Stochastic Galerkin methods for linear stability analysis of systems with parametric uncertainty

DOI10.1137/21M1415595MaRDI QIDQ6392117arXivFDO

Authors Bedřich Sousedík, Kookjin Lee

Publication date 24 February 2022

Published in arXiv

Full work available at URL https://doi.org/10.1137/21M1415595

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Random number generation in numerical analysis (65C10) Preconditioners for iterative methods (65F08) Iterative numerical methods for linear systems (65F10) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Numerical investigation of stability of solutions to ordinary differential equations (65L07) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Numerical solution of discretized equations for boundary value problems involving PDEs (65N22) Numerical methods for eigenvalue problems for boundary value problems involving PDEs (65N25) Navier-Stokes equations for incompressible viscous fluids (76D05)

arXiv classification

cs.NAmath.NAmath.PR

Abstract: We present a method for linear stability analysis of systems with parametric uncertainty formulated in the stochastic Galerkin framework. Specifically, we assume that for a model partial differential equation, the parameter is given in the form of generalized polynomial chaos expansion. The stability analysis leads to the solution of a stochastic eigenvalue problem, and we wish to characterize the rightmost eigenvalue. We focus, in particular, on problems with nonsymmetric matrix operators, for which the eigenvalue of interest may be a complex conjugate pair, and we develop methods for their efficient solution. These methods are based on inexact, line-search Newton iteration, which entails use of preconditioned GMRES. The method is applied to linear stability analysis of Navier-Stokes equation with stochastic viscosity, its accuracy is compared to that of Monte Carlo and stochastic collocation, and the efficiency is illustrated by numerical experiments.

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Cited in

(11)

• On surrogate learning for linear stability assessment of Navier-Stokes equations with stochastic viscosity.
• Using stochastic analysis to capture unstable equilibrium in natural convection
• Stochastic Galerkin method for cloud simulation
• Eigenvalues of the Jacobian of a Galerkin-projected uncertain ODE system
• Collocation methods for exploring perturbations in linear stability analysis
• Stochastic least-squares Petrov-Galerkin method for parameterized linear systems
• Stability preservation in stochastic Galerkin projections of dynamical systems
• Stochastic Galerkin methods for analyzing equilibria of random dynamical systems
• Effects of base flow uncertainty on Couette flow stability
• A Newton-Galerkin method for fluid flow exhibiting uncertain periodic dynamics
• Parametrization method for calculating exact stability bounds of stochastic linear systems with multiplicative noise

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