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research article

A stochastic collocation method for the second order wave equation with a discontinuous random speed

Motamed, Mohammad
•
Nobile, Fabio  
•
Tempone, Raul
2013
Numerische Mathematik

In this paper we propose and analyze a stochastic collocation method for solving the second order wave equation with a random wave speed and subjected to deterministic boundary and initial conditions. The speed is piecewise smooth in the physical space and depends on a finite number of random variables. The numerical scheme consists of a finite difference or finite element method in the physical space and a collocation in the zeros of suitable tensor product orthogonal polynomials (Gauss points) in the probability space. This approach leads to the solution of uncoupled deterministic problems as in the Monte Carlo method. We consider both full and sparse tensor product spaces of orthogonal polynomials. We provide a rigorous convergence analysis and demonstrate different types of onvergence of the probability error with respect to the number of collocation points for full and sparse tensor product spaces and under some regularity assumptions on the data. In particular, we show that, unlike in elliptic and parabolic problems, the solution to hyperbolic problems is not in general analytic with respect to the random variables. Therefore, the rate of convergence may only be algebraic. An exponential/fast rate of convergence is still possible for some quantities of interest and for the wave solution with particular types of data. We present numerical examples, which confirm the analysis and show that the collocation method is a valid alternative to the more traditional Monte Carlo method for this class of problems.

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Type
research article
DOI
10.1007/s00211-012-0493-5
Web of Science ID

WOS:000314720400004

Author(s)
Motamed, Mohammad
Nobile, Fabio  
Tempone, Raul
Date Issued

2013

Publisher

Springer

Published in
Numerische Mathematik
Volume

123

Issue

3

Start page

493

End page

536

Subjects

Stochastic partial differential equations

•

Wave equation

•

Collocation method

•

Finite differences

•

Finite elements

•

Uncertainty quantification

•

Error analysis

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
CSQI  
RelationURL/DOI

IsNewVersionOf

https://infoscience.epfl.ch/record/263081
Available on Infoscience
July 23, 2012
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/84088
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