution of Inverse Problems, PDE-Constrained Optimal Control Problems with Uncertain Parameters using SAGA, Bayesian Numerical Homogenization, Multilevel Monte Carlo Analysis for Optimal Control of Elliptic PDEs with Random Coefficients