- Research Article
516
- 10.1137/070680540
An Anisotropic Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data
- Jan 01, 2008
- SIAM Journal on Numerical Analysis
- F Nobile + 2 more +2
This work proposes and analyzes an anisotropic sparse grid stochastic collocation \nmethod for solving partial differential equations with random coefficients and forcing terms (input \ndata of the model). The method consists of a Galerkin approximation in the space variables and a \ncollocation, in probability space, on sparse tensor product grids utilizing either Clenshaw–Curtis or \nGaussian knots. Even in the presence of nonlinearities, the collocation approach leads to the solution \nof uncoupled deterministic problems, just as in the Monte Carlo method. This work includes a priori \nand a posteriori procedures to adapt the anisotropy of the sparse grids to each given problem. \nThese procedures seem to be very effective for the problems under study. The proposed method \ncombines the advantages of isotropic sparse collocation with those of anisotropic full tensor product \ncollocation: the first approach is effective for problems depending on random variables which weigh \napproximately equally in the solution, while the benefits of the latter approach become apparent when \nsolving highly anisotropic problems depending on a relatively small number of random variables, as \nin the case where input random variables are Karhunen–Lo`eve truncations of “smooth” random \nfields. This work also provides a rigorous convergence analysis of the fully discrete problem and \ndemonstrates (sub)exponential convergence in the asymptotic regime and algebraic convergence in \nthe preasymptotic regime, with respect to the total number of collocation points. It also shows \nthat the anisotropic approximation breaks the curse of dimensionality for a wide set of problems. \nNumerical examples illustrate the theoretical results and are used to compare this approach with \nseveral others, including the standard Monte Carlo. In particular, for moderately large-dimensional \nproblems, the sparse grid approach with a properly chosen anisotropy seems to be very efficient and \nsuperior to all examined methods.
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