A dynamically bi-orthogonal method for time-dependent stochastic partial differential equations II: Adaptivity and generalizations

JOURNAL OF COMPUTATIONAL PHYSICS

卷:242

Article

Cheng, Mulin¹  Hou, Thomas Y.¹  Zhang, Zhiwen¹ 

[1] CALTECH, Pasadena, CA 91125 USA

关键词: Stochastic partial differential equations;    Karhunen-Loeve expansion;    Low-dimensional structure;    Adaptivity algorithm;    Sparsity;    Stochastic flow;   

DOI  :  10.1016/j.jcp.2013.02.020

来源: Elsevier

【 摘 要 】

This is part II of our paper in which we propose and develop a dynamically bi-orthogonal method (DyBO) to study a class of time-dependent stochastic partial differential equations (SPDEs) whose solutions enjoy a low-dimensional structure. In part I of our paper [9], we derived the DyBO formulation and proposed numerical algorithms based on this formulation. Some important theoretical results regarding consistency and bi-orthogonality preservation were also established in the first part along with a range of numerical examples to illustrate the effectiveness of the DyBO method. In this paper, we focus on the computational complexity analysis and develop an effective adaptivity strategy to add or remove modes dynamically. Our complexity analysis shows that the ratio of computational complexities between the DyBO method and a generalized polynomial chaos method (gPC) is roughly of order O((m/N-p)(3)) for a quadratic nonlinear SPDE, where m is the number of mode pairs used in the DyBO method and N-p is the number of elements in the polynomial basis in gPC. The effective dimensions of the stochastic solutions have been found to be small in many applications, so we can expect m is much smaller than N-p and computational savings of our DyBO method against gPC are dramatic. The adaptive strategy plays an essential role for the DyBO method to be effective in solving some challenging problems. Another important contribution of this paper is the generalization of the DyBO formulation for a system of time-dependent SPDEs. Several numerical examples are provided to demonstrate the effectiveness of our method, including the Navier-Stokes equations and the Boussinesq approximation with Brownian forcing. (C) 2013 Elsevier Inc. All rights reserved.

【 授权许可】

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