Sparse Compression of Expected Solution Operators
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Monte Carlo methods (65C05) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) PDEs with low regular coefficients and/or low regular data (35R05) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30) Second-order elliptic equations (35J15) Numerical methods for partial differential equations, boundary value problems (65N99)
Abstract: We show that the expected solution operator of prototypical linear elliptic partial differential operators with random coefficients is well approximated by a computable sparse matrix. This result is based on a random localized orthogonal multiresolution decomposition of the solution space that allows both the sparse approximate inversion of the random operator represented in this basis as well as its stochastic averaging. The approximate expected solution operator can be interpreted in terms of classical Haar wavelets. When combined with a suitable sampling approach for the expectation, this construction leads to an efficient method for computing a sparse representation of the expected solution operator.
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Cited in
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