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research article

A stochastic collocation method for elliptic partial differential equations with random input data

Babuska, Ivo
•
Nobile, Fabio  
•
Tempone, Raul
2007
Siam Journal On Numerical Analysis

In this paper we propose and analyze a stochastic collocation method to solve elliptic partial differential equations with random coefficients and forcing terms ( input data of the model). The input data are assumed to depend on a finite number of random variables. The method consists in a Galerkin approximation in space and a collocation in the zeros of suitable tensor product orthogonal polynomials (Gauss points) in the probability space and naturally leads to the solution of uncoupled deterministic problems as in the Monte Carlo approach. It can be seen as a generalization of the stochastic Galerkin method proposed in [I. Babuska, R. Tempone, and G. E. Zouraris, SIAM J. Numer. Anal., 42 ( 2004), pp. 800-825] and allows one to treat easily a wider range of situations, such as input data that depend nonlinearly on the random variables, diffusivity coefficients with unbounded second moments, and random variables that are correlated or even unbounded. We provide a rigorous convergence analysis and demonstrate exponential convergence of the "probability error" with respect to the number of Gauss points in each direction in the probability space, under some regularity assumptions on the random input data. Numerical examples show the effectiveness of the method.

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Type
research article
DOI
10.1137/050645142
Author(s)
Babuska, Ivo
Nobile, Fabio  
Tempone, Raul
Date Issued

2007

Publisher

Society for Industrial and Applied Mathematics

Published in
Siam Journal On Numerical Analysis
Volume

45

Issue

3

Start page

1005

End page

1034

Subjects

collocation method

•

stochastic partial differential equations

•

finite elements

•

uncertainty quantification

•

exponential convergence

•

Finite-Element-Method

•

Polynomial Chaos

•

Uncertainty

•

Coefficients

•

Interpolation

•

Algorithms

Editorial or Peer reviewed

REVIEWED

Written at

OTHER

EPFL units
CSQI  
Available on Infoscience
April 23, 2012
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/79563
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