Efficient adaptive stochastic collocation strategies for advection-diffusion problems with uncertain inputs
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Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for boundary value problems involving PDEs (65N15) Numerical solution of discretized equations for boundary value problems involving PDEs (65N22) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35)
Abstract: Physical models with uncertain inputs are commonly represented as parametric partial differential equations (PDEs). That is, PDEs with inputs that are expressed as functions of parameters with an associated probability distribution. Developing efficient and accurate solution strategies that account for errors on the space, time and parameter domains simultaneously is highly challenging. Indeed, it is well known that standard polynomial-based approximations on the parameter domain can incur errors that grow in time. In this work, we focus on advection-diffusion problems with parameter-dependent wind fields. A novel adaptive solution strategy is proposed that allows users to combine stochastic collocation on the parameter domain with off-the-shelf adaptive timestepping algorithms with local error control. This is a non-intrusive strategy that builds a polynomial-based surrogate that is adapted sequentially in time. The algorithm is driven by a so-called hierarchical estimator for the parametric error and balances this against an estimate for the global timestepping error which is derived from a scaling argument.
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Cited in
(8)- Multilevel adaptive stochastic collocation with dimensionality reduction
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- An adaptive WENO collocation method for differential equations with random coefficients
- Solution verification, goal-oriented adaptive methods for stochastic advection-diffusion problems
- A posteriori error estimates for the Crank-Nicolson method: application to parabolic partial differential equations subject to a Robin boundary condition with small randomness
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