Volume 53, Number 5, September-October 2019
|Page(s)||1507 - 1552|
|Published online||06 August 2019|
Multilevel quasi-Monte Carlo integration with product weights for elliptic PDEs with lognormal coefficients⋆
Seminar for Applied Mathematics, ETH Zürich, 8092 Zürich, Switzerland.
* Corresponding author: email@example.com
Accepted: 18 February 2019
We analyze the convergence rate of a multilevel quasi-Monte Carlo (MLQMC) Finite Element Method (FEM) for a scalar diffusion equation with log-Gaussian, isotropic coefficients in a bounded, polytopal domain D ⊂ ℝd. The multilevel algorithm QL* which we analyze here was first proposed, in the case of parametric PDEs with sequences of independent, uniformly distributed parameters in Kuo et al. (Found. Comput. Math. 15 (2015) 411–449). The random coefficient is assumed to admit a representation with locally supported coefficient functions, as arise for example in spline- or multiresolution representations of the input random field. The present analysis builds on and generalizes our single-level analysis in Herrmann and Schwab (Numer. Math. 141 (2019) 63–102). It also extends the MLQMC error analysis in Kuo et al. (Math. Comput. 86 (2017) 2827–2860), to locally supported basis functions in the representation of the Gaussian random field (GRF) in D, and to product weights in QMC integration. In particular, in polytopal domains D ⊂ ℝd, d=2,3, our analysis is based on weighted function spaces to describe solution regularity with respect to the spatial coordinates. These spaces allow GRFs and PDE solutions whose realizations become singular at edges and vertices of D. This allows for non-stationary GRFs whose covariance operators and associated precision operator are fractional powers of elliptic differential operators in D with boundary conditions on ∂D. In the weighted function spaces in D, first order, Lagrangian Finite Elements on regular, locally refined, simplicial triangulations of D yield optimal asymptotic convergence rates. Comparison of the ε-complexity for a class of Matérn-like GRF inputs indicates, for input GRFs with low sample regularity, superior performance of the present MLQMC-FEM with locally supported representation functions over alternative representations, e.g. of Karhunen–Loève type. Our analysis yields general bounds for the ε-complexity of the MLQMC algorithm, uniformly with respect to the dimension of the parameter space.
Mathematics Subject Classification: 65D30 / 65N30 / 60G60
Key words: Quasi-Monte Carlo methods / multilevel quasi-Monte Carlo / uncertainty quantification / error estimates / high-dimensional quadrature / elliptic partial differential equations with lognormal input
© EDP Sciences, SMAI 2019
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