Numerische Mathematik

, Volume 109, Issue 3, pp 385–414

Sparse second moment analysis for elliptic problems in stochastic domains

  • Helmut Harbrecht
  • Reinhold Schneider
  • Christoph Schwab
Article

Abstract

We consider the numerical solution of elliptic boundary value problems in domains with random boundary perturbations. Assuming normal perturbations with small amplitude and known mean field and two-point correlation function, we derive, using a second order shape calculus, deterministic equations for the mean field and the two-point correlation function of the random solution for a model Dirichlet problem which are 3rd order accurate in the boundary perturbation size. Using a variational boundary integral equation formulation on the unperturbed, “nominal” boundary and a wavelet discretization, we present and analyze an algorithm to approximate the random solution’s mean and its two-point correlation function at essentially optimal order in essentially \({\mathcal{O}(N)}\) work and memory, where N denotes the number of unknowns required for consistent discretization of the boundary of the nominal domain.

Mathematics Subject Classification (2000)

35J20 35R60 65N38 

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Copyright information

© Springer-Verlag 2008

Authors and Affiliations

  • Helmut Harbrecht
    • 1
  • Reinhold Schneider
    • 2
  • Christoph Schwab
    • 3
  1. 1.Institut für Numerische SimulationUniversität BonnBonnGermany
  2. 2.Institut für MathematikTechnische Universität BerlinBerlinGermany
  3. 3.Seminar für Angewandte MathematikEidgenössische Technische Hochschule ZürichZürichSwitzerland

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