Multilevel quasi-Monte Carlo for random elliptic eigenvalue problems I: Regularity and error analysis

Random eigenvalue problems are useful models for quantifying the uncertainty in several applications from the physical sciences and engineering, e.g., structural vibration analysis, the criticality of a nuclear reactor or photonic crystal structures. In this paper we present a simple multilevel quasi-Monte Carlo (MLQMC) method for approximating the expectation of the minimal eigenvalue of an elliptic eigenvalue problem with coefficients that are given as a series expansion of countably-many stochastic parameters. The MLQMC algorithm is based on a hierarchy of discretisations of the spatial domain and truncations of the dimension of the stochastic parameter domain. To approximate the expectations, randomly shifted lattice rules are employed. This paper is primarily dedicated to giving a rigorous analysis of the error of this algorithm. A key step in the error analysis requires bounds on the mixed derivatives of the eigenfunction with respect to both the stochastic and spatial variables simultaneously. An accompanying paper [Gilbert and Scheichl, 2021], focusses on practical extensions of the MLQMC algorithm to improve efficiency, and presents numerical results

Multilevel quasi-Monte Carlo for random elliptic eigenvalue problems II: Efficient algorithms and numerical results

Stochastic PDE eigenvalue problems often arise in the field of uncertainty quantification, whereby one seeks to quantify the uncertainty in an eigenvalue, or its eigenfunction. In this paper we present an efficient multilevel quasi-Monte Carlo (MLQMC) algorithm for computing the expectation of the smallest eigenvalue of an elliptic eigenvalue problem with stochastic coefficients. Each sample evaluation requires the solution of a PDE eigenvalue problem, and so tackling this problem in practice is notoriously computationally difficult. We speed up the approximation of this expectation in four ways: 1) we use a multilevel variance reduction scheme to spread the work over a hierarchy of FE meshes and truncation dimensions; 2) we use QMC methods to efficiently compute the expectations on each level; 3) we exploit the smoothness in parameter space and reuse the eigenvector from a nearby QMC point to reduce the number of iterations of the eigensolver; and 4) we utilise a two-grid discretisation scheme to obtain the eigenvalue on the fine mesh with a single linear solve. The full error analysis of a basic MLQMC algorithm is given in the companion paper [Gilbert and Scheichl, 2021], and so in this paper we focus on how to further improve the efficiency and provide theoretical justification of the enhancement strategies 3) and 4). Numerical results are presented that show the efficiency of our algorithm, and also show that the four strategies we employ are complementary

Fast non-overlapping Schwarz domain decomposition methods for solving the neutron diffusion equation

International audienceno abstrac

Computational multiscale solvers for continuum approaches

Computational multiscale analyses are currently ubiquitous in science and technology. Different problems of interest-e.g., mechanical, fluid, thermal, or electromagnetic-involving a domain with two or more clearly distinguished spatial or temporal scales, are candidates to be solved by using this technique. Moreover, the predictable capability and potential of multiscale analysis may result in an interesting tool for the development of new concept materials, with desired macroscopic or apparent properties through the design of their microstructure, which is now even more possible with the combination of nanotechnology and additive manufacturing. Indeed, the information in terms of field variables at a finer scale is available by solving its associated localization problem. In this work, a review on the algorithmic treatment of multiscale analyses of several problems with a technological interest is presented. The paper collects both classical and modern techniques of multiscale simulation such as those based on the proper generalized decomposition (PGD) approach. Moreover, an overview of available software for the implementation of such numerical schemes is also carried out. The availability and usefulness of this technique in the design of complex microstructural systems are highlighted along the text. In this review, the fine, and hence the coarse scale, are associated with continuum variables so atomistic approaches and coarse-graining transfer techniques are out of the scope of this paper