Repository: Freie Universit├Ąt Berlin, Math Department

Generalized dimension truncation error analysis for high-dimensional numerical integration: lognormal setting and beyond

Guth, Philipp A. and Kaarnioja, Vesa (2024) Generalized dimension truncation error analysis for high-dimensional numerical integration: lognormal setting and beyond. to appear in SIAM Journal on Numerical Analysis . (Submitted)

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Official URL: https://doi.org/10.48550/arXiv.2209.06176

Abstract

Partial differential equations (PDEs) with uncertain or random inputs have been considered in many studies of uncertainty quantification. In forward uncertainty quantification, one is interested in analyzing the stochastic response of the PDE subject to input uncertainty, which usually involves solving high-dimensional integrals of the PDE output over a sequence of stochastic variables. In practical computations, one typically needs to discretize the problem in several ways: approximating an infinite-dimensional input random field with a finite-dimensional random field, spatial discretization of the PDE using, e.g., finite elements, and approximating high-dimensional integrals using cubatures such as quasi-Monte Carlo methods. In this paper, we focus on the error resulting from dimension truncation of an input random field. We show how Taylor series can be used to derive theoretical dimension truncation rates for a wide class of problems and we provide a simple checklist of conditions that a parametric mathematical model needs to satisfy in order for our dimension truncation error bound to hold. Some of the novel features of our approach include that our results are applicable to non-affine parametric operator equations, dimensionally-truncated conforming finite element discretized solutions of parametric PDEs, and even compositions of PDE solutions with smooth nonlinear quantities of interest. As a specific application of our method, we derive an improved dimension truncation error bound for elliptic PDEs with lognormally parameterized diffusion coefficients. Numerical examples support our theoretical findings.

Item Type:Article
Subjects:Mathematical and Computer Sciences > Mathematics > Applied Mathematics
Divisions:Department of Mathematics and Computer Science > Institute of Mathematics > Deterministic and Stochastic PDEs Group
ID Code:3101
Deposited By: Ulrike Eickers
Deposited On:19 Feb 2024 15:17
Last Modified:19 Feb 2024 15:17

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