Clayton G. Webster

A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data

This work proposes and analyzes a Smolyak-type sparse grid stochastic collocation method for the approximation of statistical quantities related to the solution of partial differential equations with random coefficients and forcing terms (input data of the model). To compute solution statistics, the sparse grid stochastic collocation method uses approximate solutions, produced here by finite elements, corresponding to a deterministic set of points in the random input space. This naturally requires solving uncoupled deterministic problems as in the Monte Carlo method. If the number of random variables needed to describe the input data is moderately large, full tensor product spaces are computationally expensive to use due to the curse of dimensionality. In this case the sparse grid approach is still expected to be competitive with the classical Monte Carlo method. Therefore, it is of major practical relevance to understand in which situations the sparse grid stochastic collocation method is more efficient than Monte Carlo. This work provides error estimates for the fully discrete solution using

An Anisotropic Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data

L^q

Stochastic finite element methods for partial differential equations with random input data

norms and analyzes the computational efficiency of the proposed method. In particular, it demonstrates algebraic convergence with respect to the total number of collocation points and quantifies the effect of the dimension of the problem (number of input random variables) in the final estimates. The derived estimates are then used to compare the method with Monte Carlo, indicating for which problems the former is more efficient than the latter. Computational evidence complements the present theory and shows the effectiveness of the sparse grid stochastic collocation method compared to full tensor and Monte Carlo approaches.

A Multilevel Stochastic Collocation Method for Partial Differential Equations with Random Input Data

This work proposes and analyzes an anisotropic sparse grid stochastic collocation method for solving partial differential equations with random coefficients and forcing terms (input data of the model). The method consists of a Galerkin approximation in the space variables and a collocation, in probability space, on sparse tensor product grids utilizing either Clenshaw-Curtis or Gaussian knots. Even in the presence of nonlinearities, the collocation approach leads to the solution of uncoupled deterministic problems, just as in the Monte Carlo method. This work includes a priori and a posteriori procedures to adapt the anisotropy of the sparse grids to each given problem. These procedures seem to be very effective for the problems under study. The proposed method combines the advantages of isotropic sparse collocation with those of anisotropic full tensor product collocation: the first approach is effective for problems depending on random variables which weigh approximately equally in the solution, while the benefits of the latter approach become apparent when solving highly anisotropic problems depending on a relatively small number of random variables, as in the case where input random variables are Karhunen-Loeve truncations of “smooth” random fields. This work also provides a rigorous convergence analysis of the fully discrete problem and demonstrates (sub)exponential convergence in the asymptotic regime and algebraic convergence in the preasymptotic regime, with respect to the total number of collocation points. It also shows that the anisotropic approximation breaks the curse of dimensionality for a wide set of problems. Numerical examples illustrate the theoretical results and are used to compare this approach with several others, including the standard Monte Carlo. In particular, for moderately large-dimensional problems, the sparse grid approach with a properly chosen anisotropy seems to be very efficient and superior to all examined methods.

Hyperspherical Sparse Approximation Techniques for High-Dimensional Discontinuity Detection

The quantification of probabilistic uncertainties in the outputs of physical, biological, and social systems governed by partial differential equations with random inputs require, in practice, the discretization of those equations. Stochastic finite element methods refer to an extensive class of algorithms for the approximate solution of partial differential equations having random input data, for which spatial discretization is effected by a finite element method. Fully discrete approximations require further discretization with respect to solution dependences on the random variables. For this purpose several approaches have been developed, including intrusive approaches such as stochastic Galerkin methods, for which the physical and probabilistic degrees of freedom are coupled, and non-intrusive approaches such as stochastic sampling and interpolatory-type stochastic collocation methods, for which the physical and probabilistic degrees of freedom are uncoupled. All these method classes are surveyed in this article, including some novel recent developments. Details about the construction of the various algorithms and about theoretical error estimates and complexity analyses of the algorithms are provided. Throughout, numerical examples are used to illustrate the theoretical results and to provide further insights into the methodologies.

An Adaptive Wavelet Stochastic Collocation Method for Irregular Solutions of Partial Differential Equations with Random Input Data

Stochastic collocation methods for approximating the solution of partial differential equations with random input data (e.g., coefficients and forcing terms) suffer from the curse of dimensionality...

NUMERICAL ANALYSIS OF FIXED POINT ALGORITHMS IN THE PRESENCE OF HARDWARE FAULTS

This work proposes a hyperspherical sparse approximation framework for detecting jump discontinuities in functions in high-dimensional spaces. The need for a novel approach results from the theoretical and computational inefficiencies of well-known approaches, such as adaptive sparse grids, for discontinuity detection. Our approach constructs the hyperspherical coordinate representation of the discontinuity surface of a function. Then sparse approximations of the transformed function are built in the hyperspherical coordinate system, with values at each point estimated by solving a one-dimensional discontinuity detection problem. Due to the smoothness of the hypersurface, the new technique can identify jump discontinuities with significantly reduced computational cost, compared to existing methods. Several approaches are used to approximate the transformed discontinuity surface in the hyperspherical system, including adaptive sparse grid and radial basis function interpolation, discrete least squares proj...

A Hyperspherical Adaptive Sparse-Grid Method for High-Dimensional Discontinuity Detection

A novel multi-dimensional multi-resolution adaptive wavelet stochastic collocation method (AWSCM) for solving partial differential equations with random input data is proposed. The uncertainty in the input data is assumed to depend on a finite number of random variables. In case the dimension of this stochastic domain becomes moderately large, we show that utilizing a hierarchical sparse-grid AWSCM (sg-AWSCM) not only combats the curse of dimensionality but, in contrast to the standard sg-SCMs built from global Lagrange-type interpolating polynomials, maintains fast convergence without requiring sufficiently regular stochastic solutions. Instead, our non-intrusive approach extends the sparse-grid adaptive linear stochastic collocation method (sg-ALSCM) by employing a compactly supported wavelet approximation, with the desirable multi-scale stability of the hierarchical coefficients guaranteed as a result of the wavelet basis having the Riesz property. This property provides an additional lower bound estimate for the wavelet coefficients that are used to guide the adaptive grid refinement, resulting in the sg-AWSCM requiring a significantly reduced number of deterministic simulations for both smooth and irregular stochastic solutions. Second-generation wavelets constructed from a lifting scheme allows us to preserve the framework of the multi-resolution analysis, compact support, as well as the necessary interpolatory and Riesz property of the hierarchical basis. Several numerical examples are given to demonstrate the improved convergence of our numerical scheme and show the increased efficiency when compared to the sg-ALSCM method.

Application of High Performance Computing for Simulating the Unstable Dynamics of Dilute Spark-Ignited Combustion

The exponential growth of computational power of the extreme scale machines over the past few decades has led to a corresponding decrease in reliability and a sharp increase of the frequency of hardware faults. Our research focuses on the mathematical challenges presented by the silent hardware faults; i.e., faults that can perturb the result of computations in an inconspicuous way. Using the approach of selective reliability, we present an analytic fault mode that can be used to study the resilience properties of a numerical algorithm. We apply our approach to the classical fixed point iteration and demonstrate that in the presence of hardware faults, the classical method fails to converge in expectation. We preset a modified resilient algorithm that detects and rejects faults resulting in error with large magnitude, while small faults are negated by the natural self-correcting properties of the algorithm. We show that our method is convergent (in first and second statistical moments) even in the presenc...

Compressed Sensing Approaches for Polynomial Approximation of High-Dimensional Functions

This work proposes and analyzes a hyperspherical adaptive hierarchical sparse-grid method for detecting jump discontinuities of functions in high-dimensional spaces. The method is motivated by the theoretical and computational inefficiencies of well-known adaptive sparse-grid methods for discontinuity detection. Our novel approach constructs a function representation of the discontinuity hypersurface of an