期刊
JOURNAL OF COMPUTATIONAL PHYSICS
卷 228, 期 12, 页码 4332-4345出版社
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.jcp.2009.03.006
关键词
Uncertainty quantification; Separated representation; Alternating least-squares; Curse of dimensionality; Stochastic partial differential equations
资金
- Department of Energy, National Nuclear Security Administration [NA28614]
Uncertainty quantification schemes based on stochastic Galerkin projections, with global or local basis functions, and also stochastic collocation methods in their conventional form, suffer from the so called curse of dimensionality: the associated computational cost grows exponentially as a function of the number of random variables defining the underlying probability space of the problem. In this paper, to overcome the curse of dimensionality, a low-rank separated approximation of the solution of a stochastic partial differential (SPDE) with high-dimensional random input data is obtained using an alternating least-squares (ALS) scheme. It will be shown that, in theory, the computational cost of the proposed algorithm grows linearly with respect to the dimension of the underlying probability space of the system. For the case of an elliptic SPDE, an a priori error analysis of the algorithm is derived. Finally, different aspects of the proposed methodology are explored through its application to some numerical experiments. (C) 2009 Elsevier Inc. All rights reserved.
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