×

Sparse tensor discretization of elliptic SPDEs. (English) Zbl 1205.35346

Summary: We propose and analyze sparse deterministic-stochastic tensor Galerkin finite element methods (sparse sGFEMs) for the numerical solution of elliptic partial differential equations (PDEs) with random coefficients in a physical domain \(D\subset\mathbb R^d\). In tensor product sGFEMs, the variational solution to the boundary value problem is approximated in tensor product finite element spaces \(V^\Gamma\otimes V^D\), where \(V^\Gamma\) and \(V^D\) denote suitable finite dimensional subspaces of the stochastic and deterministic function spaces, respectively. These approaches lead to sGFEM algorithms of complexity \(O(N_\Gamma N_D)\), where \(N_\Gamma=\dim V^\Gamma\) and \(N_D=\dim V^D\). In this work, we use hierarchic sequences \(V^\Gamma_1\subset V^\Gamma_2\subset\dots\) and \(V^D_1\subset V^D_2\subset\dots\) of finite dimensional spaces to approximate the law of the random solution. The hierarchies of approximation spaces allow us to define sparse tensor product spaces \(V^\Gamma_\ell\widehat{\otimes}V^D_\ell\), \(\ell=1,2,\dots\), yielding algorithms of \(O(N_\Gamma\log N_D+N_D\log N_\Gamma)\) work and memory. We estimate the convergence rate of sGFEM for an algebraic decay of the input random field Karhunen-Loève coefficients. We give an algorithm for an input adapted a priori selection of deterministic and stochastic discretization spaces. The convergence rate in terms of the total number of degrees of freedom of the proposed method is superior to Monte Carlo approximations. Numerical examples illustrate the theoretical results and demonstrate superiority of the sparse tensor product discretization proposed here versus the full tensor product approach.

MSC:

35R60 PDEs with randomness, stochastic partial differential equations
60H15 Stochastic partial differential equations (aspects of stochastic analysis)
65C20 Probabilistic models, generic numerical methods in probability and statistics
65N12 Stability and convergence of numerical methods for boundary value problems involving PDEs
65N15 Error bounds for boundary value problems involving PDEs
65N30 Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs
65C05 Monte Carlo methods
PDFBibTeX XMLCite
Full Text: DOI