Stochastic collocation method for computing eigenspaces of parameter-dependent operators

DOI10.1007/S00211-022-01339-3arXiv1909.11608MaRDI QIDQ6325977FDOQ6325977

Authors: Luka Grubišić, Mikael Saarikangas, Harri Hakula 

Publication date: 25 September 2019

Abstract: We consider computing eigenspaces of an elliptic self-adjoint operator depending on a countable number of parameters in an affine fashion. The eigenspaces of interest are assumed to be isolated in the sense that the corresponding eigenvalues are separated from the rest of the spectrum for all values of the parameters. We show that such eigenspaces can in fact be extended to complex-analytic functions of the parameters and quantify this analytic dependence in way that leads to convergence of sparse polynomial approximations. A stochastic collocation method on an anisoptropic sparse grid in the parameter domain is proposed for computing a basis for the eigenspace of interest. The convergence of this method is verified in a series of numerical examples based on the eigenvalue problem of a stochastic diffusion operator.

Mathematics Subject Classification ID

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) Numerical methods for eigenvalue problems for boundary value problems involving PDEs (65N25) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35)

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