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

DOI10.1137/100786356zbMath1226.65004MaRDI 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 rates; finite elements; numerical examples; exponential convergence; Galerkin approximation; uncertainty quantification; multivariate polynomial approximation; stochastic collocation method; Monte Carlo approach; partial differential equations with random inputs; Smolyak approximation; anisotropic sparse approximation

Mathematics Subject Classification ID

65C05: Monte Carlo methods

65N12: Stability and convergence of numerical methods for boundary value problems involving PDEs

65N30: Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

35R60: PDEs with randomness, stochastic partial differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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