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arXiv 1404.0963math.NAcs.NA
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多级稀疏网格方法用于具有随机系数的椭圆偏微分方程

Multilevel Sparse Grid Methods for Elliptic Partial Differential Equations with Random Coefficients

Florida State University(佛罗里达州立大学)

Hans-Werner van Wyk

AI总结:

本文提出多级稀疏网格方法,用于高效处理具有随机系数的椭圆偏微分方程,通过减少计算成本实现高精度模拟。

摘要:

随机采样方法可能是将参数不确定性引入随机输入偏微分方程数值模拟的最直接且最少侵入的方式。然而,为了达到所需的总体误差容忍度,可能需要大量的样本模拟(以控制采样误差),每个模拟可能都需要在高空间保真度下运行(以控制空间误差)。多级采样方法旨在通过使用空间离散化模型的层次结构,以减少计算成本的方式实现与传统采样方法相同精度。多级算法通过最小化计算成本,在给定误差容忍度下协调每个离散化层级所需的样本数量。它们可以应用于各种采样方案,利用嵌套结构时可提高效率,可以并行实现,并可用于指导自适应空间细化策略。本文将多级采样算法扩展到稀疏网格随机采样方法,讨论其数值实现,并通过理论分析和数值示例展示其效率。

英文摘要:

Stochastic sampling methods are arguably the most direct and least intrusive means of incorporating parametric uncertainty into numerical simulations of partial differential equations with random inputs. However, to achieve an overall error that is within a desired tolerance, a large number of sample simulations may be required (to control the sampling error), each of which may need to be run at high levels of spatial fidelity (to control the spatial error). Multilevel sampling methods aim to achieve the same accuracy as traditional sampling methods, but at a reduced computational cost, through the use of a hierarchy of spatial discretization models. Multilevel algorithms coordinate the number of samples needed at each discretization level by minimizing the computational cost, subject to a given error tolerance. They can be applied to a variety of sampling schemes, exploit nesting when available, can be implemented in parallel and can be used to inform adaptive spatial refinement strategies. We extend the multilevel sampling algorithm to sparse grid stochastic collocation methods, discuss its numerical implementation and demonstrate its efficiency both theoretically and by means of numerical examples.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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