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

heterogeneouslocal stochastic basissparsitystochastic finite element methoduncertainty quantification

Mathematics Subject Classification ID

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) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75)

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.

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Cited in

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• An iteratively adaptive multi-scale finite element method for elliptic PDEs with rough coefficients
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