We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Multilevel quasi-Monte Carlo for random elliptic eigenvalue problems II: efficient algorithms and numerical results.
- Authors
Gilbert, Alexander D; Scheichl, Robert
- Abstract
Stochastic partial differential equation (PDE) eigenvalue problems (EVPs) often arise in the field of uncertainty quantification, whereby one seeks to quantify the uncertainty in an eigenvalue, or its eigenfunction. In this paper, we present an efficient multilevel quasi-Monte Carlo (MLQMC) algorithm for computing the expectation of the smallest eigenvalue of an elliptic EVP with stochastic coefficients. Each sample evaluation requires the solution of a PDE EVP, and so tackling this problem in practice is notoriously computationally difficult. We speed up the approximation of this expectation in four ways: we use a multilevel variance reduction scheme to spread the work over a hierarchy of FE meshes and truncation dimensions; we use QMC methods to efficiently compute the expectations on each level; we exploit the smoothness in parameter space and reuse the eigenvector from a nearby QMC point to reduce the number of iterations of the eigensolver; and we utilize a two-grid discretization scheme to obtain the eigenvalue on the fine mesh with a single linear solve. The full error analysis of a basic MLQMC algorithm is given in the companion paper (Gilbert, A. D. & Scheichl, R. (2023) Multilevel quasi-Monte Carlo methods for random elliptic eigenvalue problems I: regularity and analysis. IMA J. Numer. Anal.), and so, in this paper, we focus on how to further improve the efficiency and provide theoretical justification for using nearby QMC points and two-grid methods. Numerical results are presented that show the efficiency of our algorithm, and also show that the four strategies we employ are complementary.
- Publication
IMA Journal of Numerical Analysis, 2024, Vol 44, Issue 1, p504
- ISSN
0272-4979
- Publication type
Article
- DOI
10.1093/imanum/drad009