The uniform sparse FFT with application to PDEs with random coefficients

DOI10.1007/S43670-022-00037-3MaRDI QIDQ6377211arXivFDO

Authors Lutz Kämmerer, Daniel Potts, Fabian Taubert

Publication date 9 September 2021

Published in arXiv

Full work available at URL https://doi.org/10.1007/S43670-022-00037-3

Mathematics Subject Classification ID

Trigonometric solutions to PDEs (35C09) PDEs with randomness, stochastic partial differential equations (35R60) Fourier series and coefficients in several variables (42B05) Harmonic analysis and PDEs (42B37) Computational methods for problems pertaining to probability theory (60-08) Monte Carlo methods (65C05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30) Algorithms for approximation of functions (65D15) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Numerical methods for trigonometric approximation and interpolation (65T40) Numerical methods for discrete and fast Fourier transforms (65T50)

arXiv classification

cs.NAmath.NA

Abstract: We develop the uniform sparse Fast Fourier Transform (usFFT), an efficient, non-intrusive, adaptive algorithm for the solution of elliptic partial differential equations with random coefficients. The algorithm is an adaption of the sparse Fast Fourier Transform (sFFT), a dimension-incremental algorithm, which tries to detect the most important frequencies in a given search domain and therefore adaptively generates a suitable Fourier basis corresponding to the approximately largest Fourier coefficients of the function. The usFFT does this w.r.t. the stochastic domain of the PDE simultaneously for multiple fixed spatial nodes, e.g., nodes of a finite element mesh. The key idea of joining the detected frequency sets in each dimension increment results in a Fourier approximation space, which fits uniformly for all these spatial nodes. This strategy allows for a faster and more efficient computation due to a significantly smaller amount of samples needed, than just using other algorithms, e.g., the sFFT for each spatial node separately. We test the usFFT for different examples using periodic, affine and lognormal random coefficients in the PDE problems.

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