A stochastic collocation method for the second order wave equation with a discontinuous random speed

Handle URI:
http://hdl.handle.net/10754/562285
Title:
A stochastic collocation method for the second order wave equation with a discontinuous random speed
Authors:
Motamed, Mohammad; Nobile, Fabio; Tempone, Raul ( 0000-0003-1967-4446 )
Abstract:
In this paper we propose and analyze a stochastic collocation method for solving the second order wave equation with a random wave speed and subjected to deterministic boundary and initial conditions. The speed is piecewise smooth in the physical space and depends on a finite number of random variables. The numerical scheme consists of a finite difference or finite element method in the physical space and a collocation in the zeros of suitable tensor product orthogonal polynomials (Gauss points) in the probability space. This approach leads to the solution of uncoupled deterministic problems as in the Monte Carlo method. We consider both full and sparse tensor product spaces of orthogonal polynomials. We provide a rigorous convergence analysis and demonstrate different types of convergence of the probability error with respect to the number of collocation points for full and sparse tensor product spaces and under some regularity assumptions on the data. In particular, we show that, unlike in elliptic and parabolic problems, the solution to hyperbolic problems is not in general analytic with respect to the random variables. Therefore, the rate of convergence may only be algebraic. An exponential/fast rate of convergence is still possible for some quantities of interest and for the wave solution with particular types of data. We present numerical examples, which confirm the analysis and show that the collocation method is a valid alternative to the more traditional Monte Carlo method for this class of problems. © 2012 Springer-Verlag.
KAUST Department:
Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division; Applied Mathematics and Computational Science Program; Stochastic Numerics Research Group
Publisher:
Springer Nature
Journal:
Numerische Mathematik
Issue Date:
31-Aug-2012
DOI:
10.1007/s00211-012-0493-5
Type:
Article
ISSN:
0029599X
Sponsors:
This work was supported by the King Abdullah University of Science and Technology (AEA project "Bayesian earthquake source validation for ground motion simulation"), the VR project "Effektiva numeriska metoder for stokastiska differentialekvationer med tillampningar", and the PECOS center at ICES, University of Texas at Austin (Project Number 024550, Center for Predictive Computational Science). The second author was partially supported by the Italian grant FIRB-IDEAS (Project no. RBID08223Z) "Advanced numerical techniques for uncertainty quantification in engineering and life science problems".
Appears in Collections:
Articles; Applied Mathematics and Computational Science Program; Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division

Full metadata record

DC FieldValue Language
dc.contributor.authorMotamed, Mohammaden
dc.contributor.authorNobile, Fabioen
dc.contributor.authorTempone, Raulen
dc.date.accessioned2015-08-03T09:59:25Zen
dc.date.available2015-08-03T09:59:25Zen
dc.date.issued2012-08-31en
dc.identifier.issn0029599Xen
dc.identifier.doi10.1007/s00211-012-0493-5en
dc.identifier.urihttp://hdl.handle.net/10754/562285en
dc.description.abstractIn this paper we propose and analyze a stochastic collocation method for solving the second order wave equation with a random wave speed and subjected to deterministic boundary and initial conditions. The speed is piecewise smooth in the physical space and depends on a finite number of random variables. The numerical scheme consists of a finite difference or finite element method in the physical space and a collocation in the zeros of suitable tensor product orthogonal polynomials (Gauss points) in the probability space. This approach leads to the solution of uncoupled deterministic problems as in the Monte Carlo method. We consider both full and sparse tensor product spaces of orthogonal polynomials. We provide a rigorous convergence analysis and demonstrate different types of convergence of the probability error with respect to the number of collocation points for full and sparse tensor product spaces and under some regularity assumptions on the data. In particular, we show that, unlike in elliptic and parabolic problems, the solution to hyperbolic problems is not in general analytic with respect to the random variables. Therefore, the rate of convergence may only be algebraic. An exponential/fast rate of convergence is still possible for some quantities of interest and for the wave solution with particular types of data. We present numerical examples, which confirm the analysis and show that the collocation method is a valid alternative to the more traditional Monte Carlo method for this class of problems. © 2012 Springer-Verlag.en
dc.description.sponsorshipThis work was supported by the King Abdullah University of Science and Technology (AEA project "Bayesian earthquake source validation for ground motion simulation"), the VR project "Effektiva numeriska metoder for stokastiska differentialekvationer med tillampningar", and the PECOS center at ICES, University of Texas at Austin (Project Number 024550, Center for Predictive Computational Science). The second author was partially supported by the Italian grant FIRB-IDEAS (Project no. RBID08223Z) "Advanced numerical techniques for uncertainty quantification in engineering and life science problems".en
dc.publisherSpringer Natureen
dc.titleA stochastic collocation method for the second order wave equation with a discontinuous random speeden
dc.typeArticleen
dc.contributor.departmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Divisionen
dc.contributor.departmentApplied Mathematics and Computational Science Programen
dc.contributor.departmentStochastic Numerics Research Groupen
dc.identifier.journalNumerische Mathematiken
dc.contributor.institutionEPFL, Lausanne, Switzerlanden
dc.contributor.institutionPolitecnico di Milano, Milan, Italyen
kaust.authorMotamed, Mohammaden
kaust.authorTempone, Raulen
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