The multi-element probabilistic collocation method (ME-PCM): Error analysis and applications

DOI10.1016/j.jcp.2008.07.009zbMath1153.65008OpenAlexW2103452908MaRDI QIDQ955267

Jasmine Foo, Xiaoliang Wan, George Em. Karniadakis

Publication date: 19 November 2008

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

Full work available at URL: https://doi.org/10.1016/j.jcp.2008.07.009

zbMATH Keywords

algorithmconvergencecomparison of methodsnumerical examplesdomain decompositionstochastic partial differential equationsMonte Carlo methodsparse gridserror boundGauss quadraturestochastic Galerkin methodprobabilistic collocation methodClenshaw-Curtis quadratureNavier-Stokes examplesquasi-random sequence methodsstochastic diffusion problemstochastic spectral methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Error bounds for boundary value problems involving PDEs (65N15) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• TESTPACK

Cites Work

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