Uncertainty quantification for random domains using periodic random variables

We consider uncertainty quantification for the Poisson problem subject to domain uncertainty. For the stochastic parameterization of the random domain, we use the model recently introduced by Kaarnioja et al. (SIAM J. Numer. Anal., 2020) in which a countably infinite number of independent random var...

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Published inNumerische Mathematik Vol. 156; no. 1; pp. 273 - 317
Main Authors Hakula, Harri, Harbrecht, Helmut, Kaarnioja, Vesa, Kuo, Frances Y., Sloan, Ian H.
Format Journal Article
LanguageEnglish
Published Berlin/Heidelberg Springer Berlin Heidelberg 01.02.2024
Springer Nature B.V
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Abstract We consider uncertainty quantification for the Poisson problem subject to domain uncertainty. For the stochastic parameterization of the random domain, we use the model recently introduced by Kaarnioja et al. (SIAM J. Numer. Anal., 2020) in which a countably infinite number of independent random variables enter the random field as periodic functions. We develop lattice quasi-Monte Carlo (QMC) cubature rules for computing the expected value of the solution to the Poisson problem subject to domain uncertainty. These QMC rules can be shown to exhibit higher order cubature convergence rates permitted by the periodic setting independently of the stochastic dimension of the problem. In addition, we present a complete error analysis for the problem by taking into account the approximation errors incurred by truncating the input random field to a finite number of terms and discretizing the spatial domain using finite elements. The paper concludes with numerical experiments demonstrating the theoretical error estimates.
AbstractList We consider uncertainty quantification for the Poisson problem subject to domain uncertainty. For the stochastic parameterization of the random domain, we use the model recently introduced by Kaarnioja et al. (SIAM J. Numer. Anal., 2020) in which a countably infinite number of independent random variables enter the random field as periodic functions. We develop lattice quasi-Monte Carlo (QMC) cubature rules for computing the expected value of the solution to the Poisson problem subject to domain uncertainty. These QMC rules can be shown to exhibit higher order cubature convergence rates permitted by the periodic setting independently of the stochastic dimension of the problem. In addition, we present a complete error analysis for the problem by taking into account the approximation errors incurred by truncating the input random field to a finite number of terms and discretizing the spatial domain using finite elements. The paper concludes with numerical experiments demonstrating the theoretical error estimates.
We consider uncertainty quantification for the Poisson problem subject to domain uncertainty. For the stochastic parameterization of the random domain, we use the model recently introduced by Kaarnioja et al. (SIAM J. Numer. Anal., 2020) in which a countably infinite number of independent random variables enter the random field as periodic functions. We develop lattice quasi-Monte Carlo (QMC) cubature rules for computing the expected value of the solution to the Poisson problem subject to domain uncertainty. These QMC rules can be shown to exhibit higher order cubature convergence rates permitted by the periodic setting independently of the stochastic dimension of the problem. In addition, we present a complete error analysis for the problem by taking into account the approximation errors incurred by truncating the input random field to a finite number of terms and discretizing the spatial domain using finite elements. The paper concludes with numerical experiments demonstrating the theoretical error estimates.
Author Kaarnioja, Vesa
Kuo, Frances Y.
Harbrecht, Helmut
Hakula, Harri
Sloan, Ian H.
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  givenname: Frances Y.
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  fullname: Kuo, Frances Y.
  organization: School of Mathematics and Statistics, UNSW Sydney
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  givenname: Ian H.
  surname: Sloan
  fullname: Sloan, Ian H.
  organization: School of Mathematics and Statistics, UNSW Sydney
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Cites_doi 10.1137/0724010
10.1137/19M1262796
10.1007/s00211-008-0147-9
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10.1137/16M1099406
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MohanPSNairPBKeaneAJStochastic projection schemes for deterministic linear elliptic partial differential equations on random domainsInt. J. Numer. Methods Eng.2011857874895279122810.1002/nme.3004
AhlforsLVConformal Invariants: Topics in Geometric Function Theory. Higher Mathematics Series1973New YorkMcGraw-Hill
DickJKuoFYLe GiaQTNuyensDSchwabCHigher order QMC Petrov-Galerkin discretization for affine parametric operator equations with random field inputsSIAM J. Numer. Anal.201452626762702327642810.1137/130943984
HarbrechtHOn output functionals of boundary value problems on stochastic domainsMath. Methods Appl. Sci.2010331911022591227
Olver, F.W.J., Olde Daalhuis, A.B., Lozier, D.W., Schneider, B.I., Boisvert, R.F., Clark, C.W., Miller, B.R., Saunders, B.V., Cohl, H.S., McClain, M.A., eds.: NIST Digital Library of Mathematical Functions. Release 1.1.6 of 2022-06-30., http://dlmf.nist.gov
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KuoFYSchwabCSloanIHQuasi-Monte Carlo finite element methods for a class of elliptic partial differential equations with random coefficientsSIAM J. Numer. Anal.201250633513374302415910.1137/110845537
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SloanIHKachoyanPJLattice methods for multiple integration: Theory, error analysis and examplesSIAM J. Numer. Anal.19872411161281987SJNA...24..116S87473910.1137/0724010
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GilbertADGrahamIGKuoFYScheichlRSloanIHAnalysis of quasi-Monte Carlo methods for elliptic eigenvalue problems with stochastic coefficientsNumer. Math.20191424863915397585210.1007/s00211-019-01046-6
Harbrecht, H., Schmidlin, M.: Multilevel quadrature for elliptic problems on random domains by the coupling of FEM and BEM. Stoch. Partial Differ. Equ. Anal. Comput. 10(4), 1619–1650 (2022)
HardyGHLittlewoodJEPólyaGInequalities1934CambridgeCambridge University Press
GilbargDTrudingerNSElliptic Partial Differential Equations of Second Order20012BerlinSpringer10.1007/978-3-642-61798-0
DickJSloanIHWangXWoźniakowskiHGood lattice rules in weighted Korobov spaces with general weightsNumer. Math.200610316397220761510.1007/s00211-005-0674-6
LV Ahlfors (1392_CR1) 1973
V Kaarnioja (1392_CR23) 2020; 58
H Harbrecht (1392_CR17) 2008; 109
GH Hardy (1392_CR18) 1934
JE Castrillón-Candás (1392_CR3) 2016; 71
D Kressner (1392_CR25) 2011; 32
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RN Gantner (1392_CR7) 2018
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AD Gilbert (1392_CR9) 2019; 142
I Babuška (1392_CR2) 2002; 191
PS Mohan (1392_CR27) 2011; 85
H Harbrecht (1392_CR13) 2010; 33
J Dick (1392_CR6) 2006; 103
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D Xiu (1392_CR31) 2006; 28
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A Cohen (1392_CR4) 2018; 50
1392_CR11
P Grisvard (1392_CR10) 1985
R Hiptmair (1392_CR19) 2018; 44
IH Sloan (1392_CR30) 1987; 24
C Jerez-Hanckes (1392_CR21) 2017; 27
D Gilbarg (1392_CR8) 2001
H Harbrecht (1392_CR15) 2016; 134
J Dick (1392_CR5) 2014; 52
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FY Kuo (1392_CR26) 2012; 50
References_xml – reference: HarbrechtHOn output functionals of boundary value problems on stochastic domainsMath. Methods Appl. Sci.2010331911022591227
– reference: HarbrechtHSchneiderRSchwabCSparse second moment analysis for elliptic problems in stochastic domainsNumer. Math.20081093385414239915010.1007/s00211-008-0147-9
– reference: MohanPSNairPBKeaneAJStochastic projection schemes for deterministic linear elliptic partial differential equations on random domainsInt. J. Numer. Methods Eng.2011857874895279122810.1002/nme.3004
– reference: SloanIHKachoyanPJLattice methods for multiple integration: Theory, error analysis and examplesSIAM J. Numer. Anal.19872411161281987SJNA...24..116S87473910.1137/0724010
– reference: Olver, F.W.J., Olde Daalhuis, A.B., Lozier, D.W., Schneider, B.I., Boisvert, R.F., Clark, C.W., Miller, B.R., Saunders, B.V., Cohl, H.S., McClain, M.A., eds.: NIST Digital Library of Mathematical Functions. Release 1.1.6 of 2022-06-30., http://dlmf.nist.gov/
– reference: GilbertADGrahamIGKuoFYScheichlRSloanIHAnalysis of quasi-Monte Carlo methods for elliptic eigenvalue problems with stochastic coefficientsNumer. Math.20191424863915397585210.1007/s00211-019-01046-6
– reference: CohenASchwabCZechJShape holomorphy of the stationary Navier-Stokes equationsSIAM J. Math. Anal.201850217201752378074210.1137/16M1099406
– reference: Guth, P.A., Kaarnioja, V.: Generalized dimension truncation error analysis for high-dimensional numerical integration: lognormal setting and beyond (2022). Preprint at arXiv:2209.06176
– reference: GantnerRNOwenABGlynnPWDimension truncation in QMC for affine-parametric operator equationsMonte Carlo and Quasi-Monte Carlo Methods 20162018Stanford, CASpringer24926410.1007/978-3-319-91436-7_13
– reference: Katana: Published online (2010). https://doi.org/10.26190/669X-A286
– reference: KressnerDToblerCLow-rank tensor Krylov subspace methods for parametrized linear systemsSIAM J. Matrix Anal. Appl.201132412881316285461410.1137/100799010
– reference: XiuDTartakovskyDMNumerical methods for differential equations in random domainsSIAM J. Sci. Comput.200628311671185224080910.1137/040613160
– reference: Castrillón-CandásJENobileFTemponeRFAnalytic regularity and collocation approximation for elliptic PDEs with random domain deformationsComput. Math. Appl.201671611731197347191710.1016/j.camwa.2016.01.005
– reference: HardyGHLittlewoodJEPólyaGInequalities1934CambridgeCambridge University Press
– reference: HiptmairRScarabosioLSchillingsCSchwabCLarge deformation shape uncertainty quantification in acoustic scatteringAdv. Comput. Math.201844514751518387402710.1007/s10444-018-9594-8
– reference: Guth, P.A., Kaarnioja, V., Kuo, F.Y., Schillings, C., Sloan, I.H.: Parabolic PDE-constrained optimal control under uncertainty with entropic risk measure using quasi-Monte Carlo integration (2022). Preprint at arXiv:2208.02767
– reference: GilbargDTrudingerNSElliptic Partial Differential Equations of Second Order20012BerlinSpringer10.1007/978-3-642-61798-0
– reference: Harbrecht, H., Schmidlin, M.: Multilevel quadrature for elliptic problems on random domains by the coupling of FEM and BEM. Stoch. Partial Differ. Equ. Anal. Comput. 10(4), 1619–1650 (2022)
– reference: DickJKuoFYLe GiaQTNuyensDSchwabCHigher order QMC Petrov-Galerkin discretization for affine parametric operator equations with random field inputsSIAM J. Numer. Anal.201452626762702327642810.1137/130943984
– reference: Hörmander, L.: An Introduction to Complex Analysis in Several Variables, 3rd edn. North-Holland (1990)
– reference: GrisvardPElliptic Problems in Nonsmooth Domains1985New YorkPitman Publishing Inc
– reference: KuoFYSchwabCSloanIHQuasi-Monte Carlo finite element methods for a class of elliptic partial differential equations with random coefficientsSIAM J. Numer. Anal.201250633513374302415910.1137/110845537
– reference: KaarniojaVKuoFYSloanIHUncertainty quantification using periodic random variablesSIAM J. Numer. Anal.202058210681091408038910.1137/19M1262796
– reference: SavitsTHSome statistical applications of Faa di BrunoJ. Multivariate Anal.2006971021312140230162910.1016/j.jmva.2006.03.001
– reference: AhlforsLVConformal Invariants: Topics in Geometric Function Theory. Higher Mathematics Series1973New YorkMcGraw-Hill
– reference: Harbrecht, H., Karnaev, V., Schmidlin, M.: Quantifying domain uncertainty in linear elasticity. Tech. Rep. 2023-06, Fachbereich Mathematik, Universität Basel, Switzerland (2023)
– reference: DickJSloanIHWangXWoźniakowskiHGood lattice rules in weighted Korobov spaces with general weightsNumer. Math.200610316397220761510.1007/s00211-005-0674-6
– reference: HarbrechtHPetersMSiebenmorgenMAnalysis of the domain mapping method for elliptic diffusion problems on random domainsNumer. Math.20161344823856356328210.1007/s00211-016-0791-4
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Snippet We consider uncertainty quantification for the Poisson problem subject to domain uncertainty. For the stochastic parameterization of the random domain, we use...
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SubjectTerms Domains
Error analysis
Fields (mathematics)
Independent variables
Mathematical and Computational Engineering
Mathematical and Computational Physics
Mathematical Methods in Physics
Mathematics
Mathematics and Statistics
Numerical Analysis
Numerical and Computational Physics
Parameterization
Periodic functions
Random variables
Simulation
Stochastic processes
Theoretical
Uncertainty
Title Uncertainty quantification for random domains using periodic random variables
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