A heterogeneous stochastic FEM framework for elliptic PDEs

DOI10.1016/J.JCP.2014.10.020zbMATH Open1352.65510arXiv1409.3619OpenAlexW2010384911MaRDI QIDQ728826FDOQ728826

Authors: Thomas Y. Hou, Pengfei Liu 

Publication date: 20 December 2016

Published in: Journal of Computational Physics (Search for Journal in Brave)

Abstract: We introduce a new concept of sparsity for the stochastic elliptic operator $-mdivleft(a(x,omega)abla(cdot)ight)$, which reflects the compactness of its inverse operator in the stochastic direction and allows for spatially heterogeneous stochastic structure. This new concept of sparsity motivates a heterogeneous stochastic finite element method ({�f HSFEM}) framework for linear elliptic equations, which discretizes the equations using the heterogeneous coupling of spatial basis with local stochastic basis to exploit the local stochastic structure of the solution space. We also provide a sampling method to construct the local stochastic basis for this framework using the randomized range finding techniques. The resulting HSFEM involves two stages and suits the multi-query setting: in the offline stage, the local stochastic structure of the solution space is identified; in the online stage, the equation can be efficiently solved for multiple forcing functions. An online error estimation and correction procedure through Monte Carlo sampling is given. Numerical results for several problems with high dimensional stochastic input are presented to demonstrate the efficiency of the HSFEM in the online stage.

Full work available at URL: https://arxiv.org/abs/1409.3619

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zbMATH Keywords

sparsityuncertainty quantificationheterogeneousstochastic finite element methodlocal stochastic basis

Mathematics Subject Classification ID

Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Boundary value problems for second-order elliptic equations (35J25) PDEs with randomness, stochastic partial differential equations (35R60) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)

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Cited In (11)

• Optimal local multi-scale basis functions for linear elliptic equations with rough coefficients
• Proper orthogonal decomposition method for multiscale elliptic PDEs with random coefficients
• A data-driven approach for multiscale elliptic PDEs with random coefficients based on intrinsic dimension reduction
• A model reduction method for elliptic PDEs with random input using the heterogeneous stochastic FEM framework
• Concept of modeling uncertainly defined shape of the boundary in two-dimensional boundary value problems and verification of its reliability
• An iteratively adaptive multi-scale finite element method for elliptic PDEs with rough coefficients
• hp-FEM for second moments of elliptic PDEs with stochastic data. II: Exponential convergence for stationary singular covariance functions
• A model reduction method for multiscale elliptic PDEs with random coefficients using an optimization approach
• Extended stochastic FEM for diffusion problems with uncertain material interfaces
• Implementation of the multiscale stochastic finite element method on elliptic PDE problems
• A Three-Field Finite Element Method for Elliptic Partial Differential Equations Driven by Stochastic Loads

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