A Monte Carlo approach to computing stiffness matrices arising in polynomial chaos approximations
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Publication:6285763
DOI10.1016/J.MATCOM.2018.11.008arXiv1704.06339WikidataQ128894563 ScholiaQ128894563MaRDI QIDQ6285763FDOQ6285763
Authors: Juan Galvis 
Publication date: 20 April 2017
Abstract: We use a Monte Carlo method to assemble finite element matrices for polynomial Chaos approximations of elliptic equations with random coefficients. In this approach, all required expectations are approximated by a Monte Carlo method. The resulting methodology requires dealing with sparse block-diagonal matrices instead of block-full matrices. This leads to the solution of a coupled system of elliptic equations where the coupling is given by a Kronecker product matrix involving polynomial evaluation matrices. This generalizes the Classical Monte Carlo approximation and Collocation method for approximating functionals of solutions of these equations.
Stochastic analysis (60Hxx) Probabilistic methods, stochastic differential equations (65Cxx) Ordinary differential equations and systems with randomness (34Fxx)
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