A multigrid solver for two-dimensional stochastic diffusion equations. (English) Zbl 1037.65007

Summary: Steady and unsteady diffusion equations, with stochastic diffusivity coefficient and forcing term, are modeled in two dimensions by means of stochastic spectral representations. Problem data and solution variables are expanded using the polynomial chaos system. The approach leads to a set of coupled problems for the stochastic modes. Spatial finite-difference discretization of these coupled problems results in a large system of equations, whose dimension necessitates the use of iterative approaches in order to obtain the solution within a reasonable computational time. To accelerate the convergence of the iterative technique, a multigrid method, based on spatial coarsening, is implemented. Numerical experiments show good scaling properties of the method, both with respect to the number of spatial grid points and the stochastic resolution level.


65C30 Numerical solutions to stochastic differential and integral equations
65M55 Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs
65M06 Finite difference methods for initial value and initial-boundary value problems involving PDEs
65M12 Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs
60H15 Stochastic partial differential equations (aspects of stochastic analysis)
35R60 PDEs with randomness, stochastic partial differential equations
60H35 Computational methods for stochastic equations (aspects of stochastic analysis)
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