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Register a new userAdaptive stochastic Galerkin FEM for lognormal coefficients in hierarchical tensor representations
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Stochastic Galerkin methods for non-affine coefficient representations are known to cause major difficulties from theoretical and numerical points of view. In this work, an adaptive Galerkin FE method for linear parametric PDEs with lognormal coefficients discretized in Hermite chaos polynomials is derived. It employs problem-adapted function spaces to ensure solvability of the variational formulation. The inherently high computational complexity of the parametric operator is made tractable by using hierarchical tensor representations. For this, a new tensor train format of the lognormal coefficient is derived and verified numerically. The central novelty is the derivation of a reliable residual-based a posteriori error estimator. This can be regarded as a unique feature of stochastic Galerkin methods. It allows for an adaptive algorithm to steer the refinements of the physical mesh and the anisotropic Wiener chaos polynomial degrees. For the evaluation of the error estimator to become feasible, a numerically efficient tensor format discretization is developed. Benchmark examples with unbounded lognormal coefficient fields illustrate the performance of the proposed Galerkin discretization and the fully adaptive algorithm.
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We propose and analyze novel adaptive algorithms for the numerical solution of elliptic partial differential equations with parametric uncertainty. Four different marking strategies are employed for refinement of stochastic Galerkin finite element approximations. The algorithms are driven by the energy error reduction estimates derived from two-level a posteriori error indicators for spatial approximations and hierarchical a posteriori error indicators for parametric approximations. The focus of this work is on the mathematical foundation of the adaptive algorithms in the sense of rigorous convergence analysis. In particular, we prove that the proposed algorithms drive the underlying energy error estimates to zero.
The paper considers a class of parametric elliptic partial differential equations (PDEs), where the coefficients and the right-hand side function depend on infinitely many (uncertain) parameters. We introduce a two-level a posteriori estimator to control the energy error in multilevel stochastic Galerkin approximations for this class of PDE problems. We prove that the two-level estimator always provides a lower bound for the unknown approximation error, while the upper bound is equivalent to a saturation assumption. We propose and empirically compare three adaptive algorithms, where the structure of the estimator is exploited to perform spatial refinement as well as parametric enrichment. The paper also discusses implementation aspects of computing multilevel stochastic Galerkin approximations.
A linear PDE problem for randomly perturbed domains is considered in an adaptive Galerkin framework. The perturbation of the domains boundary is described by a vector valued random field depending on a countable number of random variables in an affine way. The corresponding Karhunen-Lo`eve expansion is approximated by the pivoted Cholesky decomposition based on a prescribed covariance function. The examined high-dimensional Galerkin system follows from the domain mapping approach, transferring the randomness from the domain to the diffusion coefficient and the forcing. In order to make this computationally feasible, the representation makes use of the modern tensor train format for the implicit compression of the problem. Moreover, an a posteriori error estimator is presented, which allows for the problem-dependent iterative refinement of all discretization parameters and the assessment of the achieved error reduction. The proposed approach is demonstrated in numerical benchmark problems.
This paper studies numerical methods for the approximation of elliptic PDEs with lognormal coefficients of the form $-{rm div}(a abla u)=f$ where $a=exp(b)$ and $b$ is a Gaussian random field. The approximant of the solution $u$ is an $n$-term polynomial expansion in the scalar Gaussian random variables that parametrize $b$. We present a general convergence analysis of weighted least-squares approximants for smooth and arbitrarily rough random field, using a suitable random design, for which we prove optimality in the following sense: their convergence rate matches exactly or closely the rate that has been established in cite{BCDM} for best $n$-term approximation by Hermite polynomials, under the same minimial assumptions on the Gaussian random field. This is in contrast with the current state of the art results for the stochastic Galerkin method that suffers the lack of coercivity due to the lognormal nature of the diffusion field. Numerical tests with $b$ as the Brownian bridge confirm our theoretical findings.
Partial differential equations (PDEs) with inputs that depend on infinitely many parameters pose serious theoretical and computational challenges. Sophisticated numerical algorithms that automatically determine which parameters need to be activated in the approximation space in order to estimate a quantity of interest to a prescribed error tolerance are needed. For elliptic PDEs with parameter-dependent coefficients, stochastic Galerkin finite element methods (SGFEMs) have been well studied. Under certain assumptions, it can be shown that there exists a sequence of SGFEM approximation spaces for which the energy norm of the error decays to zero at a rate that is independent of the number of input parameters. However, it is not clear how to adaptively construct these spaces in a practical and computationally efficient way. We present a new adaptive SGFEM algorithm that tackles elliptic PDEs with parameter-dependent coefficients quickly and efficiently. We consider approximation spaces with a multilevel structure---where each solution mode is associated with a finite element space on a potentially different mesh---and use an implicit a posteriori error estimation strategy to steer the adaptive enrichment of the space. At each step, the components of the error estimator are used to assess the potential benefits of a variety of enrichment strategies, including whether or not to activate more parameters. No marking or tuning parameters are required. Numerical experiments for a selection of test problems demonstrate that the new method performs optimally in that it generates a sequence of approximations for which the estimated energy error decays to zero at the same rate as the error for the underlying finite element method applied to the associated parameter-free problem.
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