Variational multiscale analysis: the fine-scale Green's function for stochastic partial differential equations

DOI10.1137/130940359MaRDI QIDQ2938449zbMATH OpenOpenAlexFDO

Authors Jayanth Jagalur-Mohan, Alireza Doostan, Assad A. Oberai, O. Sahni

Publication date 14 January 2015

Published in SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1310.1943

zbMATH Keywords

Green's functionnumerical resultstochastic partial differential equationsuncertainty quantificationvariational multiscale analysis

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75)

Abstract: We present the variational multiscale (VMS) method for partial differential equations (PDEs) with stochastic coefficients and source terms. We use it as a method for generating accurate coarse-scale solutions while accounting for the effect of the unresolved fine scales through a model term that contains a fine-scale stochastic Green's function. For a natural choice of an "optimal" coarse-scale solution and L^2-orthogonal stochastic basis functions, we demonstrate that the fine-scale stochastic Green's function is intimately linked to its deterministic counterpart. In particular, (i) we demonstrate that whenever the deterministic fine-scale function vanishes, the stochastic fine-scale function satisfies a weaker, and discrete notion of vanishing stochastic coefficients, and (ii) derive an explicit formula for the fine-scale stochastic Green's function that only involves quantities needed to evaluate the fine-scale deterministic Green's function. We present numerical results that support our claims about the physical support of the stochastic fine-scale function, and demonstrate the benefit of using the VMS method when the fine-scale Green's function is approximated by an easier to implement, element Green's function.

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(8)

• Stochastic variational multiscale analysis of the advection-diffusion equation: advective-diffusive regime and multi-dimensional problems
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• Multiscale modeling and analysis for some special additive noises driven stochastic partial differential equations
• Construction and application of an algebraic dual basis and the fine-scale Greens' function for computing projections and reconstructing unresolved scales
• A dynamic variational multiscale method on unstructured meshes for stationary transport problems
• A semi-implicit stochastic multiscale method for radiative heat transfer problem in composite materials

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