11,902 research outputs found
Weak order for the discretization of the stochastic heat equation driven by impulsive noise
Considering a linear parabolic stochastic partial differential equation
driven by impulsive space time noise, dX_t+AX_t dt= Q^{1/2}dZ_t, X_0=x_0\in H,
t\in [0,T], we approximate the distribution of X_T. (Z_t)_{t\in[0,T]} is an
impulsive cylindrical process and Q describes the spatial covariance structure
of the noise; Tr(A^{-\alpha})0 and A^\beta Q is bounded
for some \beta\in(\alpha-1,\alpha]. A discretization
(X_h^n)_{n\in\{0,1,...,N\}} is defined via the finite element method in space
(parameter h>0) and a \theta-method in time (parameter \Delta t=T/N). For
\phi\in C^2_b(H;R) we show an integral representation for the error
|E\phi(X^N_h)-E\phi(X_T)| and prove that
|E\phi(X^N_h)-E\phi(X_T)|=O(h^{2\gamma}+(\Delta t)^{\gamma}) where
\gamma<1-\alpha+\beta.Comment: 29 pages; Section 1 extended, new results in Appendix
Introduction to discrete functional analysis techniques for the numerical study of diffusion equations with irregular data
We give an introduction to discrete functional analysis techniques for
stationary and transient diffusion equations. We show how these techniques are
used to establish the convergence of various numerical schemes without assuming
non-physical regularity on the data. For simplicity of exposure, we mostly
consider linear elliptic equations, and we briefly explain how these techniques
can be adapted and extended to non-linear time-dependent meaningful models
(Navier--Stokes equations, flows in porous media, etc.). These convergence
techniques rely on discrete Sobolev norms and the translation to the discrete
setting of functional analysis results
Analytic Regularity and GPC Approximation for Control Problems Constrained by Linear Parametric Elliptic and Parabolic PDEs
This paper deals with linear-quadratic optimal control problems constrained by a parametric or stochastic elliptic or parabolic PDE. We address the (difficult) case that the state equation depends on a countable number of parameters i.e., on with , and that the PDE operator may depend non-affinely on the parameters. We consider tracking-type functionals and distributed as well as boundary controls. Building on recent results in [CDS1, CDS2], we show that the state and the control are analytic as functions depending on these parameters . We
establish sparsity of generalized polynomial chaos (gpc) expansions of both, state and control, in terms of the stochastic coordinate sequence of the random inputs, and prove convergence rates of best -term truncations of these expansions. Such truncations are the key for subsequent computations since they do {\em not} assume that the stochastic input data has a finite expansion. In the follow-up paper [KS2], we explain two methods how such best -term truncations can practically be computed, by greedy-type algorithms
as in [SG, Gi1], or by multilevel Monte-Carlo methods as in
[KSS]. The sparsity result allows in conjunction with adaptive wavelet Galerkin schemes for sparse, adaptive tensor discretizations of control problems constrained by linear elliptic and parabolic PDEs developed in [DK, GK, K], see [KS2]
A Posteriori error control & adaptivity for Crank-Nicolson finite element approximations for the linear Schrodinger equation
We derive optimal order a posteriori error estimates for fully discrete
approximations of linear Schr\"odinger-type equations, in the
norm. For the discretization in time we use the Crank-Nicolson
method, while for the space discretization we use finite element spaces that
are allowed to change in time. The derivation of the estimators is based on a
novel elliptic reconstruction that leads to estimates which reflect the
physical properties of Schr\"odinger equations. The final estimates are
obtained using energy techniques and residual-type estimators. Various
numerical experiments for the one-dimensional linear Schr\"odinger equation in
the semiclassical regime, verify and complement our theoretical results. The
numerical implementations are performed with both uniform partitions and
adaptivity in time and space. For adaptivity, we further develop and analyze an
existing time-space adaptive algorithm to the cases of Schr\"odinger equations.
The adaptive algorithm reduces the computational cost substantially and
provides efficient error control for the solution and the observables of the
problem, especially for small values of the Planck constant
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