**Êtes-vous un étudiant de l'EPFL à la recherche d'un projet de semestre?**

Travaillez avec nous sur des projets en science des données et en visualisation, et déployez votre projet sous forme d'application sur GraphSearch.

Publication# MATHICSE Technical Report: A posteriori error estimation for the stochastic collocation finite element approximation of the heat equation with random coefficients

Résumé

In this work we present a residual based a posteriori error estimation for a heat equation with a random forcing term and a random diffusion coefficient which is assumed to depend affinely on a finite number of independent random variables. The problem is discretized by a stochastic collocation finite element method and advanced in time by the θ-scheme. The a posteriori error estimate consists of three parts controlling the finite element error, the time discretization error and the stochastic collocation error, respectively. These estimators are then used to drive an adaptive choice of FE mesh, collocation points and time steps. We study the effectiveness of the estimate and the performance of the adaptive algorithm on a numerical example.

Official source

Cette page est générée automatiquement et peut contenir des informations qui ne sont pas correctes, complètes, à jour ou pertinentes par rapport à votre recherche. Il en va de même pour toutes les autres pages de ce site. Veillez à vérifier les informations auprès des sources officielles de l'EPFL.

Concepts associés

Chargement

Publications associées

Chargement

Concepts associés (17)

Méthode des éléments finis

En analyse numérique, la méthode des éléments finis (MEF, ou FEM pour finite element method en anglais) est utilisée pour résoudre numériquement des équations aux dérivées partielles. Celles-ci pe

Temps

thumb|Chronos, dieu du temps de la mythologie grecque, par Ignaz Günther, Bayerisches Nationalmuseum à Munich.
vignette|Montre à gousset ancienne
Le temps est une notion qui rend compte du changement

Discrétisation

En mathématiques appliquées, la discrétisation est la transposition d'un état (fonction, modèle, variable, équation) en un équivalent . Ce procédé constitue en général une étape préliminaire à la ré

Publications associées (23)

Chargement

Chargement

Chargement

This thesis is devoted to the derivation of error estimates for partial differential equations with random input data, with a focus on a posteriori error estimates which are the basis for adaptive strategies. Such procedures aim at obtaining an approximation of the solution with a given precision while minimizing the computational costs. If several sources of error come into play, it is then necessary to balance them to avoid unnecessary work. We are first interested in problems that contain small uncertainties approximated by finite elements. The use of perturbation techniques is appropriate in this setting since only few terms in the power series expansion of the exact random solution with respect to a parameter characterizing the amount of randomness in the problem are required to obtain an accurate approximation. The goal is then to perform an error analysis for the finite element approximation of the expansion up to a certain order. First, an elliptic model problem with random diffusion coefficient with affine dependence on a vector of independent random variables is studied. We give both a priori and a posteriori error estimates for the first term in the expansion for various norms of the error. The results are then extended to higher order approximations and to other sources of uncertainty, such as boundary conditions or forcing term. Next, the analysis of nonlinear problems in random domains is proposed, considering the one-dimensional viscous Burgers' equation and the more involved incompressible steady-state Navier-Stokes equations. The domain mapping method is used to transform the equations in random domains into equations in a fixed reference domain with random coefficients. We give conditions on the mapping and the input data under which we can prove the well-posedness of the problems and give a posteriori error estimates for the finite element approximation of the first term in the expansion. Finally, we consider the heat equation with random Robin boundary conditions. For this parabolic problem, the time discretization brings an additional source of error that is accounted for in the error analysis. The second part of this work consists in the analysis of a random elliptic diffusion problem that is approximated in the physical space by the finite element method and in the stochastic space by the stochastic collocation method on a sparse grid. Considering a random diffusion coefficient with affine dependence on a vector of independent random variables, we derive a residual-based a posteriori error estimate that controls the two sources of error. The stochastic error estimator is then used to drive an adaptive sparse grid algorithm which aims at alleviating the so-called curse of dimensionality inherent to tensor grids. Several numerical examples are given to illustrate the performance of the adaptive procedure.

A posteriori error estimates for the heat equation in two space dimensions are presented. A classical discretization is used, Euler backward in time, and continuous, piecewise linear triangular finite elements in space. The error is bounded above and below by an explicit error estimator based on the residual. Numerical results are presented for uniform triangulations and constant time steps. The quality of our error estimator is discussed. An adaptive algorithm is then proposed. Successive Delaunay triangulations are generated, so that the estimated relative error is close to a preset tolerance. Again, numerical results demonstrate the efficiency of our approach. (C) 1998 Elsevier Science S.A. All rights reserved.

1998The quantification of uncertainties can be particularly challenging for problems requiring long-time integration as the structure of the random solution might considerably change over time. In this respect, dynamical low-rank approximation (DLRA) is very appealing. It can be seen as a reduced basis method, thus solvable at a relatively low computational cost, in which the solution is expanded as a linear combination of a few deterministic functions with random coefficients. The distinctive feature of the DLRA is that both the deterministic functions and random coefficients are computed on the fly and are free to evolve in time, thus adjusting at each time to the current structure of the random solution. This is achieved by suitably projecting the dynamics onto the tangent space of a manifold consisting of all random functions with a fixed rank. In this thesis, we aim at further analysing and applying the DLR methods to time-dependent problems.Our first work considers the DLRA of random parabolic equations and proposes a class of fully discrete numerical schemes.Similarly to the continuous DLRA, our schemes are shown to satisfy a discrete variational formulation.By exploiting this property, we establish the stability of our schemes: we show that our explicit and semi-implicit versions are conditionally stable under a ``parabolic'' type CFL condition which does not depend on the smallest singular value of the DLR solution; whereas our implicit scheme is unconditionally stable. Moreover, we show that, in certain cases, the semi-implicit scheme can be unconditionally stable if the randomness in the system is sufficiently small. The analysis is supported by numerical results showing the sharpness of the obtained stability conditions. The discrete variational formulation is further applied in our second work, which derives a-priori and a-posteriori error estimates for the discrete DLRA of a random parabolic equation obtained by the three newly-proposed schemes. Under the assumption that the right-hand side of the dynamical system lies in the tangent space up to a small remainder, we show that the solution converges with standard convergence rates w.r.t. the time, spatial, and stochastic discretization parameters, with constants independent of singular values.We follow by presenting a residual-based a-posteriori error estimation for a heat equation with a random forcing term and a random diffusion coefficient which is assumed to depend affinely on a finite number of independent random variables. The a-posteriori error estimate consists of four parts: the finite element method error, the time discretization error, the stochastic collocation error, and the rank truncation error. These estimators are then used to drive an adaptive choice of FE mesh, collocation points, time steps, and time-varying rank.The last part of the thesis examines the idea of applying the DLR method in data assimilation problems, in particular the filtering problem. We propose two new filtering algorithms. They both rely on complementing the DLRA with a Gaussian component. More precisely, the DLR portion captures the non-Gaussian features in an evolving low-dimensional subspace through interacting particles, whereas each particle carries a Gaussian distribution on the whole ambient space. We study the effectiveness of these algorithms on a filtering problem for the Lorenz-96 system.