A heterogeneous stochastic FEM framework for elliptic PDEs

DOI10.1016/J.JCP.2014.10.020MaRDI QIDQ728826zbMATH OpenOpenAlexFDO

Authors Thomas Y. Hou, Pengfei Liu

Publication date 20 December 2016

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

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

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)

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.

Recommendations

• A model reduction method for elliptic PDEs with random input using the heterogeneous stochastic FEM framework
• Sparse finite elements for stochastic elliptic problems --- higher order moments
• Exploring the locally low dimensional structure in solving random elliptic PDEs
• Sparse high order FEM for elliptic sPDEs
• A Sparse Composite Collocation Finite Element Method for Elliptic SPDEs.

Cites work

• scientific article; zbMATH DE number 49187 (Why is no real title available?)
• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• scientific article; zbMATH DE number 1215244 (Why is no real title available?)
• scientific article; zbMATH DE number 627771 (Why is no real title available?)
• A Data-Driven Stochastic Method for Elliptic PDEs with Random Coefficients
• A Sparse Composite Collocation Finite Element Method for Elliptic SPDEs.
• A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data
• A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data
• A compressed sensing approach for partial differential equations with random input data
• A dynamically bi-orthogonal method for time-dependent stochastic partial differential equations. I: Derivation and algorithms
• A dynamically bi-orthogonal method for time-dependent stochastic partial differential equations. II: Adaptivity and generalizations
• A non-adapted sparse approximation of PDEs with stochastic inputs
• A reduced-order method for simulation and control of fluid flows
• A sparse \({\mathcal H}\)-matrix arithmetic. II: Application to multi-dimensional problems
• A sparse matrix arithmetic based on \({\mathfrak H}\)-matrices. I: Introduction to \({\mathfrak H}\)-matrices
• Dimensionality reduction for complex models via Bayesian compressive sensing
• Fast construction of hierarchical matrix representation from matrix-vector multiplication
• Finding structure with randomness: probabilistic algorithms for constructing approximate matrix decompositions
• Finite elements for elliptic problems with stochastic coefficients
• Galerkin Finite Element Approximations of Stochastic Elliptic Partial Differential Equations
• High-Order Collocation Methods for Differential Equations with Random Inputs
• Numerical Approximation Methods for Elliptic Boundary Value Problems
• On solving elliptic stochastic partial differential equations
• Randomized algorithms for the low-rank approximation of matrices
• Reduced basis approximation and a posteriori error estimation for affinely parametrized elliptic coercive partial differential equations. Application to transport and continuum mechanics.
• Sparse high order FEM for elliptic sPDEs
• Sparse tensor discretization of elliptic SPDEs
• Stochastic approaches to uncertainty quantification in CFD simulations
• Stochastic model reduction for chaos representations
• The Green function for elliptic systems in two dimensions
• The Green function for uniformly elliptic equations
• The Homogeneous Chaos
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
• The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
• Wiener chaos expansions and numerical solutions of randomly forced equations of fluid mechanics

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
• Extended stochastic FEM for diffusion problems with uncertain material interfaces
• A model reduction method for multiscale elliptic PDEs with random coefficients using an optimization approach
• 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

This page was built for publication: A heterogeneous stochastic FEM framework for elliptic PDEs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q728826)