Bieri, Marcel A sparse composite collocation finite element method for elliptic SPDEs. (English) Zbl 1234.35329 SIAM J. Numer. Anal. 49, No. 6, 2277-2301 (2011). Summary: This work presents a stochastic collocation method for solving elliptic PDEs with random coefficients and forcing term which are assumed to depend on a finite number of random variables. The method consists of a hierarchic wavelet discretization in space and a sequence of hierarchic collocation operators in the probability domain to approximate the solution’s statistics. The selection of collocation points is based on a Smolyak construction of zeros of orthogonal polynomials with respect to the probability density function of each random input variable. A sparse composition of levels of spatial refinements and stochastic collocation points is then proposed and analyzed, resulting in a substantial reduction of overall degrees of freedom. Like in the Monte Carlo approach, the algorithm results in solving a number of uncoupled, purely deterministic elliptic problems, which allows the integration of existing fast solvers for elliptic PDEs. Numerical examples on two-dimensional domains will then demonstrate the superiority of this sparse composite collocation finite element method compared to the “full composite” collocation finite element method and the Monte Carlo method. Cited in 19 Documents MSC: 35R60 PDEs with randomness, stochastic partial differential equations 60H15 Stochastic partial differential equations (aspects of stochastic analysis) 65C20 Probabilistic models, generic numerical methods in probability and statistics 65N12 Stability and convergence of numerical methods for boundary value problems involving PDEs 65N15 Error bounds for boundary value problems involving PDEs 65N35 Spectral, collocation and related methods for boundary value problems involving PDEs Keywords:stochastic partial differential equations; stochastic collocation methods; Smolyak approximation; multilevel approximations; sparse tensor products PDF BibTeX XML Cite \textit{M. Bieri}, SIAM J. Numer. Anal. 49, No. 6, 2277--2301 (2011; Zbl 1234.35329) Full Text: DOI OpenURL