TY - JOUR

T1 - Approximation of Quantities of Interest in Stochastic PDEs by the Random Discrete L^2 Projection on Polynomial Spaces

AU - Migliorati, G.

AU - Nobile, F.

AU - von Schwerin, E.

AU - Tempone, Raul

N1 - KAUST Repository Item: Exported on 2020-10-01

PY - 2013/5/30

Y1 - 2013/5/30

N2 - In this work we consider the random discrete L$^{2}$ projection on polynomial spaces (hereafter RDP) for the approximation of scalar quantities of interest (QOIs) related to the solution of a partial differential equation model with random input parameters. In the RDP technique the QOI is first computed for independent samples of the random input parameters, as in a standard Monte Carlo approach, and then the QOI is approximated by a multivariate polynomial function of the input parameters using a discrete least squares approach. We consider several examples including the Darcy equations with random permeability, the linear elasticity equations with random elastic coefficient, and the Navier--Stokes equations in random geometries and with random fluid viscosity. We show that the RDP technique is well suited to QOIs that depend smoothly on a moderate number of random parameters. Our numerical tests confirm the theoretical findings in [G. Migliorati, F. Nobile, E. von Schwerin, and R. Tempone, Analysis of the Discrete $L^2$ Projection on Polynomial Spaces with Random Evaluations, MOX report 46-2011, Politecnico di Milano, Milano, Italy, submitted], which have shown that, in the case of a single uniformly distributed random parameter, the RDP technique is stable and optimally convergent if the number of sampling points is proportional to the square of the dimension of the polynomial space. Here optimality means that the weighted $L^2$ norm of the RDP error is bounded from above by the best L$^{\infty}$ error achievable in the given polynomial space, up to logarithmic factors. In the case of several random input parameters, the numerical evidence indicates that the condition on quadratic growth of the number of sampling points could be relaxed to a linear growth and still achieve stable and optimal convergence. This makes the RDP technique very promising for moderately high dimensional uncertainty quantification.

AB - In this work we consider the random discrete L$^{2}$ projection on polynomial spaces (hereafter RDP) for the approximation of scalar quantities of interest (QOIs) related to the solution of a partial differential equation model with random input parameters. In the RDP technique the QOI is first computed for independent samples of the random input parameters, as in a standard Monte Carlo approach, and then the QOI is approximated by a multivariate polynomial function of the input parameters using a discrete least squares approach. We consider several examples including the Darcy equations with random permeability, the linear elasticity equations with random elastic coefficient, and the Navier--Stokes equations in random geometries and with random fluid viscosity. We show that the RDP technique is well suited to QOIs that depend smoothly on a moderate number of random parameters. Our numerical tests confirm the theoretical findings in [G. Migliorati, F. Nobile, E. von Schwerin, and R. Tempone, Analysis of the Discrete $L^2$ Projection on Polynomial Spaces with Random Evaluations, MOX report 46-2011, Politecnico di Milano, Milano, Italy, submitted], which have shown that, in the case of a single uniformly distributed random parameter, the RDP technique is stable and optimally convergent if the number of sampling points is proportional to the square of the dimension of the polynomial space. Here optimality means that the weighted $L^2$ norm of the RDP error is bounded from above by the best L$^{\infty}$ error achievable in the given polynomial space, up to logarithmic factors. In the case of several random input parameters, the numerical evidence indicates that the condition on quadratic growth of the number of sampling points could be relaxed to a linear growth and still achieve stable and optimal convergence. This makes the RDP technique very promising for moderately high dimensional uncertainty quantification.

UR - http://hdl.handle.net/10754/555667

UR - http://epubs.siam.org/doi/abs/10.1137/120897109

UR - http://www.scopus.com/inward/record.url?scp=84884955176&partnerID=8YFLogxK

U2 - 10.1137/120897109

DO - 10.1137/120897109

M3 - Article

VL - 35

SP - A1440-A1460

JO - SIAM Journal on Scientific Computing

JF - SIAM Journal on Scientific Computing

SN - 1064-8275

IS - 3

ER -