Multiscale stochastic preconditioners in non-intrusive spectral projection

Alen Alexanderian, Olivier Le Maitre, Habib N. Najm, Mohamed Iskandarani, Omar Knio*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

24 Scopus citations


A preconditioning approach is developed that enables efficient polynomial chaos (PC) representations of uncertain dynamical systems. The approach is based on the definition of an appropriate multiscale stretching of the individual components of the dynamical system which, in particular, enables robust recovery of the unscaled transient dynamics. Efficient PC representations of the stochastic dynamics are then obtained through non-intrusive spectral projections of the stretched measures. Implementation of the present approach is illustrated through application to a chemical system with large uncertainties in the reaction rate constants. Computational experiments show that, despite the large stochastic variability of the stochastic solution, the resulting dynamics can be efficiently represented using sparse low-order PC expansions of the stochastic multiscale preconditioner and of stretched variables. The present experiences are finally used to motivate several strategies that promise to yield further advantages in spectral representations of stochastic dynamics.

Original languageEnglish (US)
Pages (from-to)306-340
Number of pages35
JournalJournal of Scientific Computing
Issue number2
StatePublished - Feb 1 2012


  • Non-intrusive spectral projection
  • Polynomial chaos
  • Stochastic preconditioner
  • Stretched measure
  • Uncertain dynamical system

ASJC Scopus subject areas

  • Software
  • Computational Theory and Mathematics
  • Theoretical Computer Science
  • Engineering(all)


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