Bieri, Marcel; Andreev, Roman; Schwab, Christoph Sparse tensor discretization of elliptic SPDEs. (English) Zbl 1205.35346 SIAM J. Sci. Comput. 31, No. 6, 4281-4304 (2009). 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. Cited in 40 Documents 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 Keywords:stochastic partial differential equations; uncertainty quantification; stochastic finite element methods; multilevel approximations; sparse tensor products PDFBibTeX XMLCite \textit{M. Bieri} et al., SIAM J. Sci. Comput. 31, No. 6, 4281--4304 (2009; Zbl 1205.35346) Full Text: DOI