A Posteriori Error Analysis of Stochastic Differential Equations Using Polynomial Chaos Expansions

T. Butler, C. Dawson, T. Wildey

Research output: Contribution to journalArticlepeer-review

27 Scopus citations

Abstract

We develop computable a posteriori error estimates for linear functionals of a solution to a general nonlinear stochastic differential equation with random model/source parameters. These error estimates are based on a variational analysis applied to stochastic Galerkin methods for forward and adjoint problems. The result is a representation for the error estimate as a polynomial in the random model/source parameter. The advantage of this method is that we use polynomial chaos representations for the forward and adjoint systems to cheaply produce error estimates by simple evaluation of a polynomial. By comparison, the typical method of producing such estimates requires repeated forward/adjoint solves for each new choice of random parameter. We present numerical examples showing that there is excellent agreement between these methods. © 2011 Society for Industrial and Applied Mathematics.
Original languageEnglish (US)
Pages (from-to)1267-1291
Number of pages25
JournalSIAM Journal on Scientific Computing
Volume33
Issue number3
DOIs
StatePublished - Jan 2011
Externally publishedYes

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