Uncertainty Quantification for PDEs with Anisotropic Random Diffusion

Helmut Harbrecht; Michael Peters; Marc Schmidlin

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arXiv · 1607.05584

Uncertainty Quantification for PDEs with Anisotropic Random Diffusion

Helmut Harbrecht·Michael Peters·Marc Schmidlin

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Abstract

In this article, we consider elliptic diffusion problems with an anisotropic random diffusion coefficient. We model the notable direction in terms of a random vector field and derive regularity results for the solution's dependence on the random parameter. It turns out that the decay of the vector field's Karhunen-Loeve expansion entirely determines this regularity. The obtained results allow for sophisticated quadrature methods, such as the quasi-Monte Carlo method or the anisotropic sparse grid quadrature, in order to approximate quantities of interest, like the solution's mean or the variance. Numerical examples in three spatial dimensions are provided to supplement the presented theory.

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Helmut Harbrecht, Michael Peters, Marc Schmidlin. 2016-07-19. Uncertainty Quantification for PDEs with Anisotropic Random Diffusion. https://arxiv.org/abs/1607.05584

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