Abstract
We consider the numerical solution of Robin boundary value problems on random domains. The proposed method computes the mean and the variance of the random solution with leading order in the amplitude of the random boundary perturbation relative to an unperturbed, nominal domain. The variance is computed from the solution’s two-point correlation which satisfies a deterministic boundary value problem on the tensor product of the nominal domain. We solve this moderatly high-dimensional problem by either a low-rank approximation by means of the pivoted Cholesky decomposition or the combination technique. Both approaches are presented and compared by numerical experiments with respect to their efficiency.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Babuška, I., Nobile, F., Tempone, R.: Worst case scenario analysis for elliptic problems with uncertainty. Numer. Math. 101, 185–219 (2005)
Braess, D.: Finite Elements. Theory, Fast Solvers, and Applications in Solid Mechanics, 2nd edn. Cambridge University Press, Cambridge (2001)
Bramble, J., Pasciak, J., Xu, J.: Parallel multilevel preconditioners. Math. Comput. 55, 1–22 (1990)
Brenner, S.C., Scott, L.R.: The Mathematical Theory of Finite Element Methods. Texts in Applied Mathematics, vol. 15. Springer, New York (1994)
Bungartz, H.J., Griebel, M.: Sparse grids. Acta Numer. 13, 147–269 (2004)
Canuto, C., Kozubek, T.: A fictitious domain approach to the numerical solution of PDEs in stochastic domains. Numer. Math. 107, 257–293 (2007)
Chernov, A., Schwab, C.: First order k-th moment finite element analysis of nonlinear operator equations with stochastic data. Math. Comput. 82, 1859–1888 (2013)
Christiansen, O.: An Introduction to Frames and Riesz Bases. Applied and Numerical Harmonic Analysis. Birkhäuser, Boston (2002)
Dahlke, S., Fornasier, M., Raasch, T., Stevenson, R., Werner, M.: Adaptive frame methods for elliptic operator equations. The steepest descent approach. IMA J. Numer. Math. 27, 717–740 (2007)
Dahmen, W.: Wavelet and multiscale methods for operator equations. Acta Numer. 6, 55–228 (1997)
Deb, M.K., Babuška, I., Oden, J.T.: Solution of stochastic partial differential equations using Galerkin finite element techniques. Comput. Methods Appl. Mech. Eng. 190, 6359–6372 (2001)
Delfour, M., Zolesio, J.-P.: Shapes and Geometries. SIAM, Philadelphia (2001)
Frauenfelder, P., Schwab, C., Todor, R.A.: Finite elements for elliptic problems with stochastic coefficients. Comput. Methods Appl. Mech. Eng. 194, 205–228 (2004)
Ghanem, R.G., Spanos, P.D.: Stochastic Finite Elements. A Spectral Approach. Springer, New York (1991)
Grasedyck, L.: Existence and computation of a low Kronecker-rank approximant to the solution of a tensor system with tensor right-hand side. Computing 72, 247–265 (2004)
Griebel, M.: Multilevel algorithms considered as iterative methods on semidefinite systems. SIAM J. Sci. Comput. 15, 547–565 (1994)
Griebel, M.: Multilevelmethoden als Iterationsverfahren über Erzeugendensystemen. Teubner Skripten zur Numerik. B.G. Teubner, Stuttgart (1994)
Griebel, M., Harbrecht, H.: Approximation of bivariate functions: singular value decomposition versus sparse grids. IMA J. Numer. Anal. (2013, to appear)
Griebel, M., Oswald, P.: On additive Schwarz preconditioners for sparse grid discretizations. Numer. Math. 66, 449–463 (1994)
Griebel, M., Oswald, P.: Tensor product type subspace splittings and multilevel iterative methods for anisotropic problems. Adv. Comput. Math. 4, 171–206 (1995)
Griebel, M., Schneider, M., Zenger, C.: A combination technique for the solution of sparse grid problems. In: de Groen, P., Beauwens, R. (eds.) Iterative Methods in Linear Algebra. IMACS, pp. 263–281. Elsevier, North Holland (1992)
Harbrecht, H.: A finite element method for elliptic problems with stochastic input data. Appl. Numer. Math. 60, 227–244 (2010)
Harbrecht, H., Li, J.: First order second moment analysis for stochastic interface problems based on low-rank approximation. ESAIM Math. Model. Numer. Anal. (2013, to appear)
Harbrecht, H., Schneider, R.: Biorthogonal wavelet bases for the boundary element method. Math. Nachr. 269–270, 167–188 (2004)
Harbrecht, H., Stevenson, R.: Wavelets with patchwise cancellation properties. Math. Comput. 75, 1871–1889 (2006)
Harbrecht, H., Schneider, R., Schwab, C.: Sparse second moment analysis for elliptic problems in stochastic domains. Numer. Math. 109, 167–188 (2008)
Harbrecht, H., Schneider, R., Schwab, C.: Multilevel frames for sparse tensor product spaces. Numer. Math. 110, 199–220 (2008)
Harbrecht, H., Peters, M., Siebenmorgen, M.: Combination technique based k-th moment analysis of elliptic problems with random diffusion. J. Comput. Phys. 252, 128–141 (2013)
Harbrecht, H., Peters, M., Schneider, R.: On the low-rank approximation by the pivoted Cholesky decomposition. Appl. Numer. Math. 62, 428–440 (2012)
Hegland, M., Garcke, J., Challis, V.: The combination technique and some generalisations. Linear Algebra Appl. 420, 249–275 (2007)
Hiptmair, R., Li, J.: Shape derivatives in differential forms I. An intrinsic perspective. Ann. Mat. Pura Appl. (2012, to appear)
Matthies, H.G., Keese, A.: Galerkin methods for linear and nonlinear elliptic stochastic partial differential equations. Comput. Methods Appl. Mech. Eng. 194, 1295–1331 (2005)
Mohan, P.S., Nair, P.B., Keane, A.J.: Stochastic projection schemes for deterministic linear elliptic partial differential equations on random domains. Int. J. Numer. Methods Eng. 85, 874–895 (2011)
Nouy, A., Chevreuil, M., Safatly, E.: Fictitious domain method and separated representations for the solution of boundary value problems on uncertain parameterized domains. Comput. Methods Appl. Mech. Eng. 200, 3066–3082 (2011)
Oswald, P.: Multilevel Finite Element Approximation. Theory and Applications. Teubner Skripten zur Numerik. B.G. Teubner, Stuttgart (1994)
Pflaum, C., Zhou, A.: Error analysis of the combination technique. Numer. Math. 84, 327–350 (1999)
Protter, P.: Stochastic Integration and Differential Equations. A New Approach. Springer, Berlin (1990)
Schwab, C., Todor, R.: Sparse finite elements for elliptic problems with stochastic loading. Numer. Math. 95, 707–734 (2003)
Schwab, C., Todor, R.: Karhunen-Loéve approximation of random fields by generalized fast multipole methods. J. Comput. Phys. 217, 100–122 (2006)
Sokolowski, J., Zolesio, J.-P.: Introduction to Shape Optimization. Springer, Berlin (1992)
Stevenson, R.: Adaptive solution of operator equations using wavelet frames. SIAM J. Numer. Anal. 41, 1074–1100 (2003)
Stevenson, R.: Composite wavelet bases with extended stability and cancellation properties. SIAM J. Numer. Anal. 45, 133–162 (2007)
Tartakovsky, D.M., Xiu, D.: Numerical methods for differential equations in random domains. SIAM J. Sci. Comput. 28, 1167–1185 (2006)
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2014 Springer International Publishing Switzerland
About this chapter
Cite this chapter
Harbrecht, H. (2014). Second Moment Analysis for Robin Boundary Value Problems on Random Domains. In: Griebel, M. (eds) Singular Phenomena and Scaling in Mathematical Models. Springer, Cham. https://doi.org/10.1007/978-3-319-00786-1_16
Download citation
DOI: https://doi.org/10.1007/978-3-319-00786-1_16
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-00785-4
Online ISBN: 978-3-319-00786-1
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)