On the optimal polynomial approximation of stochastic PDEs by galerkin and collocation methods

Joakim Beck, Raul Tempone, Fabio Nobile, Lorenzo Tamellini

Research output: Contribution to journalArticlepeer-review

75 Scopus citations

Abstract

In this work we focus on the numerical approximation of the solution u of a linear elliptic PDE with stochastic coefficients. The problem is rewritten as a parametric PDE and the functional dependence of the solution on the parameters is approximated by multivariate polynomials. We first consider the stochastic Galerkin method, and rely on sharp estimates for the decay of the Fourier coefficients of the spectral expansion of u on an orthogonal polynomial basis to build a sequence of polynomial subspaces that features better convergence properties, in terms of error versus number of degrees of freedom, than standard choices such as Total Degree or Tensor Product subspaces. We consider then the Stochastic Collocation method, and use the previous estimates to introduce a new class of Sparse Grids, based on the idea of selecting a priori the most profitable hierarchical surpluses, that, again, features better convergence properties compared to standard Smolyak or tensor product grids. Numerical results show the effectiveness of the newly introduced polynomial spaces and sparse grids. © 2012 World Scientific Publishing Company.
Original languageEnglish (US)
Pages (from-to)1250023
JournalMathematical Models and Methods in Applied Sciences
Volume22
Issue number09
DOIs
StatePublished - Sep 2012

ASJC Scopus subject areas

  • Modeling and Simulation
  • Applied Mathematics

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